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The position of the WIG index in comparison with selected market indices in boom and bust periods

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  • Beata Basiura
  • Anna Czapkiewicz

Abstract

The main aim of this work is to discover the differences between the rank of Polish stock market in the boom and the bust cycles. The data of the daily stock market returns for the twenty three major international indices from Europe, America and Asia are used in the research. Two boom and two bust periods are considered. The correlation coefficient obtained from Copula-GARCH model is a similarity measure between the considered indices returns. The cluster analysis carried on for these series in the boom and bust the cycles allows us to find the differences in the market behaviour.

Suggested Citation

  • Beata Basiura & Anna Czapkiewicz, 2014. "The position of the WIG index in comparison with selected market indices in boom and bust periods," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(3), pages 427-436, June.
    • Handle: RePEc:csb:stintr:v:15:y:2014:i:3:p:427-436
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    References listed on IDEAS

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    4. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
    5. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-883, November.
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    Cited by:

    1. Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.

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