Statistical properties of returns for stocks listed on WSE in period 2005-2015

Wiesław A. Dębski 1Ewa M. Feder-Sempach 2Szymon Wójcik 3

1. University of Finance and Management in Warsaw, Pawia 55, Warsaw 01-030, Poland
2. University of Lodz, Faculty of Economics and Sociology, Chair of International Economic Relations (EK-SOC), POW 3/5, Łódź 90255, Poland
3. University of Lodz, Faculty of Economics and Sociology, Deprtment of Econometrics (EK-SOC), 41, Rewolucji 1905r. St., Łódź 90-214, Poland

Abstract

The rates of returns of listed companies are subject to numerous studies, particularly companies listed on stock exchange. Information about rates of returns are usefull primarily for investors choosing an investment, estimating its risk and profitability of investment made. Among these studies, many of them are devoted to examination of statistical properties of the rates of return.

The article aims to examine the statistical properties of the rates of return of companies listed on the Warsaw Stock Exchange in the period 2005-2015. Such parameters as mean value, standard deviation, semi-standard deviation, skewness, kurtosis will be studied, and whether the rates of return have a normal distribution. These properties will be investigated for the whole market and broken down into bull and bear market conditions according to two definitions and monthly, weekly and daily frequency of measurement of the rates of return.

 

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  1. FULLTEXT: Statistical properties of returns for stocks listed on WSE in period 2005-2015, Zip archive data, at least v2.0 to extract, 0.1MB
  2. FULLTEXT: Statistical properties of returns for stocks listed on WSE in period 2005-2015, Zip archive data, at least v2.0 to extract, 0.1MB
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Presentation: Oral at Current Economic and Social Topics 2015, by Wiesław A. Dębski
See On-line Journal of Current Economic and Social Topics 2015

Submitted: 2015-10-12 10:42
Revised:   2016-11-21 22:00
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