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Searching for long memory effects in time series of central Europe stock market indices

Luboš Střelec

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2008, vol. 56, issue 3, 187-200

Abstract: This article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments. Source data are daily closing prices of Central Europe stock market indices – Bratislava stock index (SAX), Budapest stock index (BUX), Prague stock index (PX) and Vienna stock index (ATX) – in the period from January 1998 to September 2007. For analysed data R/S analysis is used to calculate the Hurst exponent. On the basis of the Hurst exponent is characterized formation and behaviour of analysed financial time series. Computed Hurst exponent is also statistical compared with his expected value signalling independent process. It is also operated with 5-day returns (i.e. weekly returns) for the purposes of comparison and identification nonperiodic cycles.

Keywords: Hurst exponent; R/S analysis; V-statistic; logarithmic ratio; stock market index (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2008056030187

DOI: 10.11118/actaun200856030187

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