Long-range dependence in returns and volatility of Central European Stock Indices

0343070 - ÚTIA 2011 RIV CZ eng J - Článek v odborném periodiku
Krištoufek, Ladislav
Long-range dependence in returns and volatility of Central European Stock Indices.
Bulletin of the Czech Econometric Society. Roč. 17, č. 27 (2010), s. 50-67. ISSN 1212-074X
Grant CEP: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant ostatní: GA UK(CZ) 5183/2010
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: long-range dependence * bootstrapping * rescaled range analysis * rescaled variance analysis
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-range dependence in returns and volatility of central european stock indices bces.pdf

In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and rescaled variance analyses. Moving block bootstrap with pre-whitening and post-blackening is used for a construction of confidence intervals for the hypothesis testing. We show that there is no significant long-range dependence in returns of all examined indices. However, significant long-range dependence is detected in volatility of all three indices. The results for returns are contradictory with several studies which claim that developing markets are persistent. However, majority of these studies either do not use the confidence intervals at all or only the ones based on standard normal distribution. Therefore, the results of such studies should be reexamined and reinterpreted.
Trvalý link: http://hdl.handle.net/11104/0185633