Ljung-Box test values of selected companies of the Warsaw Stock Exchange
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资源简介：
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.
提供机构：
Gdańsk University of Technology
创建时间：
2021-05-08
