Some stylized facts of return in the foreign exchange and stock markets in Peru

Abstract

Purpose The purpose of this paper is to find and describe some stylized facts for foreign exchange and stock market returns, which are explored using statistical methods. Design/methodology/approach Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied. Dynamic correlations and different kernel estimations and approximations to the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time‐varying properties in return distributions. Findings The findings include: different types of non‐normality in both markets, fat tails, excess furtosis, return clustering and unconditional time‐varying moments. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events. Originality/value The paper is the first work of this type in Peru.

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