No Access

AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ

MIRCEA GLIGOR

Department of Physics, National Collegium "Roman Voda", Str. M. Eminescu, 4, Roman-5550, Neamt, Romania

https://doi.org/10.1142/S021902490400261XCited by:1 (Source: Crossref)

Abstract

An empirical analysis of the Romanian emerging stock market RASDAQ based on the statistical study of the composite index RASDAQ-C reveals the leptokurtic profile of the probability density function (p.d.f.) of the stock index changes, the power law asymptotic behaviour of the p.d.f., the breakdown of scaling at long time scales, the absence of linear correlation in the stock index changes but existence of long-range correlation in nonlinear function such as the absolute value or the square of index changes (implicitly the long-range correlation in the index volatility). These results, consistent with the similar referring to the more liquid markets, suggest the presence of several universal features, in addition to several particularities related to the quickness of assimilation of the new information and its impact over the investors.

Keywords:

References

L. Bachelier, Ann. Sci. Ecole Normale Supérieure III17, 21 (1900). Google Scholar
R. C. Blattberg and N. Gonedes, J. Bus. 47, 244 (1974), DOI: 10.1086/295634. Crossref, Google Scholar
J. P. Bouchaud and M. Potters , Theory of Financial Risk ( Cambridge University Press , 2000 ) . Google Scholar
P. Cizeauet al., Physica A 245, 441 (1997), DOI: 10.1016/S0378-4371(97)00417-2. Crossref, Web of Science, Google Scholar
P. K. Clark, Econometrica 41, 135 (1973), DOI: 10.2307/1913889. Crossref, Web of Science, Google Scholar
R. Cont , M. Potters and J. P. Bouchaud , Scaling in the stock market data: Stable laws and beyond , Proc. CNRS Workshop on Scale Invariance , eds. B. Dubrulle , F. Graner and D. Sornette ( Springer , Berlin , 1997 ) . Google Scholar
R. Cont, Scaling and correlation in financial time series, Science & Finance Working Paper 97-01. Available at: , http://xxx.lanl.gov.Cond-mat/9705075 . Google Scholar
M. M. Dacorognaet al., J. Int. Money Financ. 12, 413 (1993), DOI: 10.1016/0261-5606(93)90004-U. Crossref, Web of Science, Google Scholar
J. L. Doob , Stochastic Processes ( J. Wiley & Sons , New York , 1953 ) . Google Scholar
E. F. Fama, J. Financ. 25, 383 (1970), DOI: 10.2307/2325486. Crossref, Web of Science, Google Scholar
E. F. Fama, J. Bus. 38, 34 (1965), DOI: 10.1086/294743. Crossref, Google Scholar
W. Feller , An Introduction to Probability Theory and its Applications , 2nd edn. 2 ( J. Wiley & Sons , New York , 1971 ) . Google Scholar
M. Gligor and M. Ignat, Interdiscipl. Sci. Rev. 26, 183 (2001), DOI: 10.1179/030801801679449. Crossref, Web of Science, Google Scholar
P. Gopikrishnanet al., Eur. Phys. J. B 3, 139 (1998), DOI: 10.1007/s100510050292. Crossref, Web of Science, Google Scholar
P. Gopikrishnan, M. Meyer, L. A. N. Amaral, V. Plerou and H. E. Stanley, Scaling and volatility correlations in the stock market, preprint. Available at: , http://xxx.lanl.gov.Cond-mat/9905305 . Google Scholar
P. Gopikrishnanet al., Phys. Rev. E 60, 5305 (1999), DOI: 10.1103/PhysRevE.60.5305. Crossref, Web of Science, Google Scholar
J. Hausman, A. Lo and A. C. MacKinlay, J. Financ. Econ. 31, 319 (1992), DOI: 10.1016/0304-405X(92)90038-Y. Crossref, Web of Science, Google Scholar
Y. Liuet al., Phys. Rev. E 59, 1390 (1999). Web of Science, Google Scholar
M. Loretan and P. C. B. Phillips, J. Empirical Financ. 1, 211 (1994), DOI: 10.1016/0927-5398(94)90004-3. Crossref, Web of Science, Google Scholar
T. Lux, Appl. Fin. Econ. 6, 463 (1996), DOI: 10.1080/096031096333917. Crossref, Google Scholar
B. B. Mandelbrot, J. Bus. Univ. Chicago 36, 394 (1963). Google Scholar
R. N. Mantegna and H. E. Stanley , An Introduction to Econophysics: Correlations and Complexity in Finance ( Cambridge University Press , 2000 ) . Google Scholar
R. N. Mantegna and H. E. Stanley, Nature 376, 46 (1995), DOI: 10.1038/376046a0. Crossref, Web of Science, Google Scholar
R. N. Mantegna and H. E. Stanley, Nature 383, 587 (1996), DOI: 10.1038/383587a0. Crossref, Web of Science, Google Scholar
R. N. Mantegna and H. E. Stanley, Phys. Rev. Lett. 73, 2946 (1994), DOI: 10.1103/PhysRevLett.73.2946. Crossref, Web of Science, Google Scholar
R. N. Mantegna and H. E. Stanley , Physics investigation of financial markets , Proc. Int. Sch. Physics "Enrico Fermi", Course CXXXIV , eds. F. Mallamace and H. E. Stanley ( IOS Press , Amsterdam , 1997 ) . Google Scholar
R. N. Mantegna, Physica A 179, 232 (1991). Crossref, Google Scholar
U. A. Mülleret al., J. Bank. Financ. 14, 1189 (1990). Crossref, Web of Science, Google Scholar
U. A. Müller, M. M. Dacorogna and O. V. Pictet, A Practical Guide to Heavy Tails, Heavy tails in high-frequency financial data, eds. R. J. Adler, R. E. Feldman and M. S. Taqqu (Birkhauser, Basel, 1998) pp. 83–311. Google Scholar
R. R. Officer, J. Am. Stat. Assoc. 67, 807 (1972), DOI: 10.2307/2284641. Crossref, Web of Science, Google Scholar
A. Pagan, J. Empirical Financ. 3, 15 (1996), DOI: 10.1016/0927-5398(95)00020-8. Crossref, Web of Science, Google Scholar
V. Plerouet al., Phys. Rev. E 60, 6519 (1999), DOI: 10.1103/PhysRevE.60.6519. Crossref, Web of Science, Google Scholar
P. D. Praetz, J. Bus. 45, 49 (1972), DOI: 10.1086/295425. Crossref, Google Scholar
Rasdaq Market: , http://www.rasd.ro . Google Scholar
D. Zajdenweber, Rev. Econ. Polit. 104, 408 (1994). Google Scholar