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Miłobędzki Paweł (University of Gdansk, Poland)
A Note on the Market Model Specification when Stocks Markets Are Integrated
FindEcon Monograph Series : advances in financial market analysis, 2007, nr 3, s. 61-67, rys., tab., bibliogr. s. 67
Tytuł własny numeru
Financial markets : principles of modeling forecasting and decision-making
Słowa kluczowe
Modelowanie ekonometryczne, Rynki giełdowe, Warszawski Indeks Giełdowy (WIG)
Econometric modeling, Stock markets, Warsaw Stock Exchange Index
The purpose of this chapter is to demonstrate the usefulness of VEC representation in estimation of the first-pass regression (extended multi index model) using data from the Warsaw Stock Exchange (WSE). In what follows the natural logs of prices of the portfolios mimicking the main WSE indices, WIG (the whole market) and WIG20 (top 20 blue chips), and some sectoral indices are used. They include WIG-Ban (banking), WIG-Bud (construction), WIG-Inf (it), WIG-Spoz (food) and WIG-Tel (telecommunication). All of them except for WIG20 are the return type indices. Estimation and inference is nested within the methodology developed by Johansen (1988, 1991). The main conclusions drawn on the monthly series from the period May 2000 - November 2005 are that there has existed at least one co-integrating vector and a moderate feedback into some sectors caused by departures from the long run equilibrium. (fragment of text)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
  1. Cuthbertson K., Nitzsche D. (2004), Quantitative Financial Economics. Stocks, Bonds and Foreign Exchange, Chichester: Wiley.
  2. Hamilton J. (1994), Time Series Analysis, Princeton: Princeton University Press.
  3. Jagannathan R., Wang Z. (1998), An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression, Journal of Finance, 53, 1285-1309.
  4. Johansen S. (1988), Statistical Analysis of Cointegrating Vectors, Journal of Economic Dynamics and Control, 12, 231-254.
  5. Johansen S. (1991), Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59, 1551-1580.
  6. Kan R., Zhang C. (1999), Two-Pass Tests of Asset Pricing Models with Useless Factors, Journal of Finance, 54, 203-235.
  7. Leybourne S. J. (1995), Testing for Unit Root Using Forward and Reverse Dickey-Fuller Regressions, Oxford Bulletin of Economics and Statistics, 57, 559-571.
  8. Magda I., Wziatek-Kubiak A. (2006), Changes in the Competitive Position of the Czech Republic, Hungary and Poland in the EU Market. Case, Studia i Materiały, 317.
  9. Osterwald-Lenum M. (1992), A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Tests Statistics, Oxford Bulletin of Economics and Statistics, 54, 461-472.
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