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The logarithmic ACD model : the microstructure of the German and Polish stock markets
Journal
Managerial Economics
13
Author
Gurgul Henryk
Syrek Robert
Volume
17
Number
1
Pages
77-92
ISSN
1898-1143
eISSN
2353-3617
Access date
2016-11-04
Remarks
Bibliogr. s. 89-92
Language
English
Journal language
English
Abstract in English
The main goal of this paper is to compare the microstructure of selected stocks listed on theFrankfurt and Warsaw Stock Exchanges. We focus on the properties of duration on both markets and on fitting the appropriate ACD models. Because of the quite different levels of capitalization of stocks on these markets, we observe essential discrepancies between these stocks. Whilefor most German companies on the DAX30, the Burr distribution fits better than generalized gamma distribution, the latter distribution is superior in the case of the largest Polish companies. Analyzing series by hazard function, we note the similarity of hazard functions for companies on both markets, which tend to have a U-shaped pattern.
Affiliation
Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii, Finansów i Zarządzania
| cris.lastimport.wos | 2024-04-09T22:38:50Z | |
| dc.abstract.en | The main goal of this paper is to compare the microstructure of selected stocks listed on theFrankfurt and Warsaw Stock Exchanges. We focus on the properties of duration on both markets and on fitting the appropriate ACD models. Because of the quite different levels of capitalization of stocks on these markets, we observe essential discrepancies between these stocks. Whilefor most German companies on the DAX30, the Burr distribution fits better than generalized gamma distribution, the latter distribution is superior in the case of the largest Polish companies. Analyzing series by hazard function, we note the similarity of hazard functions for companies on both markets, which tend to have a U-shaped pattern. | pl |
| dc.affiliation | Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii, Finansów i Zarządzania | pl |
| dc.contributor.author | Gurgul, Henryk | pl |
| dc.contributor.author | Syrek, Robert - 227829 | pl |
| dc.date.accession | 2016-11-04 | pl |
| dc.date.accessioned | 2016-11-25T14:15:03Z | |
| dc.date.available | 2016-11-25T14:15:03Z | |
| dc.date.issued | 2016 | pl |
| dc.date.openaccess | 0 | |
| dc.description.accesstime | w momencie opublikowania | |
| dc.description.additional | Bibliogr. s. 89-92 | pl |
| dc.description.number | 1 | pl |
| dc.description.physical | 77-92 | pl |
| dc.description.publication | 1 | pl |
| dc.description.version | ostateczna wersja wydawcy | |
| dc.description.volume | 17 | pl |
| dc.identifier.doi | 10.7494/manage.2016.17.1.77 | pl |
| dc.identifier.eissn | 2353-3617 | pl |
| dc.identifier.issn | 1898-1143 | pl |
| dc.identifier.uri | http://ruj.uj.edu.pl/xmlui/handle/item/32933 | |
| dc.identifier.weblink | https://journals.agh.edu.pl/manage/article/view/2109 | pl |
| dc.language | eng | pl |
| dc.language.container | eng | pl |
| dc.rights.licence | Inna otwarta licencja | |
| dc.share.type | otwarte czasopismo | |
| dc.subtype | Article | pl |
| dc.title | The logarithmic ACD model : the microstructure of the German and Polish stock markets | pl |
| dc.title.journal | Managerial Economics | pl |
| dc.type | JournalArticle | pl |
| dspace.entity.type | Publication |
cris.lastimport.wos
2024-04-09T22:38:50Z dc.abstract.enpl
The main goal of this paper is to compare the microstructure of selected stocks listed on theFrankfurt and Warsaw Stock Exchanges. We focus on the properties of duration on both markets and on fitting the appropriate ACD models. Because of the quite different levels of capitalization of stocks on these markets, we observe essential discrepancies between these stocks. Whilefor most German companies on the DAX30, the Burr distribution fits better than generalized gamma distribution, the latter distribution is superior in the case of the largest Polish companies. Analyzing series by hazard function, we note the similarity of hazard functions for companies on both markets, which tend to have a U-shaped pattern. dc.affiliationpl
Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii, Finansów i Zarządzania dc.contributor.authorpl
Gurgul, Henryk dc.contributor.authorpl
Syrek, Robert - 227829 dc.date.accessionpl
2016-11-04 dc.date.accessioned
2016-11-25T14:15:03Z dc.date.available
2016-11-25T14:15:03Z dc.date.issuedpl
2016 dc.date.openaccess
0 dc.description.accesstime
w momencie opublikowania dc.description.additionalpl
Bibliogr. s. 89-92 dc.description.numberpl
1 dc.description.physicalpl
77-92 dc.description.publicationpl
1 dc.description.version
ostateczna wersja wydawcy dc.description.volumepl
17 dc.identifier.doipl
10.7494/manage.2016.17.1.77 dc.identifier.eissnpl
2353-3617 dc.identifier.issnpl
1898-1143 dc.identifier.uri
http://ruj.uj.edu.pl/xmlui/handle/item/32933 dc.identifier.weblinkpl
https://journals.agh.edu.pl/manage/article/view/2109 dc.languagepl
eng dc.language.containerpl
eng dc.rights.licence
Inna otwarta licencja dc.share.type
otwarte czasopismo dc.subtypepl
Article dc.titlepl
The logarithmic ACD model : the microstructure of the German and Polish stock markets dc.title.journalpl
Managerial Economics dc.typepl
JournalArticle dspace.entity.type
Publication Affiliations
Wydział Zarządzania i Komunikacji Społecznej
Syrek, Robert
No affiliation
Gurgul, Henryk
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