2013 | 154 | 144-151
Article title

Zależności długookresowe zmienności stóp zwrotu i wielkości obrotów na GPW w Warszawie

Title variants
Long-run Dependencies in Return Volatility and Trading Volume on WSE
Languages of publication
In the paper common long-term dynamics of return volatility and trading volume of the largest companies listed on Warsaw Stock Exchange in 2005-2011 is examined. The existence of contemporaneous relationship between volatility and volume is implied by the Mixture Distribution Hypothesis which states that volatility and trading volume are jointly generated by information flow process. In the study realized volatility computed on the basis of high frequency data is used as a measure of return volatility. It is more efficient measure of daily return volatility than commonly used absolute or squared returns.
Physical description
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Document Type
Publication order reference
YADDA identifier
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