Rinkos elgsenos tyrimas Vilniaus vertybinių popierių biržos pavyzdžiu

Abstract

The problem of the market behaviour is up-to-date and very important for the investors. Dependencies between stock prices and their future trends influence the possibility of portfolio risk management. After analyzing statistical dependencies between selected stocks listed on Vilnius stock exchange, strong correlation dependencies between the majority of the stocks have been noticed. Correlation dependencies between the historical and forecasted price average value, which is also very high, provides reasonable evidence of the forecasting system adequacy and other characteristics, influencing its efficient application for stock market behavior forecasting. Plotting possible set of portfolios composed of stock pairs with highest and lowest correlation visually describes the statement of decreasing portfolio risk together with decrease of correlation coefficients between assets.