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2008 | Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2006 | 187--200
Tytuł artykułu

Predictability of returns based on the panel data estimation on the example of the Budapest Stock Exchange And The Warsaw Stock Exchange

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The economical and political reforms in Central and Eastern Europe (CEE) at the end of the 80s and the beginning of the 90s paved the way for the creation of capital markets in those countries. Consequently, stock exchanges were open. There are two stock exchanges discussed in this paper: the Budapest Stock Exchange (BSE) and the Warsaw Stock Exchange (WSE). Both of them represent the majority of trade on the CEE capital market. So it seems to be necessary to find the proper method of market modelling as well as estimating financial models that allows for forecasting categories. The purpose of the paper is to compare which method of estimation of two of the financial models, such as single-index model and CAPM, is more suitable for modelling the rates of return of portfolios generated for the data from the BSE. There will be three method of estimation employed: SUR, CSCTA and pooled model. Then the forecasts for the next three periods will be calculated. Previous research showed that for the data from the WSE (20-element portfolios) the CSCTA method gave the best results but the forecast obtained the SUR method gave the smallest forecast errors. This analysis will make it possible to formulate conclusions for the data from the BSE and to compare results obtained for the WSE. It will also allow for comparing the level of risk on both portfolios at the same time.(fragment tekstu)
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