Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect

2009/11/24 by Johannes Vitalis Siven, Siven, Johannes Vitalis, Jeffrey Todd Lins +1
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Statistical Finance (q-fin.ST)

paper · pdf · doi:10.48550/arxiv.0911.4679

openalex publication_date 2009/11/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Previous research has shown that for stock indices, the most likely time until a return of a particular size has been observed is longer for gains than for losses. We establish that this so-called gain/loss asymmetry is present also for individual stocks and show that the phenomenon is closely linked to the well-known leverage effect -- in the EGARCH model and a modified retarded volatility model, the same parameter that governs the magnitude of the leverage effect also governs the gain/loss asymmetry.

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