Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe
Journal Title: Operations Research and Decisions - Year 2014, Vol 24, Issue 1
Abstract
Implications of market frictions in the context of serial correlations in indexes on the Central and Eastern European (CEE) stock markets have been analysed. Market frictions, such as non-trading effects, bid/ask spreads, other transaction costs, etc., may be detected by direct measurement, or by indirect identification. Direct measurement of frictions is difficult as intraday trading data are unavailable in the case of most of the emerging CEE stock markets. Indirect identification may be conducted by detecting some empirical phenomena. One of them is evidence of serial correlations in indexes, the so-called the Fisher effect. We explore the problem of serial correlations in indexes on the eight CEE stock markets using data samples from each CEE market separately, as well as a “common trading window” approach, which is widely applied in the case of databases with multivariate time series. The evidence is that nonsynchronous trading effect II between markets may substantially disrupt the analysis of index returns on a domestic market. Using a synchronized database, one may erroneously conclude that the Fisher effect does not exist, although it is present.
Authors and Affiliations
Elżbieta Majewska, Joanna Olbryś
Keywords
Related Articles
- EP ID EP165078
- DOI -
- Views 33
- Downloads 0
Graphical presentation of a measure of an employee's competence for a job position
The main objective of this paper was to develop a graphical presentation of a measure of an employee’s competence (ECVM) for a job position. In this context, the essence and formula for measuring the value of an employee...
Determining models of influence
We consider a model of opinion formation based on aggregation functions. Each player modifies his opinion by arbitrarily aggregating the current opinion of all players. A player is influential on another player if the op...
A mixed control chart adapted to the truncated life test based on the Weibull distribution
The design of a new mixed attribute control chart adapted to a truncated life test has been pre-sented. It was assumed that the lifetime of a product follows the Weibull distribution and the number of failures was observ...
The role of normal logical form in decision-making and knowledge management
The normal form in logic has been considered. Any propositional function, i.e. any finite logical expression can be written in such a form. This indicates the possibility of an unequivocal logical representation of many...
Analysis of the voting method used in the European Central Bank
Game theoreticians usually deal with standard voting methods such as plurality voting or approval voting. In reality however, some complicated non-standard voting methods are used. In this paper the voting method and rot...