Crisis and financial data properties: A persistence view

Пластун, Олексій Леонідович; Макаренко, Інна Олександрівна; Єльнікова, Юлія Василівна; Шелюк, Асіят Ашурбєківна

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Title	Crisis and financial data properties: A persistence view
Authors	Plastun, Oleksii Leonidovych Makarenko, Inna Oleksandrivna Yelnikova, Yuliia Vasylivna Sheliuk, Asiiat Ashurbiekivna
ORCID	http://orcid.org/0000-0001-8208-7135 http://orcid.org/0000-0001-7326-5374 http://orcid.org/0000-0002-8478-4716
Keywords	персистентність персистентность persistence R/S аналіз R/S analysis показник Херста Hurst exponent
Type	Article
Date of Issue	2018
URI	http://essuir.sumdu.edu.ua/handle/123456789/71193
Publisher	Foundation of International Studies
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Citation	Crisis and financial data properties: A persistence view [Text] / A. Plastun, I. Makarenko, Yu. Yelnikova, А. Sheliuk // Journal of International Studies. 2018. - Vol. 11, Issue 3. - P. 284-294. - DOI:10.14254/2071-8330.2018/11-3/22.
Abstract	This paper investigates persistence in Ukrainian financial data during the recent local crisis of 2013-2015. Using R/S analysis with the Hurst exponent method and its dynamic modification we show that data properties (case of persistence) are unstable and vary over time. Persistence increases dramatically during the crisis periods. These results can be used both to predict crises at early stages and to model financial data with the appropriate methods: to determine models for the cases of persistent data and stochastic ones for the cases of nonpersistent data. It is concluded that financial markets become less efficient during crises.
Appears in Collections:	Наукові видання (ННІ БТ)