Inflation and deflation in financial markets

@inproceedings{Kaizoji2004InflationAD,
  title={Inflation and deflation in financial markets},
  author={Taisei Kaizoji},
  year={2004}
}
  • Taisei Kaizoji
  • Published 2004
  • Mathematics, Physics, Economics
  • The aim of this paper is to show new empirical results on the statistical properties of absolute log returns, defined as the absolute value of the log return, in a stock market. We used the daily data of the Nikkei 225 index of the 28-year period from January of 1975 to December of 2002, and compared the statistical properties of the return and absolute log returns in the inflationary (bubble) period with those in the deflationary (anti-bubble) period. Our results show that the distribution of… CONTINUE READING

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