Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1638281
The influence of holiday effect on the rate of return of emerging markets: a case study of Slovenia, Croatia and Hungary
Marko Milošević
; Faculty of Business Economy, EDUCONS University, Sremska Kamenica, Serbia
Goran Anđelić
; Faculty of Business Economy, EDUCONS University, Sremska Kamenica, Serbia
Slobodan Vidaković
; Faculty of Business Economy, EDUCONS University, Sremska Kamenica, Serbia
Vladimir Đaković
; Faculty of Technical Science, University of Novi Sad, Novi Sad, Serbia
Sažetak
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.
Ključne riječi
Holiday effect; rates of return; A.R.C.H.; G.A.R.C.H.; risk; investing
Hrčak ID:
229546
URI
Datum izdavanja:
22.1.2019.
Posjeta: 814 *