کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977035 933168 2007 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Gain–loss asymmetry for emerging stock markets
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Gain–loss asymmetry for emerging stock markets
چکیده انگلیسی

Stock indexes for some European emerging markets are analyzed using an investment-horizon approach. Austrian ATX index and Dow Jones have been studied and compared with several emerging European markets. The optimal investment horizons are plotted as a function of an absolute return value. Gain–loss asymmetry, originally found for American DJIA index, is observed for all analyzed data. It is shown, that this asymmetry has different character for emerging and for established markets. For established markets, gain curve lies typically above loss curve, whereas in the case of emerging markets the situation is just the opposite. We propose a measure quantifying the gain–loss asymmetry that clearly exhibits a difference between emerging and established markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 375, Issue 2, 1 March 2007, Pages 599–604
نویسندگان
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