MODELLING SOME PROPERTIES OF STOCK MARKETS IN TRANSITION ECONOMICS

• Authors: Jagric Timotej , Podobnik Boris , Kolanovic Marko , Jagric Vita
• Languages of publication: EN

Abstracts

EN

In contrast to a predominant behaviour of the financial series of the developed markets (no or very short serial correlations), the financial series of the emerging markets exhibit a different behaviour. We investigate the financial series of the index returns for ten European transition economies. The results suggest the presence of the long-range correlations. Additionally, all series seem to be asymmetrically distributed and exhibit magnitude long-range correlations, as commonly found for the developed markets. We model these properties with a process, which is presented in Section II.

Keywords

EN

EFFICIENT-MARKET HYPOTHESIS; LONG-RANGE CORRELATION; TRANSITION ECONOMIES

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2006
• Volume: 54
• Issue: 8
• Pages: 816-869
• Document type: ARTICLE

Contributors

author

Jagric Timotej

author

Podobnik Boris

author

Kolanovic Marko

author

Jagric Vita

• Ekonomicky ustav SAV, Sancova 56, 811 05 Bratislava 1, Slovak republic

• T. Jagric, Ekonomicky ustav SAV, Sancova 56, 811 05 Bratislava 1, Slovak republic

Identifiers

CEJSH db identifier

07SKAAAA02074417