Statistical analysis of price returns of regional stock market indices

Abstract

This paper analyses regional stock market indices of selected Central and Eastern European countries. We compiled a unique data set of the period of three years (2007-2009) of daily returns of major indices from the major stock markets in Bulgaria, Croatia, Hungary, Romania, Serbia and Slovenia. We found it interesting to test the stationarity of each time series during the global financial crisis of 2008. The research concludes that the average daily returns were negative for all the stock markets. On the other hand, we also show that considerable differences exist among the regional markets with regard to their response to the crisis.