Stock return distribution and market capitalisation

Lukács, Péter (2002) Stock return distribution and market capitalisation. Hungarian Statistical Review, 80 (SN7). pp. 138-148. ISSN 0039-0690

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Abstract

The paper focuses on the relationship between the distribution of stock returns and the market capitalisation of stocks. The analysis is based on the returns of 21 stocks listed on the Budapest Stock Exchange (BSE). First, these stocks are ranked according to their market capitalisation, and then different moments of distribution as well as normalised moments such as skewness and kurtosis are calculated. Results are evaluated both by charts and rank-correlation. A significant relationship is demonstrated between the distribution of returns and the market capitalisation.

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