Distributions of Return Rate for Wig20 Index - Case Study the Situation of Extreme Tide Turning on the Warsaw Stock Exchange

• Autorzy: Krzysztof Piasecki , Edyta Tomasik
• Języki publikacji: EN

Abstrakty

EN

In the paper the authors presented analysis of fitting the following distributions: normal, t-Student, stable, hyperbolic, generalized hyperbolic, normal inverse Gaussian, generalized hyperbolic skew t-Student and general error distribution to the empirical series of WIG20 returns in the situation of extreme tide turning on the WSE. There were analysed daily logarithmic rates of returns of WIG20 index quoted on the WSE in two periods: the period of intensive rising trend 17.05.2005-05.07.2007 and the period of intensive declining trend 06.07.2007-17.02.2009. The results of the study show that the characteristics of real rates of returns art the best reflected by the same distributions in the both analysed periods. The best fitted distributions belong to the family of generalized hyperbolic distributions.(original abstract)

Słowa kluczowe

EN

Rate of return; Stock market; Warsaw Stock Exchange Index

PL

Stopa zwrotu; Giełda papierów wartościowych; Warszawski Indeks Giełdowy (WIG)

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2011
• Tom: Mathematical, Econometrical and Computer Methods in Finance and Insurance 2009
• Strony: 82--97

Twórcy

autor

Krzysztof Piasecki

• Poznań University of Economics, Poland

autor

Edyta Tomasik

• Kozminski University, Warsaw, Poland

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