Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective
In this paper, the intraday patterns of trading volumes and volatilities as well as autocorrelations are investigated using high-frequency data. The analysis is performed for companies listed in the main German, Austrian, and Polish indices with the aid of Flexible Fourier Form regression. We have f...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2017-09-01
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| Series: | Managerial Economics |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/2662 |
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