Polish Stock Market and some foreign markets - dependence analysis by copulas

Henryk Gurgul, Roland Mestel () and Robert Syrek ()

Operations Research and Decisions, 2008, vol. 18, issue 2, 17-35

Abstract: By applying copulas the examination was carried out to find out whether trading volume, stock return and return volatility are pairwise dependent. In the investigations it was shown that there exists a close relationship between these variables on the domestic market and between Polish stock returns and the returns of foreign stock market indexes. A similar significant relationship concerns also trading volumes. In addition, stock returns (returns volatility) of the Austrian and especially of the German stock market influence Polish trading volume. The lack of significant DJIA returns impact on the trading volume on WSE on the same day is probably caused by the fact that changes of DJIA lead changes on the European stock markets.

Keywords: Copulas; dependences; stock returns; trading volume (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ord.pwr.edu.pl/assets/papers_archive/97%20-%20published.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:2:y:2008:p:17-35

Access Statistics for this article

More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Adam Kasperski ().