Stock Returns and Their Distribution: An Empirical Assessment of the US and Argentina’s Stock Market for the Period 2002/18

Abstract

In this work we present a set of analytical tools to characterize the nature of the distribution of monthly returns of the stocks that compose Argentina’s Merval index in the period 2002-2018, and at the same time compare the results with those for the US stock market, where the same analysis will be performed for the 30 equities that comprise the Dow Jones Industrial Index. Both univariate and multivariate tests will be resorted to, accounting for correlations between assets and considering the cross third and fourth moments, concluding with the estimation of a Markov switching model.