Dynamika średnich cen akcji wybranych spóek giełdowych oraz Warszawskiego Indeksu Giełdowego

• Autorzy: Wiesław Łuczyński

Warianty tytułu

The Dynamics of the Market Quotations of Selected Stock Companies and Warsaw Stock Index

• Języki publikacji: PL

Abstrakty

W artykule przedstawiono analizę dynamiki średnich cen akcji wybranych spółek giełdowych oraz Warszawskiego Indeksu Giełdowego (fragment tekstu)

EN

In the analysis of dynamics economic processes, due to their numerous aspects, different tools should be applied. To such tools belong, among others, spectral analysis, rescaled range analysis and wavelets analysis. Each of them treats to some extent differently the data from the observation of the researched processes. To obtain the time series with defined features they are subject to initial procedure the so-called prewhitening procedure. The most demanding in this respect is the spectral analysis. Moreover, reliability of the results depends directly proportionally on the dimension of the observation series and on the length of the period they cover. As opposed to the uniform mathematical objects or (although inconsiderably) - physical objects, the economic systems are characterized by irreversibility of the time series. These systems take the changeable forms (in time). We should not forget about it if we interpret the obtained results of the research on the economic processes dynamics and if we attempt to predict their behaviour in the future. The analysis of the results 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 continuous quotation dynamics of the stock companies. It is characteristic that for the non stationary series of the WIG aggregation, the estimators of the fractional integration values are close to one, which would testify to its smaller persistence in relation to the companies' quotations. The result of the researches is that the spectral analysis of the stock quotations does not reveal the fluctuations in the market conditions. The fluctuations with the period of about 34, 20 and 14 sessions in the respective companies quotations and WIG correspond to the periods 8-10, 5-6 and 3-4 weeks. (original abstract)

Słowa kluczowe

PL

Giełda; Warszawski Indeks Giełdowy (WIG); Ceny akcji

EN

Stock exchange; Warsaw Stock Exchange Index; Shares prices

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2007
• Numer: nr 94
• Strony: 133--150

Twórcy

autor

Wiesław Łuczyński

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