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2010 | nr 4 | 25
Tytuł artykułu

Financial crisis influence on the BUX index of Hungarian Stock Exchange. Long memory measures: 1991-2008

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991-30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the series. This period was not without its perils for the Hungarian economy. We check presence of long memory of the series with use of classification based on the Hurst index and fractional integration parameter estimates. We analyze sample ACF and PACF functions and fractional integration estimates also for squared returns of the index. Volatility of returns and squared returns increases towards the end of sample, in agreement with the fact of risk growth due to the global crisis. In last part of sample the series of returns was antipersistent, changing sign more often, and the series was more volatile. Graphs of spectrum for the series show different behavior of logarithmic returns (more volatile towards the end of sample) and similar for squared returns throughout the sample. (original abstract)
Rocznik
Numer
Strony
25
Opis fizyczny
Twórcy
  • Szkoła Główna Handlowa w Warszawie
Bibliografia
  • Czekaj, Jan, Mirosław Woś, Janusz Żarnowski (2001), Efektywność giełdowego rynku akcji w Polsce. Z perspektywy dziesięciolecia, (Efficiency of the stock exchange in Poland. Ten-years experience, in Polish), PWN Scientific Publishers, Warsaw.
  • Dickey, D.A., Fuller, W.A. (1979), Distribution of the Estimates for Autoregressive Time Series with a Unit Root, "Journal of the American Statistical Association", 74, 427-431.
  • Geweke, J., Porter-Hudak, S. (1983), The estimation and application of long-memory time series models, "Journal of Time Series Analysis", 4, reprinted in: Robinson (2003).
  • Granger, C.W.J. (1966), The Typical Spectral Shape of an Economic Variable, "Econometrica" 34(1).
  • Hurst, H. E. (1951), Long-term Storage of Reservoirs, "Transactions of the America Society of Civil Engineers", 116.
  • Hurvich, Clifford M., Ray, Bonnie K. (2003), The Local White Estimator of Long-Memory Stochastic Volatility, "Journal of Financial Econometrics", 1(2), 445-470.
  • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., Shin, Y. (1992), Testing the Null of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, "Journal of Econometrics", 54, 159-178.
  • Jajuga, Krzysztof, Jajuga, Teresa (2002), Inwestycje. Instrumenty finansowe, ryzyko finansowe, inżynieria finansowa, (Investments. Financial Instruments, Financial Risk, Financial Engineering, in Polish), PWN Scientific Publishers, Warsaw.
  • Lo, Andrew (1991), Long-term memory in stock market prices,. "Econometrica", 59, 1279-1313, reprinted in Robinson (2003).
  • Magyar Nemzeti Bank, Report on Financial Stability, Budapest, several issues.
  • Peters, Edgar E. (1997), Teoria chaosu a rynki kapitałowe, (Chaos theory and capital markets), WIG PRESS, Warsaw.
  • Phillips, P.C.B.(1999), Unit Root Log Periodogram Regression, "Working Paper no 1244", Cowles Foundation for Research in Economics, Yale University, http://cowles.econ.yale.edu/P/cd/dy1244.pdf.
  • Robinson, P.M. [ed.] (2003), Time series with long memory, Oxford University Press, Oxford.
  • Said, S.E., Dickey, D.A. (1985), Hypothesis Testing in ARIMA(p,1,q) Models, "Journal of the American Statistical Association", 80, 369-374.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171231147

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