Publication detail

Kristoufek, L.: Long-range dependence in returns and volatility of Central European Stock Indices

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in refereed journals
Year: 2010
Number: 17
Published in: Bulletin of the Czech Econometric Society, Vol. 17, No. 27, pp. 50-67 PDF
Publishing place:
Keywords: Long-range dependence, bootstrapping, rescaled range analysis, rescaled variance analysis
JEL codes: C4, C5, G15
Suggested Citation: Kristoufek L. (2010): Long-range dependence in returns and volatility of Central European Stock Indices, Bulletin of the Czech Econometric Society, 17(27), pp. 50-67
Grants: 402/09/0965: New Approaches for monitoring and prediction of capital markets 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and rescaled variance analyses. Moving block bootstrap with pre-whitening and post-blackening is used for a construction of confidence intervals for the hypothesis testing. We show that there is no significant long-range dependence in returns of all examined indices. However, significant long-range dependence is detected in volatility of all three indices. The results for returns are contradictory with several studies which claim that developing markets are persistent. However, majority of these studies either do not use the confidence intervals at all or only the ones based on standard normal distribution. Therefore, the results of such studies should be reexamined and reinterpreted.


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