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Autor
Gurgul Henryk (University of Science and Technology, Cracow, Poland), Wójtowicz Tomasz
Tytuł
High-Volume Return Premium : an Event Study Approach
Źródło
Statistics in Transition, 2009, vol. 10, nr 1, s. 129-151, wykr., tab., bibliogr. s. 149-151
Słowa kluczowe
Związki dynamiczne, Wolumen obrotu, Akcje, Rynek kapitałowy, Giełda papierów wartościowych, Strategia inwestycyjna
Dynamic relationships, Trading volume, Shares, Capital market, Stock market, Investment strategy
Uwagi
summ.
Abstrakt
The dynamic relationships between extreme trading volume and subsequent stock returns on the Warsaw Stock Exchange, the London Stock Exchange, the Frankfurt Stock Exchange and the Vienna Stock Exchange are compared using event study methodology. The dynamic relationship between extreme trading volume and mean abnormal returns on days following an event depends on the stock exchange. This relation is mostly significant and positive in the case of the WSE, the LSE and the VSE, and depends on the nature and size of the stock exchange. The high-volume-return premium is more pronounced for small size stocks with lower liquidity levels. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
Pokaż
Bibliografia
Pokaż
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ISSN
1234-7655
Język
eng
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