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Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008

Author

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  • Ewa M. Syczewska

    (Warsaw School of Economics)

Abstract

We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991–30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the series. This period was not without its perils for the Hungarian economy. We check presence of long memory of the series with use of classification based on the Hurst index and fractional integration parameter estimates. We analyze sample ACF and PACF functions and fractional integration estimates also for squared returns of the index. Volatility of returns and squared returns increases towards the end of sample, in agreement with the fact of risk growth due to the global crisis. In last part of sample the series of returns was antipersistent, changing sign more often, and the series was more volatile. Graphs of spectrum for the series show different behavior of logarithmic returns (more volatile towards the end of sample) and similar for squared returns throughout the sample.Length: 21 pages

Suggested Citation

  • Ewa M. Syczewska, 2010. "Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008," Working Papers 46, Department of Applied Econometrics, Warsaw School of Economics.
    • Handle: RePEc:wse:wpaper:46
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    References listed on IDEAS

    as
    1. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    2. Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 445-470.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    unit root; nonstationarity; spectral analysis; long memory; random walk; fractional integration; stock exchange index; volatility; risk;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G19 - Financial Economics - - General Financial Markets - - - Other

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