New Results on Gain-Loss Asymmetry for Stock Markets Time Series

• Authors: M. Grudziecki , E. Gnatowska , K. Karpio , A. Orłowski , M. Załuska-Kotur
• Languages of publication: EN

Abstracts

EN

A method called investment horizon approach was successfully used to analyze stock markets of many different countries. Here we apply a version of this method to study characteristics of the Polish Pioneer mutual funds. We decided to analyze Pioneer because of its longest involvement in investing on the Polish market. Moreover, it apparently manages the biggest amount of money among all similar institutions in Poland. We compare various types of Pioneer mutual funds, characterized by different financial instruments they invest in. Previously, investment horizon approach produced different characteristics of emerging markets as opposed to mature ones, providing a possible way to quantify stock market maturity. Here we generalize the above mentioned results for mutual funds of various types.

Keywords

EN

89.65.Gh; 02.50.r; 89.90.+n

Discipline

• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 89.90.+n: Other topics in areas of applied and interdisciplinary physics (restricted to new topics in section 89)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2008
• Volume: 114
• Issue: 3
• Pages: 569-574

Dates

published

2008-09

received

2007-11-22

Contributors

author

M. Grudziecki

• Faculty of Mathematics and Natural Sciences, Card. Stefan Wyszyński University, Warsaw, Poland

author

E. Gnatowska

• Faculty of Mathematics and Natural Sciences, Card. Stefan Wyszyński University, Warsaw, Poland

author

K. Karpio

• Department of Informatics, Warsaw University of Life Sciences - SGGW, Warsaw, Poland

author

A. Orłowski

• Department of Informatics, Warsaw University of Life Sciences - SGGW, Warsaw, Poland
• Institute of Physics, Polish Academy of Sciences, Warsaw, Poland

author

M. Załuska-Kotur

• Faculty of Mathematics and Natural Sciences, Card. Stefan Wyszyński University, Warsaw, Poland
• Institute of Physics, Polish Academy of Sciences, Warsaw, Poland

References

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• 9. M.A. Załuska-Kotur, K. Karpio, A. Orłowski, Acta Phys. Pol. B 37, 3187 (2006)
• 10. K. Karpio, M. Załuska-Kotur, A. Orłowski, Physica A 375, 599 (2007)
• 11. P.T.H. Ahlgren, M.H. Jensen, I. Simonsen, R. Donangelo, K. Sneppen, Physica A 3831, (2007)

Identifiers

DOI

10.12693/APhysPolA.114.569