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

• Authors: Henryk Gurgul , Tomasz Wójtowicz

Title variants

EN

Long-run Dependencies in Return Volatility and Trading Volume on WSE

• Languages of publication: PL

Abstracts

EN

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.

Keywords

PL

Giełda papierów wartościowych; Spółki giełdowe; Stopa zwrotu akcji; Szeregi czasowe

EN

Stock market; Stock market companies; Stock rate of returns; Time-series

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 154
• Pages: 144-151

Contributors

author

Henryk Gurgul

author

Tomasz Wójtowicz

References

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Identifiers

ISSN

2083-8611