VOLATILITY AND KURTOSIS AT EMERGING MARKETS: COMPARATIVE ANALYSIS OF MACEDONIAN STOCK EXCHANGE AND SIX STOCK MARKETS FROM CENTRAL AND EASTERN EUROPE

Zoran Ivanovski; Zoran Narasanov; Nadica Ivanovska

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Economy & Business 2020, 19th International Conference

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Economy & Business, Volume 9, 2015

VOLATILITY AND KURTOSIS AT EMERGING MARKETS: COMPARATIVE ANALYSIS OF MACEDONIAN STOCK EXCHANGE AND SIX STOCK MARKETS FROM CENTRAL AND EASTERN EUROPE

Zoran Ivanovski, Zoran Narasanov, Nadica Ivanovska

Pages: 84-93
Published: 20 Jun 2015
Views: 2,059
Downloads: 831

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.

Keywords: volatility, skewness, kurtosis, equity, rwma, ewma

© 2020 The Author(s). This is an open access article distributed under the terms of the Creative Commons Attribution License http://creativecommons.org/licenses/by/3.0/, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. This permission does not cover any third party copyrighted material which may appear in the work requested.

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