English, Article edition: TESTING COINTEGRATION FOR CZECH STOCK MARKET Tran Van Quang

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/196969
Physical Description
  • article
Language
  • English

Edition details

Title
  • TESTING COINTEGRATION FOR CZECH STOCK MARKET
Author
  • Tran Van Quang
Physical Description
  • article
Notes
  • Based on cointegration analysis of daily data of the most liquid Czech stock from September 1, 1997 to February 28, 2007, a long run equilibrium relationship was revealed to exist between prices of stocks of Komerční banka (KB), České energetické závody (CEZ) and Unipetrol (UNPE). Prices time series of these stocks have a unit root and are cointegrated. There is a unique combination of these stocks which is mean reverting and can be used to achieve statistical arbitrage. However, in order to exploit this possibility, a number of challenges need to be dealt with. Investors should take into account the speed of the mean reversion rate, the size of the variation and the stability of the out of sample behaviour of this combination of these stocks.
  • unit root, cointegration, Czech stocks prices time series, mean reverting
  • RePEc:prg:jnlaop:v:2007:y:2007:i:4:id:70:p:17-31
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment