DIFFERENCES IN TAILS OF STOCK MARKET RETURNS

This paper focuses on the extreme behavior of stock market returns. Statistical properties of the returns distributions are investigated due to investors' perception which leads to the assumption that the left tails are heavier than the right ones. Left tails associated with negative extremal returns have similar tail index to the right tails. Quite large differences between tails have been found in the clustering of extremes. The negative extreme returns are more dependent then the positive ones as a consequence of more violate evolution of crashes than booms on financial markets.