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Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective
Journal
Managerial Economics
13
Author
Gurgul Henryk
Syrek Robert
Volume
18
Number
1
Pages
87-101
ISSN
1898-1143
eISSN
2353-3617
Keywords in English
high frequency data
flexible Fourier form regression
intraday patterns
Access date
2018-03-09
Remarks
Bibliogr. s. 100-101
Language
English
Journal language
English
Abstract in English
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.
Affiliation
Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii, Finansów i Zarządzania
| cris.lastimport.wos | 2024-04-09T23:24:22Z | |
| dc.abstract.en | 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. | 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 | 2018-03-09 | pl |
| dc.date.accessioned | 2018-03-09T13:29:14Z | |
| dc.date.available | 2018-03-09T13:29:14Z | |
| dc.date.issued | 2017 | pl |
| dc.date.openaccess | 0 | |
| dc.description.accesstime | w momencie opublikowania | |
| dc.description.additional | Bibliogr. s. 100-101 | pl |
| dc.description.number | 1 | pl |
| dc.description.physical | 87-101 | pl |
| dc.description.publication | 0,9 | pl |
| dc.description.version | ostateczna wersja wydawcy | |
| dc.description.volume | 18 | pl |
| dc.identifier.doi | 10.7494/manage.2017.18.1.87 | pl |
| dc.identifier.eissn | 2353-3617 | pl |
| dc.identifier.issn | 1898-1143 | pl |
| dc.identifier.uri | https://ruj.uj.edu.pl/xmlui/handle/item/51595 | |
| dc.identifier.weblink | http://journals.bg.agh.edu.pl/MANAGERIAL/2017.18.1/manage.2017.18.1.87.pdf | pl |
| dc.language | eng | pl |
| dc.language.container | eng | pl |
| dc.rights | Dodaję tylko opis bibliograficzny | * |
| dc.rights.licence | Inna otwarta licencja | |
| dc.rights.uri | * | |
| dc.share.type | otwarte czasopismo | |
| dc.subject.en | high frequency data | pl |
| dc.subject.en | flexible Fourier form regression | pl |
| dc.subject.en | intraday patterns | pl |
| dc.subtype | Article | pl |
| dc.title | Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective | pl |
| dc.title.journal | Managerial Economics | pl |
| dc.type | JournalArticle | pl |
| dspace.entity.type | Publication |
cris.lastimport.wos
2024-04-09T23:24:22Z dc.abstract.enpl
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. 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
2018-03-09 dc.date.accessioned
2018-03-09T13:29:14Z dc.date.available
2018-03-09T13:29:14Z dc.date.issuedpl
2017 dc.date.openaccess
0 dc.description.accesstime
w momencie opublikowania dc.description.additionalpl
Bibliogr. s. 100-101 dc.description.numberpl
1 dc.description.physicalpl
87-101 dc.description.publicationpl
0,9 dc.description.version
ostateczna wersja wydawcy dc.description.volumepl
18 dc.identifier.doipl
10.7494/manage.2017.18.1.87 dc.identifier.eissnpl
2353-3617 dc.identifier.issnpl
1898-1143 dc.identifier.uri
https://ruj.uj.edu.pl/xmlui/handle/item/51595 dc.identifier.weblinkpl
http://journals.bg.agh.edu.pl/MANAGERIAL/2017.18.1/manage.2017.18.1.87.pdf dc.languagepl
eng dc.language.containerpl
eng dc.rights*
Dodaję tylko opis bibliograficzny dc.rights.licence
Inna otwarta licencja dc.rights.uri*
dc.share.type
otwarte czasopismo dc.subject.enpl
high frequency data dc.subject.enpl
flexible Fourier form regression dc.subject.enpl
intraday patterns dc.subtypepl
Article dc.titlepl
Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective dc.title.journalpl
Managerial Economics dc.typepl
JournalArticle dspace.entity.type
Publication Affiliations
Wydział Zarządzania i Komunikacji Społecznej
Syrek, Robert
No affiliation
Gurgul, Henryk