Search for content and authors
 

Time-dependent statistical analysis of the Polish stock market index WIG20

Ewa Śleszyńska 1Maciej W. Janowicz 1Arkadiusz J. Orłowski 2,3

1. Warsaw University of Life Sciences (SGGW), Nowoursynowska 159, Warszawa 02-787, Poland
2. Polska Akademia Nauk (PAN), Al. Lotników 32/46, Warszawa 02-668, Poland
3. Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland

Abstract

Dynamics of the Warsaw stock market index WIG20 has been investigated using the methods of econophysics. The dependence of the distribution function, kurtosis, scewness and volatility on time has been investigated, and the fluctuation analysis has been performed. Partial comparisons with analogous results for Dax as well as FTSE indices have been given. It is shown that the dependence of volatility on the logarithm of time appears to have a negative exponent for large times, and the linear depedendence of log(v) on log(t) breaks down. This seems to be in contranst with the analogous dependence in the case of more mature markets. Weakly multifractal character of the time series generated by the index WIG20 has also been found.

 

Legal notice
  • Legal notice:
 

Related papers

Presentation: Poster at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Maciej W. Janowicz
See On-line Journal of 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2010-11-22 12:38
Revised:   2010-11-22 12:40