Long-range dependence in returns and volatility of Central European Stock Indices
AbstractIn 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 construc- tion 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 stud- ies 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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Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 17 (2010)
Issue (Month): 27 ()
long-range dependence; bootstrapping; rescaled range analysis; rescaled variance analysis;
Other versions of this item:
- Ladislav Kristoufek, 2010. "Long-range dependence in returns and volatility of Central European Stock Indices," Working Papers IES 2010/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2010.
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Kristoufek, Ladislav, 2013.
"Mixed-correlated ARFIMA processes for power-law cross-correlations,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 392(24), pages 6484-6493.
- Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
- Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
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