Comparison of gain-loss asymmetry behavior for stocks and indexes

2006/08/22 by Magdalena A. Załuska–Kotur, Zaluska-Kotur, Magdalena A., K. Karpio +3
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.physics/0608214

openalex publication_date 2006/08/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Investment horizon approach has been used to analyze indexes of Polish stock market.Optimal time horizon for each return value is evaluated by fitting appropriate function form of the distribution. Strong asymmetry of gain-loss curves is observed for WIG index, whereas gain and loss curves look similar for WIG20 and for most of individual companies stocks. The gain-loss asymmetry for these data, measured by the coefficient, that we postulated before \citekarpio, has opposite sign to this for WIG index.

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