Number of the records: 1

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

SYSNO ASEP	0343070
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Long-range dependence in returns and volatility of Central European Stock Indices
Author(s)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Source Title	Bulletin of the Czech Econometric Society - ISSN 1212-074X Roč. 17, č. 27 (2010), s. 50-67
Number of pages	18 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	long-range dependence ; bootstrapping ; rescaled range analysis ; rescaled variance analysis
Subject RIV	AH - Economics
R&D Projects	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2011

Number of the records: 1