Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008

Ewa Syczewska ()

No 46, Working Papers from Department of Applied Econometrics, Warsaw School of Economics

Abstract: We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991–30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the series. This period was not without its perils for the Hungarian economy. We check presence of long memory of the series with use of classification based on the Hurst index and fractional integration parameter estimates. We analyze sample ACF and PACF functions and fractional integration estimates also for squared returns of the index. Volatility of returns and squared returns increases towards the end of sample, in agreement with the fact of risk growth due to the global crisis. In last part of sample the series of returns was antipersistent, changing sign more often, and the series was more volatile. Graphs of spectrum for the series show different behavior of logarithmic returns (more volatile towards the end of sample) and similar for squared returns throughout the sample.Length: 21 pages

Keywords: unit root; nonstationarity; spectral analysis; long memory; random walk; fractional integration; stock exchange index; volatility; risk (search for similar items in EconPapers)
JEL-codes: C22 G19 (search for similar items in EconPapers)
Date: 2010-09-23
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