The Position of the Wig Index in Comparison with Selected Market Indices in Boom and Bust Periods Cover Image

The Position of the Wig Index in Comparison with Selected Market Indices in Boom and Bust Periods
The Position of the Wig Index in Comparison with Selected Market Indices in Boom and Bust Periods

Author(s): Anna Czapkiewicz, Beata Basiura
Subject(s): Economy
Published by: Główny Urząd Statystyczny
Keywords: clustering stock indices;dependence parameter;Copula-GARCH model

Summary/Abstract: The main aim of this work is to discover the differences between the rank of Polish stock market in the boom and the bust cycles. The data of the daily stock market returns for the twenty three major international indices from Europe, America and Asia are used in the research. Two boom and two bust periods are considered. The correlation coefficient obtained from Copula-GARCH model is a similarity measure between the considered indices returns. The cluster analysis carried on for these series in the boom and bust the cycles allows us to find the differences in the market behaviour.

  • Issue Year: 15/2014
  • Issue No: 3
  • Page Range: 427-436
  • Page Count: 10
  • Language: English