Tail Behavior of the Central European Stock Markets during the Financial Crisis

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Title:Tail Behavior of the Central European Stock Markets during the Financial Crisis
Creators:
Baruník, Jozef
Vácha, Lukáš
Vošvrda, Miloslav
Journal or Publication Title:
AUCO Czech Economic Review, 4, 3, pp. 281-295
Uncontrolled Keywords:Financial crisis, tail behavior, stock markets, stable probability distribution

Abstract

In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to March 2009 with the stable probability distribution model and discuss its tail behavior. As the estimation of the tail exponent is very sensitive to the size of the data set, the estimates can be misleading for short daily samples. Thus, we employ high-frequency 1-minute data, which proves to be a good choice as it reveals interesting findings about the distributional properties. Furthermore, we study the difference in stock market behavior before and during the financial crisis.

Official URL: http://www.ceeol.com/aspx/issuedetails.aspx?issueid=003C3073-C371-49F5-B661-7B172CE96EF6&articleid=D268088A-8623-4DBE-83CA-FAFEDAA62E24

Title:Tail Behavior of the Central European Stock Markets during the Financial Crisis
Creators:
Baruník, Jozef
Vácha, Lukáš
Vošvrda, Miloslav
Uncontrolled Keywords:Financial crisis, tail behavior, stock markets, stable probability distribution
Subjects:H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
H Social Sciences > HF Commerce
Divisions:Section of external journals > AUCO Czech Economic Review
Journal or Publication Title:AUCO Czech Economic Review
Volume:4
Number:3
Page Range:pp. 281-295
ISSN:1802-4696
Publisher:Charles University
Related URLs:
URLURL Type
http://auco.cuni.czPublisher
http://avi.lib.cas.cz/node/183Publisher
ID Code:6311
Item Type:Article
Deposited On:01 Dec 2010 18:09
Last Modified:01 Dec 2010 17:09

Citation

Baruník, Jozef; Vácha, Lukáš; Vošvrda, Miloslav (2010) Tail Behavior of the Central European Stock Markets during the Financial Crisis. AUCO Czech Economic Review, 4 (3). pp. 281-295. ISSN 1802-4696

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