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
Strony: 84-93
Opublikowano: 20 Jun 2015
Wyświetlenia: 2,914
Pobrania: 875
Streszczenie: 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.
Słowa kluczowe: volatility, skewness, kurtosis, equity, rwma, ewma
Cytowanie artykułu: Zoran Ivanovski, Zoran Narasanov, Nadica Ivanovska. VOLATILITY AND KURTOSIS AT EMERGING MARKETS: COMPARATIVE ANALYSIS OF MACEDONIAN STOCK EXCHANGE AND SIX STOCK MARKETS FROM CENTRAL AND EASTERN EUROPE. Journal of International Scientific Publications: Economy & Business 9, 84-93 (2015). https://www.scientific-publications.net/en/article/1000818/
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