This paper focuses on an application of stable Paretian distribution to Korea`s stock returns. One motive for this paper is that previous research on the stable Paretian distributions is seldom found in the financial literature of Korea. This paper al...
This paper focuses on an application of stable Paretian distribution to Korea`s stock returns. One motive for this paper is that previous research on the stable Paretian distributions is seldom found in the financial literature of Korea. This paper also investigates the possibility of infinite variance of stock returns. Weekly returns of fifty randomly selected stocks are used as a data base, and the stability under addition test and a new technique for infinite variance are conducted. Statistical investigation into the hypothesis of infinite variance rejected the hypothesis of the infinite variance.