Modelowanie mikrostruktury polskiego rynku kapitałowego

• Autorzy: Małgorzata Doman

Warianty tytułu

Modeling the Microstructure of Polish Financial Market

• Języki publikacji: PL

Abstrakty

W artykule podjęto próbę opisania zmian cen transakcyjnych mikrostruktury rynku w przypadku Giełdy Papierów Wartościowych w Warszawie. Za pomocą modelu autoregresyjnej duracji warunkowej (Autoregressive Conditional Duration – ACD) zbadano warunkowy oczekiwany czas trwania ceny. Analizę przeprowadzono dla spółki Agora, należącej do portfela indeksu WIG20.

EN

The development in computer power made possible collecting and analyzing stock data at the transaction frequency. This gives a very rich material to investigate and have a deep insight into the stock market dynamics but, at the same time, creates a new difficult methodological problems connected with the specific properties of high frequency financial data. The character of that data depends strongly on so called market microstructure effects. The dynamics peculiar to the irregularly spaced data is a very important phenomenon of the market microstructure. In this paper we model the series of time intervals between consecutive changes of stock price (stock price duration). We use Engle and Russell's Autoregressive Conditional Duration (ACD) model to describe the dynamics of stock price duration in the case of Polish company Agora. Because of low liquidity of Polish stock market, we consider 5-minute observations. Our results show that the ACD models can be useful in analysis of the Polish stock market microstructure. (original abstract)

Słowa kluczowe

PL

Analiza ekonometryczna; Rynek kapitałowy; Spółki kapitałowe; Struktura rynku kapitałowego; Transakcje giełdowe; Model ACD (Autoregresyjna duracja warunkowa)

EN

Econometric analysis; Capital market; Capital company; Structure of the capital market; Stock exchange dealings; ACD model (Autoregressive conditional duration)

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2006
• Numer: nr 78
• Strony: 149--167

Twórcy

autor

Małgorzata Doman

Bibliografia

• Andersen T.G., Bollerslev T., Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts, International Economic Review 1998, 39, 885-905.
• Barndorff-Nielsen O.E., Shephard N., Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models, Journal of the Royal Statistical Society, 64, Series B, 2002, 253-280.
• Bauwens L., Giot P., Asymmetric ACD Models: Introducing Price Information in ACD Models, Empirical Economics 2003, 28(4), 709-731.
• Dacorogna M.M., Gençay R., Olsen R.B., Pictet O.V., An Introduction to High-Frequency Finance, Academic Press, San Diego 2001.
• Doman M., Doman R., Ekonometryczne modelowanie dynamiki polskiego rynku finansowego, Wydawnictwo Akademii Ekonomicznej w Poznaniu, Poznań 2004.
• Engle R.F., Rüssel J.R., Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica 1998, 66(5), 1127-1162.
• Ghysels E., Jasiak J., GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model, Studies in Nonlinear Dynamics and Econometrics 1998, 2, 133-149.
• O'Hara M., Market Microstructure Theory, Blackwell Inc., Oxford 1995.
• Snyder D.L., Miller M. I., Random Point processes in Time and Space, Springer-Verlag, New York 1991.
• Tsay R.S., Analysis of Financial Time Series, Wiley Series in Probability and Statistics, John Wiley& Sons, New York 2002.