Izvleček / Abstract
KAOS IN RED NA KAPITALSKIH TRGIH – PRIMER MAJHNEGA TRANZICIJSKEGA GOSPODARSTVA
CHAOS AND ORDER IN CAPITAL MARKETS: THE CASE OF A SMALL TRANSITION ECONOMY
Doc. dr.Timotej Jagrič
University of Maribor, Faculty of Economics and Business, Department for Quantitative Economic Analysis
Dr.Matej Podbregar, MD
General Hospital Celje, Department for Internal Medicine
Izvleček
UDK: 336.76:330.43
V prispevku predstavljamo »wavelet analizo« dolgoročne odvisnosti, ki temelji na Hurstovem eksponentu. Izdelana je numerična primerjava predstavljene cenilke eksponenta s klasičnimi cenilkami, ki temeljijo na analizi R/S. Uporabljamo jo za analizo dolgoročne odvisnosti na kapitalskem trgu majhnega tranzicijskega gospodarstva (Slovenije). Rezultati raziskave kažejo, da hipoteza učinkovitega trga verjetno ni primerna za opazovani kapitalski trg. Rezultati tudi nakazujejo, da so ocene občutljive na frekvenco podatkov in zajeto časovno obdobje. Odvisni so tudi od opravljene transformacije časovne serije.
Ključne besede: kapitalski trg, kaos, Hurstov eksponent, analiza R/S, »wavelet analiza«, hipoteza učinkovitega trga
UDC: 336.76:330.43
In the paper a wavelet analysis of long range dependence based on the Hurst exponent is presented. Numerical comparisons are made against traditional estimators of the exponent based on R/S analysis. The estimator is used to perform an analysis of the long range dependence in the capital market of a small transition economy (Slovenia). The results in this study suggest that the efficient market hypothesis may not hold for the observed capital market. The results also suggest that the estimation of the exponent is sensitive to the frequencies of the data employed and to the sample period. Additionally, the format of the time series has an important impact on the results.
Keywords: capital market, chaos, Hurst exponent, R/S analysis, wavelet analysis, efficient market hypothesis
JEL: G10, C14, C22, C63, E32