Use this url to cite publication: https://cris.mruni.eu/cris/handle/007/35443
Options
Differences of volatility behavior in sectorial indices: empirical evidence from the Baltic market
Type of publication
Straipsnis kitame recenzuojamame leidinyje / Article in other peer-reviewed edition (S5)
Title
Differences of volatility behavior in sectorial indices: empirical evidence from the Baltic market
Publisher (trusted)
Univerzita Komenského v Bratislave |
Date Issued
2014
Extent
p. 45-55
Is part of
Ekonomické a manažérske výzvy podnikateľského prostredia = Economic and managerial challenges of business environment : proceedings of the scientific papers / Comenius university in Bratislava. Faculty of management. Department of Economics and Finance. Bratislava : Univerzita Komenského v Bratislave, 2014. ISBN 9788022337687.
Description
MPu : 3.1.1, 3.1.2., 3.1.1
Field of Science
Abstract
Though the analysis o f volatility in stock returns lias a ric/i history, the focus in academic literature is usually being paicl to the general stock market indices or individual company’s returns missing more discussions on differences o f sectorial indices. This research considers volatility behavior using various tests and modeling techniąues in order to find distinctions between sectorial indices o f the Baltics. The results suggest that though the sectorial indices contain several, common for financial data, features, at the šame time, the differences o f characteristics and sensitivity to previous crisis are found to be significant. The ft n dings are useful not only for theoretical features o f financial data, būt also for practitioners who sėt sectorial limits for their portfolios (loans, investments, etc.).
Type of document
type::text::journal::journal article::research article
ISBN (of the container)
9788022337687
eLABa
8250226
Coverage Spatial
Slovėnija / Slovenia (SI)
Language
Anglų / English (en)
Bibliographic Details
39