Further Results on Asymmetric Stable Distributions of Stock Price Chances

Abstract

In a previous paper in the Journal of the American Statistical Association, Fielitz and Smith [16] present evidence in favor of asymmetric members of the stable family of distributions for describing stock price changes. Support for this contention is derived from an empirical examination of the daily closing prices of 200 stocks from the New York Stock Exchange from December 23, 1963, to November 29, 1968. In particular, the empirical examination of these securities indicates that outliers (especially in the short-tail (left-hand tail) of the distributions), kurtosis, and skewness are present in the distributions. These characteristics are consistent with the hypothesis that stock price changes belong to the asymmetric class of members of the stable family of distributions.