The long memory dynamics of the market quotations of selected Stock Companies and Warsaw Stock Index

• Autorzy: Wiesław Łuczyński
• Języki publikacji: EN

Abstrakty

EN

The analysis of the results obtained allows to establish the short memory of the stationary time series deprived of the stochastic trend, the permanent memory of the non stationary data of the Hodrick-Prescott trend and the declining memory of the non stationary time series of the quotation dynamics of the stock companies. As results from the research, the spectral analysis of the stock quotations does not reveal the fluctuations in the business conditions. The fluctuations with the period of about 34, 20 and 14 sessions with the quotations of particular companies and WIG correspond to the periods 8-10, 5-6 and 3-4 weeks. (original abstract)

Słowa kluczowe

EN

Warsaw Stock Exchange Index; Spectral analysis; Wavelet transform; Stock market companies

PL

Warszawski Indeks Giełdowy (WIG); Analiza widmowa; Transformacja falkowa; Spółki giełdowe

• Czasopismo: The Poznań University of Economics Review
• Rocznik: 2007
• Tom: 7
• Numer: nr 1
• Strony: 21--55

Twórcy

autor

Wiesław Łuczyński

• Poznań University of Economics, Poland

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