The Distributional Changes of Financial Assets’ Return in Pre and Post COVID 19 Based on Power Law, Stretched Exponential Function and q-Gaussian Function
Subject Areas : Stock Exchange
rasool rezvani
1
,
Gholamreza Askarzadeh
2
1 - Department of finance ,Yazd branch, Islamic Azad university, Yazd, Iran
2 - Department of finance, Yazd branch, Islamic Azad university, Yazd, Iran
Keywords: power law, Returns Distribution, Risky Assets,
Abstract :
Identifying the distributional behavior of returns of risky assets is one of the necessities that has attracted the attention of many researchers. Because a more accurate knowledge and understanding of the distribution behavior of returns in them allows for more accurate predictions of the future state of the market, especially in determining the risk-exposed value of these assets, which has a direct relationship with the distribution form of returns. The aim of the current research is to investigate the distributional changes of financial asset returns in the periods before and after covid-19 based on power law, stretched exponential function and Gaussian q-functions.In this regard, 3 variables: stock market index, gold price and exchange rate were investigated and their related Information was collected in each of the trading days during the period of 2016-03-26 to 2023-01-19 .In order to test the hypotheses, by using the Kolmogorov-Smirnov test, the empirical distribution of returns was compared with each of the mentioned distributions. The results showed that the logarithmic distributions of these assets do not follow any of the probability distributions obtained from the power law, stretched exponential and q-Gaussian.
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