Statistical Analysis and Modelling of German and British Stock Return Processes from 1998 to 2007

A comprehensive statistical analysis of return processes on the German and British stock market was carried out. Empirically, data for 40 selected companies and two market performance indices were collected for the period of ten years. The analysis shows that in the period under review the distributional characteristics were in line with stylized facts that hold on stock markets. In addition, the efficiency market hypothesis was tested. The empirical findings support the fact that prices are walking in an unpredictable manner. Since all return processes show existence of first two moments, one find all return processes suitable for further modelling.