IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v17y2008i1p134-155.html
   My bibliography  Save this article

Volume- and size-related lead-lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange

Author

Listed:
  • Gebka, Bartosz

Abstract

No abstract is available for this item.

Suggested Citation

  • Gebka, Bartosz, 2008. "Volume- and size-related lead-lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 134-155.
  • Handle: RePEc:eee:finana:v:17:y:2008:i:1:p:134-155
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(06)00012-3
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    2. Tarun Chordia & Bhaskaran Swaminathan, 2000. "Trading Volume and Cross-Autocorrelations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(2), pages 913-935, April.
    3. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    4. Yu, Chih-Hsien & Wu, Chunchi, 2001. "Economic sources of asymmetric cross-correlation among stock returns," International Review of Economics & Finance, Elsevier, vol. 10(1), pages 19-40.
    5. Diebold & Lopez, "undated". "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
    6. Nicholas Horsewood & Douglas Sutherland, 2002. "Market efficiency in transition economies: equity markets and EU accession," Chapters,in: Financial and Monetary Integration in the New Europe, chapter 17 Edward Elgar Publishing.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Hameed, Allaudeen, 1997. "Time-Varying Factors and Cross-Autocorrelations in Short-Horizon Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 435-458, Winter.
    9. Chun, Rodney M., 2000. "Compensation vouchers and equity markets: Evidence from Hungary," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1155-1178, July.
    10. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    11. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    12. Scheicher, Martin, 2001. "The Comovements of Stock Markets in Hungary, Poland and the Czech Republic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 27-39, January.
    13. Gabriel Hawawini & Donald B. Keim, "undated". "On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)," Rodney L. White Center for Financial Research Working Papers 23-92, Wharton School Rodney L. White Center for Financial Research.
    14. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1991. "Asymmetric Predictability of Conditional Variances," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 597-622.
    15. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    16. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
    17. Richardson, Terry & Peterson, David R, 1999. "The Cross-Autocorrelation of Size-Based Portfolio Returns Is Not an Artifact of Portfolio Autocorrelation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 1-13, Spring.
    18. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 49(3), pages 345-373, September.
    19. Brennan, Michael J & Jegadeesh, Narasimhan & Swaminathan, Bhaskaran, 1993. "Investment Analysis and the Adjustment of Stock Prices to Common Information," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 799-824.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Goodfellow, Christiane & Bohl, Martin T. & Gebka, Bartosz, 2009. "Together we invest? Individual and institutional investors' trading behaviour in Poland," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 212-221, September.
    2. Galazka, Marek, 2011. "Characteristics of the Polish Stock Market correlations," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 1-5, January.
    3. Lin, Mei-Chen & Wu, Chu-Hua & Chiang, Ming-Ti, 2014. "Investor attention and information diffusion from analyst coverage," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 235-246.
    4. Arjoon, Vaalmikki & Bougheas, Spiros & Milner, Chris, 2016. "Lead-lag relationships in an embryonic stock market: Exploring the role of institutional ownership and liquidity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 262-276.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:17:y:2008:i:1:p:134-155. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.