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    Wyświetlanie 1-3 z 3
    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
    Tytuł:
    Practical application of high resolution ground penetrating radar method inside buildings
    Autorzy:
    Mazurek, E.
    Łyskowski, M.
    Powiązania:
    https://bibliotekanauki.pl/articles/184545.pdf
    Data publikacji:
    2012
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    GPR
    sleeve
    high frequency GPR antenna
    foundations of buldings
    reinforced concrete
    Opis:
    An infrastructure development requires a precise indoor localization plan of cables, pipes or reinforcing elements. Due to the age of many buildings in Poland such plans often do not exist or do not contain the evidence of numerous activities carried out over years like repairs or modifications. Due to this situation demands for application of geophysical methods grow, especially with respect to the Ground Penetrating Radar (GPR) method. A possibility of precise localization of hidden objects arises with the use of high frequency antennas together and with precise measuring grid. Research carried out at the request of one of the departments of AGH University of Science and Technology in building B2 showed great potential of GPR methods in this field. The study was devoted to recognition of structure of the concrete floor. The obtained results gave very precise location of numerous objects of interest and they became a good sample of high resolution investigations. The survey was performed with ProEx unit, produced by a Swedish company - Mala Geoscience, which is in the possession of the Department of Geophysics, Faculty of Geology, Geophysics and Environmental Protection.
    Źródło:
    Geology, Geophysics and Environment; 2012, 38, 4; 439-448
    2299-8004
    2353-0790
    Pojawia się w:
    Geology, Geophysics and Environment
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic
    Autorzy:
    Suliga, Milena
    Powiązania:
    https://bibliotekanauki.pl/articles/24201282.pdf
    Data publikacji:
    2023
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    COVID-19
    event study
    expiration day effects
    futures market
    high-frequency data
    stock market
    Warsaw Stock Exchange
    Opis:
    This paper examines the existence of expiration day effects of stock and index derivatives on the Warsaw Stock Exchange. Event study analysis is employed to high-frequency data to check the occurrence of four types of anomalies: abnormal increase in trading volume and in intraday volatility of underlying stocks, price reversal and price shock. The study confirms that on expiration days trading volume of underlying stocks increase unusually during the time when final settlement prices of expiring futures are being calculated. Intraday volatility of stock prices is also abnormally high on expiration days. However, before 2020 this price effect occurred on expiration days during triple withing hour, while in the initial phase of COVID-19 pandemic it has been visible on expiration days only at the close and additionally at the beginning of the next trading session. The analysis of price reversal and price shock effects revealed that only the second anomaly is a phenomenon which constantly appears after futures expiration, indicating the distortion of stock prices on expiration days and their return to normal levels at the beginning of the next trading session. Division of the research period (2018-2020) into two parts allow to find out that after the outbreak of the pandemic, when the importance of hedgers’ activity on the futures market have increased, some of the analyzed anomalies have weakened and their duration have been shortened. However, distortions of underlying stock prices have been still visible at the close of the trading session on expiration days. This suggests that as long as the final settlement prices of stock future are equal to closing prices of underlying stocks, expiration day effects will occur on the WSE.
    Źródło:
    Managerial Economics; 2023, 23, 1; 39--82
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-3 z 3

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