https://doi.org/10.1140/epjb/e2014-50655-5
Regular Article
Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans
1
Faculty of Physics, University of Belgrade,
P.O. Box 550, 11001
Belgrade,
Serbia
2
Faculty of Dental Medicine, University of Belgrade,
Dr Subotića 8, 11000
Belgrade,
Serbia
3
Institute for Medical Research, University of
Belgrade, P.O. Box
102, 11129
Belgrade,
Serbia
a e-mail: suzana@imi.bg.ac.rs
Received:
24
September
2014
Published online:
10
December
2014
In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We have used three different techniques of data analysis to obtain and verify our findings: detrended fluctuation analysis (DFA) method, detrended moving average (DMA) method, and wavelet transformation (WT) analysis. We have found scaling behavior in all SMI data sets that we have analyzed. The scaling of our SMI series changes from long-range correlated to slightly anti-correlated behavior with the change in growth or maturity of the economy the stock market is embedded in. We also report the presence of effects of potential periodic-like influences on the SMI data that we have analyzed. One such influence is visible in all our SMI series, and appears at a period Tp ≈ 90 days. We propose that the existence of various periodic-like influences on SMI data may partially explain the observed difference in types of correlated behavior of corresponding scaling functions.
Key words: Statistical and Nonlinear Physics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2014