Mxx, Kospi, Wig20, Ssmi

The Report on The Stock Exchange Markets of Mexico, Seoul, Warsaw and Zurich Ramiz Rahmanov Denis Sharapenko Davit Tutberidze Giorgi Tarkhan-Mouravi

Outline ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Motivation ,[object Object],[object Object]

Data description ,[object Object],[object Object],[object Object]

Data description ,[object Object],[object Object]

Prior investigation of indices

Prior investigation of indices AR(3) KOSPI AR(4) FTSE AR(5) MXX AR(6) N225 HSI AR(1) WIG20 SSMI GDAXI DJI IXIC BVSP

Prior investigation of returns

Prior investigation of returns Index Period 1 Period 2 Period 3 MXX 1997-2002 1508 2003-2005 505 2006-2007 772 KOSPI 1997-2003 1600 2003-2007 885 2007 323 WIG20 1997-1999 500 1999-2003 1000 2003-2007 1286 SSMI 1997-2002 1395 2002-2003 205 2003-2007 1167

Prior investigation of returns Index Whole Period 1 Period 2 Period 3 MXX KOSPI WIG20 SSMI

Prior investigation of returns ,[object Object],[object Object],AR(0) WIG20 AR(2) KOSPI AR(1) MXX SSMI

Granger causality Index Whole Period 1 Period 2 Period 3 MXX KOSPI WIG20 SSMI

Investigation of the risks ,[object Object],[object Object],[object Object],[object Object],[object Object]

ARCH/GARCH models ,[object Object],[object Object],[object Object],[object Object]

ARCH/GARCH models Index Whole Period 1 Period 2 Period 3 MXX E(1,2) T(1,2) KOSPI T(1,1) E(1,2) E(1,2) WIG20 T(1,2) E(1,2) G(1,2) SSMI E(1,2) E(1,1) E(1,2) T(1,2)

Summary ,[object Object],[object Object],[object Object],[object Object],[object Object]

Thank you very much! ,[object Object],[object Object]

Mxx, Kospi, Wig20, Ssmi

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Mxx, Kospi, Wig20, Ssmi

Editor's Notes