Return Rates of WIG20 Index in the Situation of Extreme Tide Turning on the Warsaw Stock Exchange

16 Pages Posted: 22 Dec 2010

Date Written: December 20, 2010

Abstract

In the paper the authors presented analysis of fitting the following distributions: normal, t-Student, α-stable, hyperbolic, generalized hyperbolic, normal inverse Gaussian, generalized hyperbolic t-Student and general error distribution to the empirical series of WIG20 returns in the situation of extreme tide turning on the WSE. There were analysed daily logarithmic rates of returns of WIG20 index quoted on the WSE in two periods: the period of intensive rising trend 17 May 2005-05 July 2007 and the period of intensive declining trend 06 July 2007-17 February 2009. The results of the study show that the characteristics of real rates of returns art the best reflected by the same distributions in the both analysed periods. The best fitted distributions belong to the family of generalized hyperbolic distributions.

Keywords: Return Rate Distribution, Extreme Tide Turing

JEL Classification: C12, C46, G10

Suggested Citation

Piasecki, Krzysztof Maciej and Tomasik, Edyta, Return Rates of WIG20 Index in the Situation of Extreme Tide Turning on the Warsaw Stock Exchange (December 20, 2010). Available at SSRN: https://ssrn.com/abstract=1728991 or http://dx.doi.org/10.2139/ssrn.1728991

Krzysztof Maciej Piasecki (Contact Author)

Poznan University of Economics ( email )

Poznan, 60-967
Poland

Edyta Tomasik

Kozminski University

ul. JagielloDska 57/59
Warsaw, 03-303
Poland

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