| Autor: |
prof. PhDr. Ladislav Krištoufek Ph.D.,
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| Typ: |
Články v recenzovaných časopisech |
| Rok: |
2010 |
| Číslo: |
17 |
| ISSN / ISBN: |
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| Publikováno v: |
Bulletin of the Czech Econometric Society, Vol. 17, No. 27, pp. 50-67 PDF |
| Místo vydání: |
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| Klíčová slova: |
Long-range dependence, bootstrapping, rescaled range analysis, rescaled variance analysis |
| JEL kódy: |
C4, C5, G15 |
| Citace: |
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 |
| Granty: |
402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích
402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely
GAUK 5183/2010 (118310) Fraktalita a multifraktalita finančních trhů: metody a aplikace
Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
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| Abstrakt: |
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. |
