A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Aachen
Shaker
2004
|
| Series: | Berichte aus der Betriebswirtschaft
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI,122 S. graph. Darst. 210 mm x 148 mm, 194 gr. |
| ISBN: | 3832229302 |
Staff View
MARC
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Record in the Search Index
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| adam_text | CONTENTS 1. INTRODUCTION 1 2. DATA DESCRIPTION 5 3. INFORMATIONAL
EFFICIENCY OF STOCK MARKETS 9 3.1 INTRODUCTION 9 3.2 VARIANCE RATIO TEST
11 3.2.1 DESCRIPTION 12 3.2.2 EMPIRICAL RESULTS 15 3.3 LONG-RANGE
DEPENDENCE 19 3.3.1 ECONOMETRICS 20 3.3.2 EMPIRICAL RESULTS 24 3.4
ANALYSIS OF PERMANENT AND TEMPORARY COMPONENTS OF STOCK PRICES 26 3.4.1
MOTIVATION FOR A MULTIVARIATE REPRESENTATION OF STOCK PRICES AND
INTEREST RATES 28 3.4.2 ECONOMETRIC METHODOLOGY 29 3.4.3 EMPIRICAL
RESULTS 39 3.4.4 ECONOMICAL ASPECTS CONCERNING THE STATISTICAL RESULTS
46 3.5 CONCLUSIONS 47 4. ANALYSIS OF CROSS-COUNTRY CORRELATIONS 51 4.1
INTRODUCTION 51 4.2 EXTREME VALUE THEORY 54 4.2.1 DISTRIBUTION OF MAXIMA
55 4.2.2 DISTRIBUTION OFEXCEEDANCES 57 4.2.3 MULTIVARIATE EXCEEDANCES 59
4.2.4 ESTIMATION PROCEDURE 60 4.3 METHODOLOGY OF EMPIRICAL INVESTIGATION
62 4.3.1 OPTIMAL THRESHOLD LEVELS 62 4.3.2 MAXIMUM LIKELIHOOD ESTIMATION
65 4.3.3 NORMALITY TESTS 67 4.3.4 THRESHOLD VALUES 69 4.4 EMPIRICAL
RESULTS 70 4.4.1 ANALYSIS OF CORRELATIONS 70 4.4.2 NORMALITY TESTS
.....84 4.5 ECONOMICAL DISCUSSION OF STATISTICAL RESULTS , 85 4.6
CONCLUSIONS 86 5. INDEX FUTURES MARKETS 89 5.1 INTRODUCTION 89 5.2
THEORETICAL BACKGROUND 90 5.3 CONDITIONS FOR AN EFFICIENT AND EFFECTIVE
JOINT-FUNCTIONING OF MARKETS... 95 5.4 METHODOLOGY 97 5.5 EMPIRICAL
RESULTS 98 5.6 CONCLUSIONS 108 6, FINAL CONCLUSIONS 111 BIBLIOGRAPHY 115
VI
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| spelling | Gogoneaţă, Basarab 1976- Verfasser (DE-588)12924466X aut A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary Basarab Gogoneata Aachen Shaker 2004 VI,122 S. graph. Darst. 210 mm x 148 mm, 194 gr. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Betriebswirtschaft Zugl.: Frankfurt (Oder), Univ., Diss., 2004 Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Kapitalmarkteffizienz (DE-588)4125264-0 gnd rswk-swf Ungarn (DE-588)4078541-5 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Polen (DE-588)4046496-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Aktienmarkt (DE-588)4130931-5 s Kapitalmarkteffizienz (DE-588)4125264-0 s Polen (DE-588)4046496-9 g Ungarn (DE-588)4078541-5 g DE-604 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012930509&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gogoneaţă, Basarab 1976- A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary Aktienmarkt (DE-588)4130931-5 gnd Kapitalmarkteffizienz (DE-588)4125264-0 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4125264-0 (DE-588)4078541-5 (DE-588)4011882-4 (DE-588)4046496-9 (DE-588)4113937-9 |
| title | A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary |
| title_auth | A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary |
| title_exact_search | A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary |
| title_full | A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary Basarab Gogoneata |
| title_fullStr | A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary Basarab Gogoneata |
| title_full_unstemmed | A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary Basarab Gogoneata |
| title_short | A comparative analysis of efficiency and functioning of capital markets from Germany, Poland and Hungary |
| title_sort | a comparative analysis of efficiency and functioning of capital markets from germany poland and hungary |
| topic | Aktienmarkt (DE-588)4130931-5 gnd Kapitalmarkteffizienz (DE-588)4125264-0 gnd |
| topic_facet | Aktienmarkt Kapitalmarkteffizienz Ungarn Deutschland Polen Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012930509&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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