Excluding sum stable distributions as an explanation of second moment condition failure - the Australian evidence

摘要: This paper examines the issue of stock return moments in Australian market. The existence at least second is a fundamental assumption underlying finance theory. We determine, using characteristic exponent point estimates, that population variance may be infinite but on same data, we also find Hill-estimates are above 2 for all stocks, indicating do exist. conflicting result resolved by setting up simulation experiment which show empirical combination Hill-estimate and lies outside simulated confidence intervals sum stables. enhances evidence returns.