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Badanie występowania transakcji z wykorzystaniem informacji poufnych na Giełdzie Papierów Wartościowych w Warszawie

100%
Niedużak M. S.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2013
|
issue 904
71-87
EN
The article serves as an introduction to one phenomenon occurring on world financial markets – the use of confidential information and its influence on financial tools, commonly referred to as insider trading. Using the GARCH model, the article presents an empirical verification of market abuse occurring in real time. Alerts concerning the possible existence of market abuse were selected on the basis of the estimated variability of returns of three companies listed on the Warsaw Stock Exchange. However, the results of this analysis do not prove the existence of insider trading on the Warsaw Stock Exvhange, but do hint at its existence, which would have to be investigated by the authorities.
2

Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach

100%
Minović J.
South East European Journal of Economics and Business
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2010
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vol. 5
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issue 1
39-55
EN
This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It applied multivariate GARCH (MGARCH) models to the analysis of comovements in the Serbian frontier financial market. For the empirical work, bivariate and trivariate versions of the restricted BEKK, DVEC, and CCC models were used. Empirical results showed that MGARCH models overcome the usual concept of the time invariant correlation coefficient. Additionaly, the results show that the conditional variances and covariances between returns on the Serbian financial market exhibit significant changes over time.
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