Title:

Statistical properties of rates of return of the companies listed on the Warsaw Stock Exchange in the period of 2005-2015

Group publication title:

Ekonometria = Econometrics

Title in english:

Własności statystyczne stóp zwrotu spółek notowanych na GPW w Warszawie w latach 2005-2015

Creator:

Dębski, Wiesław ; Feder-Sempach, Ewa ; Wójcik, Szymon

Subject and Keywords:

rates of return ; shares listed on stock exchange ; statistical properties ; bull and bear market ; stopy zwrotu ; akcje notowane na giełdzie ; własności statystyczne ; rynekbyka i niedźwiedzia

Description:

Ekonometria = Econometrics, 2017, Nr 3 (57), s. 88-100

Abstrakt:

The rates of return of listed companies are subject to numerous studies, particularly those listed on the stock exchange. Information about rates of return are useful primarily for investors choosing an investment, estimating its risk and profitability of the investment made. Among these studies, many of them are devoted to the examination of the statistical properties of the rates of return. The aim of the article is to examine the statistical properties of the monthly rates of return of companies listed on the Warsaw Stock Exchange in the period of 2005-2015. Such parameters as mean value, standard deviation, semi-standard deviation, skewness and 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

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/ekt.2017.3.07

Language:

eng

Relation:

Ekonometria = Econometrics, 2017, Nr 3 (57)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu