Vol.3, No 2, 2006 pp. 189 - 201
UDC
53:33 336.76(497.11)
STYLIZED FACTS OF ASSET RETURNS: CASE OF BELEX
Vladimir Miljković1, Ognjen Radović2
1 Faculty of Physics, University of Belgrade, 11000 Belgrade, Serbia
2 Faculty of Economics, University of Niš, 18000 Niš, Serbia
This paper represents a study of the time series of stock market indexes at Belgrade Stock Market. Statistical analysis of this data is performed and a set of stylized empirical facts is presented. Various statistical properties of stock market indexes returns are described: lack of normality, correlation in the return series, and some non-linear tests. Our description emphasizes properties common to a wide variety of emerging and developing markets. We show statistical properties of Belgrade stock market, which significantly invalidate many of the common statistical approaches used to study financial data sets and examine some of the statistical problems encountered in each case.
Key Words:
Financial Time Series, Financial Market, Belgrade Stock Exchange
STILIZOVANE ČINJENICE O PRINOSU AKTIVE:
SLUČAJ BELEX
Ovaj rad predstavlja studiju o vremenskim serijama berzanskih indeksa sa Beogradske berze. Izvršene su statističke analize ovih podataka i prikazan je skup stilizovanih empirijskih činjenica. Opisane su različite osobine prinosa na berzanske indekse: odsustvo normalnosti, korelacija u prinosima serija, i rezultati nekih nelinearnih testova. Naši rezultati potvrđuju osobine koje su zajedničke različitim tržištima u nastajanju i tržištima u razvoju. Prikazali smo statističke osobine serija sa Beogradske berze, koje u značajnoj meri odstupaju od uobičajnog statističkog pristupa analizi finansijskih podataka i naglašavaju zapažene statističke probleme.
Ključne reči:
finansijske vremenske serije, finansijska tržišta, Beogradska berza.
