Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets

Abstract Stylized facts are statistical properties present in high frequency returns of financial assets. While some of them supposes that returns are not Gaussian, another, called time scaling, involves that decreasing the frequency of observation, the returns converge to normal distribution. This paper find evidence that the existence of scaling and outliers entails other stylized facts. Also, a methodology for identifying outliers is proposed and applied to both simulated series and 1,300 market assets. Results indicate that all market returns have time scaling (between 2 and 28 days) and, in 95% of cases, daily outliers represent less than 6% of observations.