Scientific Papers

JOURNAL OF INTERNATIONAL STUDIES


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ISSN: 2306-3483 (Online), 2071-8330 (Print)

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Crisis and financial data properties: A persistence view

Vol. 11, No 3, 2018

 

Alex Plastun

 

Sumy State University

Ukraine

o.plastun@uabs.sumdu.edu.ua

Crisis and financial data properties: A persistence view

Inna Makarenko

 

Sumy State University

Ukraine

i.makarenko@uabs.sumdu.edu.ua


Yuliia Yelnikova

 

Sumy State University

Ukraine

y.yelnikova @uabs.sumdu.edu.ua


Аsiiat Sheliuk

 

Sumy State University

Ukraine

a.ashurbiekova @uabs.sumdu.edu.ua


 

 

 

 

 

 

 

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 non-persistent data. It is concluded that financial markets become less efficient during crises.

 

 

Received: December, 2017

1st Revision: February, 2018

Accepted: June, 2018

 

DOI: 10.14254/2071-

8330.2018/11-3/22

 

JEL ClassificationC22, G12

Keywordspersistence, long memory, R/S analysis, Hurst exponent