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Analiza struktury inwestorow na warszawskim parkiecie w aspeckie fluktuacji indeksu WIG20

  • Maria Czech

    (Akademia Ekonomiczna w Katowicach)

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    Celem artykulu jest ocena nastrojow inwestorow indywidualnych, instytucjonalnych i zagranicznych na podstawie dynamiki zmian ich udzialow w rynku w latach 2003-2009. Przeprowadzenie badan empirycznych bedzie mialo na celu zbadanie wplywu struktury inwestorow na WIG20. Nastepnym krokiem bedzie dokonanie ekstrapolacji trendu dla okreslenia przyszlego ksztaltowania sie udzialow inwestorow w relacji do prognozy ksztaltowania sie indeksu WIG20. Na podstawie danych gieldowych przedstawionych w postaci szeregu czasowego zostanie wyznaczona tendencja rozwojowa zjawiska. Wyodrebnienie trendu zostanie przeprowadzone metoda analityczna, polegajaca na wyznaczeniu matematycznej funkcji trendu liniowego. Nastepnie za pomoca metody najmniejszych kwadratow (MNK) obliczony bedzie wplyw czynnikow sezonowych i losowych. Po ich oszacowaniu na podstawie modelu multiplikatywnego bedzie mozliwe okreslenie trendu ksztaltowania sie struktury inwestorskiej na GPW w Warszawie.

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    Article provided by University of Information Technology and Management, Institute of Financial Research and Analysis in its journal e-Finanse.

    Volume (Year): 6 (2010)
    Issue (Month): 4 (December)
    Pages: 92-102

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    Handle: RePEc:rze:efinan:v:6:y:2010:i:4:p:92-102
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