Summaries
Managerial Economics 7, 135-137
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among five companies representing five main sectors of Swiss economy. The results confirm the lack of such dependence. There was especially not established dependence between frequency components of time series pairs.
Henryk Gurgul, Marcin Suder: Nonlinar dynamics of stock market indices
wig20 and atx: comparative analysis Ekonomia Menedżerska 2010, nr 7
Keywords: time series, chaos, correlation dimension, BDS, Lyapunov exponents, stochastic
dynamics
This paper contains results of research concentrated at identification of nonlinear structures and deterministic chaos occurring on Austrian and Polish stock market. Taking into consideration the ATX and WIG20 indices from period I 2001–VIII 2008 and using the most popular statisti‑ cal methods of uncovering the existence of chaos in nonlinear structures was indicated. Our results confirmed that in both considered cases chaos systems exist, however the number of dynamic variables required to describe the system for each index vary subtly. This value equals 6 for ATX and 7 for WIG20. Conducted analysis also brought evidence of small differences in length of nonperiodic cycles.
Anna Czapkiewicz, Iwona Skalna: the Fama–French model for the Polish
market Ekonomia Menedżerska 2010, nr 7
Keywords: asset pricing, cross-sectional test, Fama–French model
The Fama‑French (FF) three‑factor model has been tested for the Polish stock market using the sample that spans years 2003‑2007. The model is verified using the technique of rolling betas. The results show the significant impact of factors constructed based on the fundamental values such as firm size and book‑to‑market ratio value (BE/ME), whereas the market beta has little or no ability in explaining the variation in stock returns. The small stocks effect and the effect of stocks with big BE/ME can be noticed.
