On the Modelling of Stagnation Intervals in Emerging Stock Markets

Abstract

The strong passivity is specific for emerging markets, like Baltic, Central European and etc. Stagnation effect influences lot of unusual difficulties in analysis and modeling of financial series in such markets. Typical characteristics of this phenomenon are constancy periods of stock prices. The paper deals with the distributional analysis of constancy periods lengths. Empirical study and modeling experiments have showed that constancy period’s lengths are distributed by Hurwitz distribution. A new mixed stable model with dependent states is proposed.