مورد إلكتروني
The influence of holiday effect on the rate of return of emerging markets: a case study of Slovenia, Croatia and Hungary
| العنوان: | The influence of holiday effect on the rate of return of emerging markets: a case study of Slovenia, Croatia and Hungary |
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| المصدر: | Economic research - Ekonomska istraživanja; ISSN 1331-677X (Print); ISSN 1848-9664 (Online); Volume 32; Issue 1 |
| بيانات النشر: | Taylor and Francis Group and Juraj Dobrila University of Pula, Faculty of economics and tourism Dr. Mijo Mirković 2019 |
| تفاصيل مُضافة: | Marko Milošević Goran Anđelić Slobodan Vidaković Vladimir Đaković |
| نوع الوثيقة: | Electronic Resource |
| مستخلص: | Taking into account the current trends and opportunities in the financial markets of developing countries, the subject of the research is to analyse, test and quantify the impact of the holiday effect on the daily return rates from investing activities for the observed financial markets of Slovenia, Croatia and Hungary. The aim of the research is to gain a concrete, empirically tested and quantified knowledge of the capabilities and effectiveness of autoregressive conditional heteroscedasticity (A.R.C.H.) and generalized autoregressive conditional heteroscedasticity (G.A.R.C.H.) models, in order to quantify the impact of the holiday effect on the rates of return from investing activities in the observed financial markets. The time period covered by the research is 2003–2016, where the length of the research time horizon makes possible model effectiveness testing in the periods before, during and after the global financial crisis. The methodology also includes S.I.C.–A.I.C. (Schwarz and Akaike) model selection criteria and a number of tests suitable for or adapted to the specific characteristics of financial markets in developing countries. The research results confirm the role and importance of the application of econometric models in order to quantify the risks of investing activities in the financial mar- kets of developing countries. |
| مصطلحات الفهرس: | Holiday effect; rates of return; A.R.C.H.; G.A.R.C.H.; risk; investing, text, info:eu-repo/semantics/article, info:eu-repo/semantics/publishedVersion |
| URL: | info:eu-repo/semantics/altIdentifier/doi/10.1080/1331677X.2019.1638281 |
| الإتاحة: | Open access content. Open access content info:eu-repo/semantics/openAccess |
| ملاحظة: | application/pdf English |
| أرقام أخرى: | HRCAK oai:hrcak.srce.hr:229546 1379351956 |
| المصدر المساهم: | HRCAK PORTAL ZNANSTVENIH CASOPISA REPUB From OAIster®, provided by the OCLC Cooperative. |
| رقم الأكسشن: | edsoai.on1379351956 |
| قاعدة البيانات: | OAIster |
| الوصف غير متاح. |