Please use this identifier to cite or link to this item: https://open.uns.ac.rs/handle/123456789/728
Title: The influence of holiday effect on the rate of return of emerging markets: a case study of Slovenia, Croatia and Hungary
Authors: Milošević, Mijodrag
Anđelić G.
Vidaković, Mirna
Đaković, Vladimir 
Issue Date: 1-Jan-2019
Journal: Economic Research-Ekonomska Istrazivanja
Abstract: © 2019, © 2019 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. Taking into account the current trends and opportunities in the financial markets of developing countries, the subject of the research is to analyse, test and quantify the impact of the holiday effect on the daily return rates from investing activities for the observed financial markets of Slovenia, Croatia and Hungary. The aim of the research is to gain a concrete, empirically tested and quantified knowledge of the capabilities and effectiveness of autoregressive conditional heteroscedasticity (A.R.C.H.) and generalized autoregressive conditional heteroscedasticity (G.A.R.C.H.) models, in order to quantify the impact of the holiday effect on the rates of return from investing activities in the observed financial markets. The time period covered by the research is 2003–2016, where the length of the research time horizon makes possible model effectiveness testing in the periods before, during and after the global financial crisis. The methodology also includes S.I.C.–A.I.C. (Schwarz and Akaike) model selection criteria and a number of tests suitable for or adapted to the specific characteristics of financial markets in developing countries. The research results confirm the role and importance of the application of econometric models in order to quantify the risks of investing activities in the financial markets of developing countries.
URI: https://open.uns.ac.rs/handle/123456789/728
ISSN: 1331677X
DOI: 10.1080/1331677X.2019.1638281
Appears in Collections:FTN Publikacije/Publications

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