ANALYZING TOP-20 INDEX RETURNS USING THE WEIBULL DISTRIBUTION

Abstract

Financial market returns tend to exhibit substantial temporal volatility and asymmetric behavior. This study investigates whether such characteristics are present by analyzing 1,354 positive return observations of the TOP-20 Index over the past ten years using the Weibull distribution. The empirical results indicate that small daily returns occur with relatively high frequency, while returns deviate from the mean by approximately 0.79 percent on average. In addition, although the probability is relatively low, the market demonstrates the potential for large fluctuations and extreme movements. The significance of this study lies in the finding that the annual growth rate of the TOP-20 Index may exceed 57 percent approximately once in every 100 observations, while an increase exceeding 87 percent may occur approximately once in every 1,000 observations.