- Author
- Wójtowicz Tomasz (AGH Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie)
- Title
- Wpływ wielkości obrotów na ocenę warunkowej wariancji stóp zwrotu akcji na GPW w Warszawie
The Influence of Trading Volume on Conditional Variance of Stock Returns on WSE - Source
- Studia i Prace Wydziału Nauk Ekonomicznych i Zarządzania / Uniwersytet Szczeciński, 2008, nr 10, s. 685-696, tab., bibliogr. 21 poz.
- Issue title
- Inwestowanie na rynku kapitałowym
- Keyword
- Przyczynowość, Stopa zwrotu, Model GARCH, Model ARFIMA, Rynek kapitałowy, Wolumen obrotu
Causality, Rate of return, GARCH model, Autoregressive fractionally integrated moving average model (ARFIMA), Capital market, Trading volume - Note
- streszcz., summ..
- Company
- Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange - Abstract
- W pracy przedstawiono wyniki badania liniowej przyczynowości pomiędzy wolumenem obrotów a warunkową wariancją stóp zwrotu. Analiza została przeprowadzone dla spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie w latach 2001-2007. Przeprowadzone obliczenia wskazują na istotny wpływ historycznych wartości wolumenu na ocenę warunkowej wariancji stóp zwrotu. (abstrakt oryginalny)
In this paper the linear Granger causality between trading volume and conditional variance of stock returns is examined. The analysis is conducted on the basis of daily data of stocks quoted on WSE in 2001-2007. Computations indicate significant influence of trading volume on stock returns volatility. (original abstract) - Accessibility
- The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Szczecin University Main Library - Bibliography
-
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- Cited by
- ISSN
- 1899-2382
- Language
- pol
