Tail Behavior of the Central European Stock Markets during the Financial Crisis
AbstractIn the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to March 2009 with the stable probability distribution model and discuss its tail behavior. As the estimation of the tail exponent is very sensitive to the size of the data set, the estimates can be misleading for short daily samples. Thus, we employ high-frequency 1-minute data, which proves to be a good choice as it reveals interesting findings about the distributional properties. Furthermore, we study the difference in stock market behavior before and during the financial crisis.
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Bibliographic InfoPaper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2010/04.
Length: 17 pages
Date of creation: Mar 2010
Date of revision: Mar 2010
financial crisis; tail behavior; stock markets; stable probability distribution;
Other versions of this item:
- Jozef Baruník & Lukáš Vácha & Miloslav Vošvrda, 2010. "Tail Behavior of the Central European Stock Markets during the Financial Crisis," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(3), pages 281-294, November.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-11 (All new papers)
- NEP-EEC-2010-04-11 (European Economics)
- NEP-RMG-2010-04-11 (Risk Management)
- NEP-TRA-2010-04-11 (Transition Economics)
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