Počet záznamů: 1

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

  1. 1.
    0343070 - UTIA-B 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 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