Crisis and Financial Data Properties: a Persistence View

• Autorzy: Alex Plastun , Inna Makarenko , Yulia Yelnikova , Asiiat Sheliuk
• Języki publikacji: EN

Abstrakty

EN

This paper investigates persistence in Ukrainian financial data during the recent local crisis of 2013-2015. Using R/S analysis with the Hurst exponent method and its dynamic modification we show that data properties (case of persistence) are unstable and vary over time. Persistence increases dramatically during the crisis periods. These results can be used both to predict crises at early stages and to model financial data with the appropriate methods: to determine models for the cases of persistent data and stochastic ones for the cases of non-persistent data. It is concluded that financial markets become less efficient during crises. (original abstract)

Słowa kluczowe

EN

Financial crisis; Economic models; Financial markets

PL

Kryzys finansowy; Modele ekonomiczne; Rynki finansowe

• Czasopismo: Journal of International Studies
• Rocznik: 2018
• Tom: 11
• Numer: nr 3
• Strony: 284--294

Twórcy

autor

Alex Plastun

• Sumy State University, Ukraine

autor

Inna Makarenko

• Sumy State University, Ukraine

autor

Yulia Yelnikova

• Sumy State University, Ukraine

autor

Asiiat Sheliuk

• Sumy State University, Ukraine

Bibliografia

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Identyfikatory

DOI

10.14254/2071-8330.2018/11-3/22