VOLATILITY AND KURTOSIS AT EMERGING MARKETS: COMPARATIVE ANALYSIS OF MACEDONIAN STOCK EXCHANGE AND SIX STOCK MARKETS FROM CENTRAL AND EASTERN EUROPE
Published: 20 Jun 2015
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
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