Naslov
ANALYSIS OF THE LEVERAGE EFFECT – EVIDENCE FROM LJUBLJANA STOCK EXCHANGE

Autori
Arnerić, Josip ; Čižmešija, Mirjana ; Sorić, Petar

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 13th International Symposium on Operational Research, Bled, Slovenia / Stirn, Zadnik L. ; Žerovnik J. ; Borštnar, Kljajić M. ; Drobne S. - Ljubljana, 2015, 273-278

ISBN
978-961-6165-45-7

Skup
13th International Symposium on Operational Research

Mjesto i datum
Bled, Slovenija, 23.09.2015. - 25.09.2015

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
news impact curve ; leverage effect ; asymmetric GARCH model ; rotation parameter ; SBI stock market index ; LR test

Sažetak
This paper studies GARCH models that can absorb the leverage effect, i.e. impacts of negative and positive shocks to conditional variance. Different functional forms of asymmetric GARCH models are analyzed on the daily Slovenian stock market index returns. The goal of this paper is to examine how different GARCH models reflect on asymmetric responses to bad and good news, i.e. different shapes of news impact curve (NIC) can be determined. The rotation of NIC is examined in the crisis and post-crisis period. The type of a GARCH model that fits data the best is chosen according to various information criteria.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA