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Statistical Properties of Rates of Return on Shares Listed on the German, French, and Polish Markets – a Comparative Study

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  • Wiesław Dębski
  • Ewa Feder-Sempach
  • Szymon Wójcik

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  • Wiesław Dębski & Ewa Feder-Sempach & Szymon Wójcik, 2018. "Statistical Properties of Rates of Return on Shares Listed on the German, French, and Polish Markets – a Comparative Study," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
    • Handle: RePEc:wyz:journl:id:522
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    References listed on IDEAS

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    1. Ren, Fei & Guo, Liang & Zhou, Wei-Xing, 2009. "Statistical properties of volatility return intervals of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 881-890.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    3. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
    4. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
    5. Fei Ren & Wei-Xing Zhou, 2014. "Dynamic Evolution of Cross-Correlations in the Chinese Stock Market," PLOS ONE, Public Library of Science, vol. 9(5), pages 1-15, May.
    6. Gilles Zumbach & Luis Fern�ndez & Caroline Weber, 2014. "Processes for stocks capturing their statistical properties from one day to one year," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 849-861, May.
    7. Kramer, Walter & Runde, Ralf, 1996. "Stochastic Properties of German Stock Returns," Empirical Economics, Springer, vol. 21(2), pages 281-306.
    8. Qiu, T. & Zheng, B. & Ren, F. & Trimper, S., 2007. "Statistical properties of German Dax and Chinese indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 387-398.
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    Cited by:

    1. Anggraini Dewi & Phonwattana Somsathid & Sudawan Somjai & Erlane K. Ghani & Zulfikar Bagus Pambuko, 2019. "Stock Market Trends and Oil Prices: Evidence from a Developing Country," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 13(3), September.

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