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An econophysics approach to the Portuguese Stock Index—PSI-20

Author

Listed:
  • Matos, José A.O.
  • Gama, Sı́lvio M.A.
  • Ruskin, Heather J.
  • Duarte, José A.M.S.

Abstract

We analyse the PSI-20 (Portuguese Stock Index) data series from 1993 to 2001, with a view to examining the structure of the series, the appropriateness of the standard model forms for these data and evidence for market maturation.

Suggested Citation

  • Matos, José A.O. & Gama, Sı́lvio M.A. & Ruskin, Heather J. & Duarte, José A.M.S., 2004. "An econophysics approach to the Portuguese Stock Index—PSI-20," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 665-676.
    • Handle: RePEc:eee:phsmap:v:342:y:2004:i:3:p:665-676
    DOI: 10.1016/j.physa.2004.05.066
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    Citations

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    Cited by:

    1. Matos, José A.O. & Gama, Sílvio M.A. & Ruskin, Heather J. & Sharkasi, Adel Al & Crane, Martin, 2008. "Time and scale Hurst exponent analysis for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3910-3915.
    2. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
    3. Pedro Coelho & Luís Gomes & Patrícia Ramos, 2023. "Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR," Risks, MDPI, vol. 11(7), pages 1-14, July.
    4. Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.

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