Price Behavior In Emerging Stock Markets: Cases Of Poland And Slovakia
This paper analyzes serial correlation in stock returns, and informational role of volume and volatility in Polish and Slovakian stock markets. Results indicate that prices tend to overshoot to new information in the Slovakian market, while new information gets impounded into prices with a one-day lag in the Polish market. In the context of feedback trading models, the Slovakian stock market seems to be dominated by traders who sell high and buy low, while stop-loss or distress selling type traders prevail in the Polish market. Traders became more sophisticated over time, as market efficiencies increased. Informational role of volume and volatility appears to be consistent with that found in developed stock markets.
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| Length: | |
| Date of creation: | 1999 |
| Date of revision: | |
| Handle: | RePEc:ags:cudawp:7225 |
| Contact details of provider: | Postal: Warren Hall, Ithaca NY 14853 Fax: 607-255-9984 Web page: http://aem.cornell.edu/ More information through EDIRC
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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NBER Working Papers
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Working papers
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Levine's Working Paper Archive
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- Harris, Lawrence, 1986. "Cross-Security Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(01), pages 39-46, March.
- Morse, Dale, 1980. "Asymmetrical Information in Securities Markets and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1129-1148, December.
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