Title: The determinants of heavy-tailedness of stock returns in the Russian market
Authors: Andrei Ankudinov - Innopolis University (Russia) [presenting]
Oleg Lebedev - Innopolis University (Russia)
Abstract: Using robust approaches we analyzed the degree of heavy-tailedness of Russian companies stock returns, as well as positive and negative returns asymmetry. We also considered the factors affecting heavy-tailedness and returns asymmetry. According to the obtained results, the Russian stock market appeared to be somewhat more heavy-tailed when compared to the stock markets of developed as well as emerging economies. Tail indices for individual companies lie in the interval (1,4), first moments are finite for all shares, while second and third tiers are generally characterized by much larger extreme outliers and can have infinite variances. It seems that the stocks liquidity has the strongest effect on the heavy-tailedness of returns: more liquid companies have less heavy right and left tails. A similar, though less statistically reliable effect is produced by the company size. At the same time, no significant effects on tail indices of sectoral affiliation, cross-listing, adding into quotation lists, state ownership were revealed. As for the influence of the above-mentioned factors on the asymmetry of returns, the reliability of relevant models is rather low. Most probably, the inclusion of a company in the quotation list of a stock exchange is associated with a somewhat lower likelihood of returns asymmetry. There are also some indications of a higher likelihood of returns asymmetry for companies representing the financial sector of the economy.