Modelling Some Properties of Stock Markets in Transition Economics
Modelling Some Properties of Stock Markets in Transition Economics

Summary/Abstract: In contrast to predominant behaviour of financial series of developed markets (no or very short serial correlations), financial series of emerging markets exhibit different behaviour. We investigate financial series of index returns for ten European transition economies. The results suggest the presence of long-range correlations. Additionally, all series seem to be asymmetrically distributed and exhibit magnitude long-range correlations, as commonly found for developed markets. We mo-del these properties with a process, which is presented in Section II. To support some of these model findings, we employ wavelet estimates of the Hurst expo-nent, the Geweke and Porter-Hudak method, and detrended fluctuation analysis.

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