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Modelling Some Properties of Stock Markets in Transition Economics

In: Ekonomický časopis/Journal of Economics, vol. 54, no. 8
Timotej Jagric - Boris Podobnik - Marko Kolanovic - Vita Jagric
Detaily:
Rok, strany: 2006, 816 - 829
Kľúčové slová:
Keywords: efficient-market hypothesis, fractionally integrated process, power-law correlations, phase-randomization procedure, nonlinearity JEL Classification: C13, C22, G14, G15
Typ článku: Vedecký článok
O článku:
In contrast to predominant behaviour of financial series of developed markets (no or very short serial correlations), financial series of emerging markets exhibit different behaviour. We investigate financial series of index returns for ten European transition economies. The results suggest the presence of long-range correlations. Additionally, all series seem to be asymmetrically distributed and exhibit magni-tude long-range correlations, as commonly found for developed markets. We mo-del these properties with a process, which is presented in Section II. To support some of these model findings, we employ wavelet estimates of the Hurst exponent, the Geweke and Porter-Hudak method, and detrended fluctuation analysis.
Ako citovať:
ISO 690:
Jagric, T., Podobnik, B., Kolanovic, M., Jagric, V. 2006. Modelling Some Properties of Stock Markets in Transition Economics. In Ekonomický časopis/Journal of Economics, vol. 54, no.8, pp. 816-829. 0013-3035.

APA:
Jagric, T., Podobnik, B., Kolanovic, M., Jagric, V. (2006). Modelling Some Properties of Stock Markets in Transition Economics. Ekonomický časopis/Journal of Economics, 54(8), 816-829. 0013-3035.