Ljung-Box test values of selected companies of the Warsaw Stock Exchange - Open Research Data - Bridge of Knowledge

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Ljung-Box test values of selected companies of the Warsaw Stock Exchange

Description

The following dataset includes the Warsaw Stock Exchange market analysis using the Ljung-Box test. Partial autocorrelations up to the 5th order were analyzed, because it will allow to observe the relationship within one week of stock exchange quotations. In the case of the WIG index, the 1st and 2nd order correlation turned out to be statistically significant. It is the only index where two autocorrelations were significant. For the WIG20 index, only the 2nd order autocorrelation is important, and for the mWIG40 and sWIG80 indices, the 1st order. No higher order autocorrelation was recorded on any of the indexes.

Dataset file

Tabela 72.xlsx
23.5 kB, S3 ETag 3665d1e959248669e1134becbc97d115-1, downloads: 5
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File details

License:
Creative Commons: by-nc 4.0 open in new tab
CC BY-NC
Non-commercial

Details

Year of publication:
2021
Verification date:
2021-05-10
Creation date:
2020
Dataset language:
Polish
Fields of science:
  • economics and finance (Social studies)
DOI:
DOI ID 10.34808/1v52-fe22 open in new tab
Verified by:
Gdańsk University of Technology

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