Comparison of gain-loss asymmetry behavior for stocks and indexes

TL;DR

This paper investigates the gain-loss asymmetry in Polish stock market indexes and individual stocks, revealing significant differences in asymmetry behavior between the WIG index and other stocks.

Contribution

It provides a comparative analysis of gain-loss asymmetry across different Polish market indexes and stocks using an investment horizon approach.

Findings

Strong asymmetry observed in WIG index

Gain-loss curves are similar for WIG20 and individual stocks

Asymmetry coefficient signs differ between WIG index and other data

Abstract

Investment horizon approach has been used to analyze indexes of Polish stock market.Optimal time horizon for each return value is evaluated by fitting appropriate function form of the distribution. Strong asymmetry of gain-loss curves is observed for WIG index, whereas gain and loss curves look similar for WIG20 and for most of individual companies stocks. The gain-loss asymmetry for these data, measured by the coefficient, that we postulated before \cite{karpio}, has opposite sign to this for WIG index.