Pregled bibliografske jedinice broj: 577078
Stock exchange index returns in different inflation rate regimes
Stock exchange index returns in different inflation rate regimes. Saarbrücken: Lambert Academic Publishing, 2012 (monografija)
CROSBI ID: 577078 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Stock exchange index returns in different inflation rate regimes
Autori
Radman Peša, Anita ; Kavkler, Alenka ; Festić, Mejra
Vrsta, podvrsta i kategorija knjige
Autorske knjige, monografija, znanstvena
Izdavač
Lambert Academic Publishing
Grad
Saarbrücken
Godina
2012
Stranica
47
ISBN
978-3-8484-8315-0
Ključne riječi
model-based recursive partitioning; regression trees; financial markets; stock returns
Sažetak
In this paper, we apply a tree – based approach to examine the stock exchange index returns for the panel of 12 New EU Member States in the last ten years. As explanatory variables we employ GDP, interest rates and other financial and macroeconomic variables. To obtain the tree structure of the model, the model-based recursive partitioning (MOB) algorithm uses the generalized M-fluctuation test to check for parameter instability. In our case, the algorithm yields three terminal nodes pointing to rate of inflation as the splitting variable. The results are discussed and interpreted in light of the current economic situation.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
