Wszystkie pola: intraday patterns - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Intraday patterns in time-varying correlations among Central European stock markets
Autorzy:: Wójtowicz, T.
Powiązania:: https://bibliotekanauki.pl/articles/108424.pdf
Data publikacji:: 2016
Wydawca:: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:: CEE stock markets
DCC-GARCH model
emerging markets
intraday data
Opis:: In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare time-varying conditional correlations of intraday returns of the main indices of the stock exchanges. We study the impact of important public information, US macroeconomic news announcements, on the strength of interrelationships between the markets. Additionally, we analyze diurnal patterns in time-varying correlations on different days of the week.
Źródło:: Managerial Economics; 2016, 17, 1; 149-162
1898-1143
Pojawia się w:: Managerial Economics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective
Autorzy:: Gurgul, H.
Syrek, R.
Powiązania:: https://bibliotekanauki.pl/articles/1201257.pdf
Data publikacji:: 2017
Wydawca:: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:: high frequency data
flexible Fourier form regression
intraday patterns
Opis:: In this paper, the intraday patterns of trading volumes and volatilities as well as autocorrelations are investigated using high-frequency data. The analysis is performed for companies listed in the main German, Austrian, and Polish indices with the aid of Flexible Fourier Form regression. We have found some similarities to prior investigations in light of stylized facts about intraday patterns. We noted the differences in intraday patterns and autocorrelations across markets, which depend on the maturity level of the market. The most-regular patterns are observed for DAX companies. Additionally, using day-of-the-week dummies, we discover some peaks that can be associated with macroeconomic announcements in Germany and the US. This leads to conclusions that the day of the week and announcements should be taken into account in modeling volatilities (returns) and volumes from high-frequency data.
Źródło:: Managerial Economics; 2017, 18, 1; 87-101
1898-1143
Pojawia się w:: Managerial Economics
Dostawca treści:: Biblioteka Nauki

Artykuł

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