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2017 | 18 | nr 1 | 87--101
Tytuł artykułu

Trading Volume and Volatility Patterns Across Selected Central European Stock Markets from Microstructural Perspective

Warianty tytułu
Języki publikacji
EN
Abstrakty
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. (original abstract)
Rocznik
Tom
18
Numer
Strony
87--101
Opis fizyczny
Twórcy
  • AGH University of Science and Technology, Poland
autor
  • Jagiellonian University, Poland
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171627908

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