Details about Joanna Olbrys

Access statistics for papers by Joanna Olbrys.

Last updated 2024-05-08. Update your information in the RePEc Author Service.

Short-id: pol146

Journal Articles

2023

1. What are the most important factors affecting job satisfaction? Evidence for Poland from the Bayesian Network model
   Journal of East European Management Studies, 2023, 28, (3), 442-478

2020

2. Assessing Commonality in Liquidity with Principal Component Analysis: The Case of the Warsaw Stock Exchange
   JRFM, 2020, 13, (12), 1-13 View citations (1)

2019

3. Depth, tightness and resiliency as market liquidity dimensions: evidence from the Polish stock market
   International Journal of Computational Economics and Econometrics, 2019, 9, (4), 308-326 View citations (2)
4. Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach
   Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) View citations (3)
5. Intra-market commonality in liquidity: new evidence from the Polish stock exchange
   Equilibrium. Quarterly Journal of Economics and Economic Policy, 2019, 14, (2), 251-275 View citations (1)
6. Measuring stock market resiliency with Discrete Fourier Transform for high frequency data
   Physica A: Statistical Mechanics and its Applications, 2019, 513, (C), 248-256 View citations (3)

2017

7. Measurement of stock market liquidity supported by an algorithm inferring the initiator of a trade
   Operations Research and Decisions, 2017, 27, (4), 111-127 View citations (1)
8. The Evolution of Financial Integration on Selected European Stock Markets: a Dynamic Principal Component Approach
   Comparative Economic Research, 2017, 20, (4), 45-63

2016

9. Crisis periods and contagion effects in the CEE stock markets: the influence of the 2007 US subprime crisis
   International Journal of Computational Economics and Econometrics, 2016, 6, (2), 124-137 View citations (2)

2015

10. Bear Market Periods during the 2007–2009 Financial Crisis: Direct Evidence from the Visegrad Countries
    Acta Oeconomica, 2015, 65, (4), 547-565 View citations (4)
11. Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
    Dynamic Econometric Models, 2015, 15, 49-69 View citations (1)
12. Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis
    Folia Oeconomica Stetinensia, 2015, 15, (1), 101-113

2014

13. Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe
    Operations Research and Decisions, 2014, 24, (1), 51-70 View citations (1)
14. Is illiquidity risk priced? The case of the Polish medium-size emerging stock market
    Bank i Kredyt, 2014, 45, (6), 513�536

2013

15. Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach
    Dynamic Econometric Models, 2013, 13, 33-50 View citations (1)
16. Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones
    Emerging Markets Finance and Trade, 2013, 49, (S2), 145-157 View citations (4)

2012

17. Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds
    Folia Oeconomica Stetinensia, 2012, 10, (2), 60-80

2011

18. ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market
    Dynamic Econometric Models, 2011, 11, 185-202 View citations (1)
19. Book-to-Market, Size and Momentum Factors in Market-Timing Models: The Case of the Polish Emerging Market
    Research in Economics and Business: Central and Eastern Europe, 2011, 3, (2) View citations (1)

2010

20. Three-factor market-timing models with Fama and French’s spread variables
    Operations Research and Decisions, 2010, 20, (2), 91-106

Chapters

2024

1. Extreme Events and Stock Market Efficiency: The Modified Shannon Entropy Approach
   Springer

2023

2. Ranking Stock Markets Informational (In)Efficiency During the COVID-19 Pandemic
   Springer

2022

3. Interest Rate Changes and Investors’ Activity: Evidence from Poland During the Pandemic Period
   Springer

2021

4. Extracting Common Factors from Liquidity Measures with Principal Component Analysis on the Polish Stock Market
   Springer View citations (1)

2020

5. Market Tightness on the CEE Emerging Stock Exchanges in the Context of the Non-trading Problem
   Springer

2019

6. Alternative Estimators for the Effective Spread Derived from High-Frequency Data
   Springer View citations (1)
7. Market-Wide Commonality in Liquidity on the CEE-3 Emerging Stock Markets
   Springer

2018

8. Components of the Effective Spread: Evidence from the Warsaw Stock Exchange
   Springer
9. Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market
   Springer View citations (1)
10. Measuring Dynamics of Financial Integration on the Euro Area Stock Markets, 2000–2016
    Springer
11. On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market
    Springer View citations (2)
12. Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange
    Springer

2017

13. Dimensions of Market Liquidity: The Case of the Polish Stock Market
    Springer View citations (4)
14. Formal Identification of Crises on the Euro Area Stock Markets, 2004–2015
    Springer
15. Interaction Between Market Depth and Market Tightness on the Warsaw Stock Exchange: A Preliminary Study
    Springer

2012

16. Multifactor Mutual Fund Performance Evaluation Based on the Panel Data Estimation
    Chapter 6 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2012, vol. 10, pp 107-119

2011

17. Comparative Analysis of Polish Equity Open-end Mutual Funds' Portfolios Using Estimators of Risk Measures and Risk-Tolerance Coefficient
    Chapter 9 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2011, vol. 9, pp 141-154

2009

18. Forecasting Portfolio Return Based on Bayesian Network Model
    Chapter 11 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 157-171

2007

19. Decomposing Value-at-Risk: The Case of a Fund of Funds Portfolio
    Chapter 10 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 149-161