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Volatility And Kurtosis At Emerging Markets: Comparative Analysis Of Macedonian Stock Exchange And Six Stock Markets From Central And Eastern Europe

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  • Zoran Ivanovski
  • Zoran Narasanov
  • Nadica Ivanovska

Abstract

This paper investigates volatility of the Macedonian Stock Exchange (MSE), analyzing ten years daily data movements of MSE index (MBI-10) and ten random chosen stocks and compare results with other six stock markets (Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia). We find that MSE volatility is close to Czech, Poland and Croatia markets. Regression analysis provides evidences for strong correlation between MSE stocks which significantly influence volatility of MBI-10 index.

Suggested Citation

  • Zoran Ivanovski & Zoran Narasanov & Nadica Ivanovska, 2015. "Volatility And Kurtosis At Emerging Markets: Comparative Analysis Of Macedonian Stock Exchange And Six Stock Markets From Central And Eastern Europe," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 9(1), pages 84-93.
  • Handle: RePEc:isp:journl:v:9:y:2015:i:1:p:84-93
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    References listed on IDEAS

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    1. Kon, Stanley J, 1984. " Models of Stock Returns-A Comparison," Journal of Finance, American Finance Association, vol. 39(1), pages 147-165, March.
    2. Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015. "Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
    3. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    6. Bolt, Tadeusz W & Milobedzki, Pawel, 1994. "The Warsaw Stock Exchange in the Period 1991-1993. Qualitative Problems of Its Modelling," Economic Change and Restructuring, Springer, vol. 27(3), pages 211-226.
    7. Chamberlain, Gary, 1983. "A characterization of the distributions that imply mean--Variance utility functions," Journal of Economic Theory, Elsevier, vol. 29(1), pages 185-201, February.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
    11. Green, Christopher J. & Maggioni, Paolo & Murinde, Victor, 2000. "Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 577-601, April.
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    Cited by:

    1. repec:ris:utmsje:0228 is not listed on IDEAS
    2. repec:ris:utmsje:0230 is not listed on IDEAS
    3. repec:ris:utmsje:0229 is not listed on IDEAS
    4. Ivanovski, Zoran & Stojanovski, Toni & Narasanov, Zoran, 2015. "Volatility And Kurtosis Of Daily Stock Returns At Mse," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 209-221.

    More about this item

    Keywords

    volatility; skewness; kurtosis; equity; rwma; ewma;

    JEL classification:

    • A - General Economics and Teaching

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