Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective

doi:10.7494/manage.2017.18.1.87

Trading volume and volatility patterns across selected ...

Bibliographic description

title:	Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective
author:	Gurgul Henryk, Syrek Robert
Journal title:	Managerial Economics
volume:	18
issue:	1
date of publication:	2017
pages:	87-101
ISSN:	1898-1143
eISSN:	2353-3617
DOI:	10.7494/manage.2017.18.1.87
URL:	http://journals.bg.agh.edu.pl/MANAGERIAL/2017.18.1/manage.2017.18.1.87.pdf
date accessed:	2018-03-09
notes:	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.
keywords in english:	high frequency data, flexible Fourier form regression, intraday patterns
number of pulisher's sheets:	0,9
affiliation:	Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii, Finansów i Zarządzania
type:	journal article
subtype:	academic paper