MODELLING SOME PROPERTIES OF STOCK MARKETS IN TRANSITION ECONOMICS

In contrast to a predominant behaviour of the financial series of the developed markets (no or very short serial correlations), the financial series of the emerging markets exhibit a different behaviour. We investigate the financial series of the index returns for ten European transition economies. The results suggest the presence of the long-range correlations. Additionally, all series seem to be asymmetrically distributed and exhibit magnitude long-range correlations, as commonly found for the developed markets. We model these properties with a process, which is presented in Section II.