TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS
In this study we tested the existence of long memory in the the return series for major Central Eastern European and Balkans stock markets, using the following statistical methods: Hurst Exponent, GPH method, Andrews and Guggenberger method, Reisen method, Willinger, Taqqu and Teverovsky method and...
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doaj-c30418f08ae841c1aa06cfee92bed2f42020-11-25T00:14:38ZdeuUniversity of OradeaAnnals of the University of Oradea: Economic Science1222-569X1582-54502013-07-0122111131124TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETSPece Andreea Maria0Ludusan (Corovei) Emilia Anuta1Mutu Simona2 3Babes-Bolyai University,Babes-Bolyai UniversityBabes-Bolyai University,Babes-Bolyai UniversityBabes-Bolyai University,Babes-Bolyai University,In this study we tested the existence of long memory in the the return series for major Central Eastern European and Balkans stock markets, using the following statistical methods: Hurst Exponent, GPH method, Andrews and Guggenberger method, Reisen method, Willinger, Taqqu and Teverovsky method and ARFIMA model. The results obtained are mixed. The Hurst Exponent showed the existence of long memory in all indices, except PX. After applying the GPH method, the results showed that BET, ATHEX, SOFIX and CROBEX have a predictable behavior. The ARFIMA model results support the existence of long memory for BUX, SAX and BELEX. The predictable behavior of index returns may suggest that the CEE and Balkans stock markets are not weak form efficient.http://anale.steconomiceuoradea.ro/volume/2013/n1/118.pdfemerging markets, long memory, market efficiency, ARFIMA model |
collection |
DOAJ |
language |
deu |
format |
Article |
sources |
DOAJ |
author |
Pece Andreea Maria Ludusan (Corovei) Emilia Anuta Mutu Simona |
spellingShingle |
Pece Andreea Maria Ludusan (Corovei) Emilia Anuta Mutu Simona TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS Annals of the University of Oradea: Economic Science emerging markets, long memory, market efficiency, ARFIMA model |
author_facet |
Pece Andreea Maria Ludusan (Corovei) Emilia Anuta Mutu Simona |
author_sort |
Pece Andreea Maria |
title |
TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS |
title_short |
TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS |
title_full |
TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS |
title_fullStr |
TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS |
title_full_unstemmed |
TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS |
title_sort |
testing the long range-dependence for the central eastern european and the balkans stock markets |
publisher |
University of Oradea |
series |
Annals of the University of Oradea: Economic Science |
issn |
1222-569X 1582-5450 |
publishDate |
2013-07-01 |
description |
In this study we tested the existence of long memory in the the return series for major Central Eastern European and Balkans stock markets, using the following statistical methods: Hurst Exponent, GPH method, Andrews and Guggenberger method, Reisen method, Willinger, Taqqu and Teverovsky method and ARFIMA model. The results obtained are mixed. The Hurst Exponent showed the existence of long memory in all indices, except PX. After applying the GPH method, the results showed that BET, ATHEX, SOFIX and CROBEX have a predictable behavior. The ARFIMA model results support the existence of long memory for BUX, SAX and BELEX. The predictable behavior of index returns may suggest that the CEE and Balkans stock markets are not weak form efficient. |
topic |
emerging markets, long memory, market efficiency, ARFIMA model |
url |
http://anale.steconomiceuoradea.ro/volume/2013/n1/118.pdf |
work_keys_str_mv |
AT peceandreeamaria testingthelongrangedependenceforthecentraleasterneuropeanandthebalkansstockmarkets AT ludusancoroveiemiliaanuta testingthelongrangedependenceforthecentraleasterneuropeanandthebalkansstockmarkets AT mutusimona testingthelongrangedependenceforthecentraleasterneuropeanandthebalkansstockmarkets AT testingthelongrangedependenceforthecentraleasterneuropeanandthebalkansstockmarkets |
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