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Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans

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Abstract

In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of develo** 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 T p ≈ 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.

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Authors and Affiliations

  1. Faculty of Physics, University of Belgrade, P.O. Box 550, 11001, Belgrade, Serbia

    Darko Sarvan & Vladimir Miljković

  2. Faculty of Dental Medicine, University of Belgrade, Dr Subotića 8, 11000, Belgrade, Serbia

    Djordje Stratimirović

  3. Institute for Medical Research, University of Belgrade, P.O. Box 102, 11129, Belgrade, Serbia

    Suzana Blesić

Authors
  1. Darko Sarvan
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  2. Djordje Stratimirović
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  3. Suzana Blesić
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  4. Vladimir Miljković
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Correspondence to Suzana Blesić.

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Sarvan, D., Stratimirović, D., Blesić, S. et al. Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans. Eur. Phys. J. B 87, 297 (2014). https://doi.org/10.1140/epjb/e2014-50655-5

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