The Stylised Facts of Stock Price Movements

Abstract

The stylised facts of stock price movements are statistical properties expected to be present in any sufficiently long series of observed stock prices. The below is a review of the current literature on the presence and identification of these stylised facts in observed price series for stocks listed in both developed and developing markets. Frequently identified stylised facts include the heavy tailed distribution of observed stock price returns, the significant autocorrelation of absolute and squared observed returns ("volatility clustering"), the slow decay of the autocorrelation function of absolute observed returns, and the Taylor and Leverage effects.