Stock Price and Volume Relation at the Warsaw Stock Exchange

Paweł Miłobędzki ()
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Paweł Miłobędzki: University of Gdańsk, Poland

Chapter 1 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 11-21 from University of Lodz

Abstract: In the first chapter Miłobędzki investigates stock price and volume relation in a bivariate error correction model with asymmetric adjustment. Some evidence of Granger causality from market return to turnover is found along with Monday and Friday effects for the volume of trading.

Keywords: Warsaw Stock Exchange; Stock price and volume relation; Bivariate error correction model; Asymmetric adjustment (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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