Abstract
An empirical analysis of the Romanian emerging stock market RASDAQ based on the statistical study of the composite index RASDAQ-C reveals the leptokurtic profile of the probability density function (p.d.f.) of the stock index changes, the power law asymptotic behaviour of the p.d.f., the breakdown of scaling at long time scales, the absence of linear correlation in the stock index changes but existence of long-range correlation in nonlinear function such as the absolute value or the square of index changes (implicitly the long-range correlation in the index volatility). These results, consistent with the similar referring to the more liquid markets, suggest the presence of several universal features, in addition to several particularities related to the quickness of assimilation of the new information and its impact over the investors.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
