WPŁYW INFORMACJI Z USA NA ŚRÓDDZIENNĄ SEZONOWOŚĆ NA PRZYKŁADZIE SPÓŁKI KGHM
THE IMPORTANCE OF INFORMATION FROM THE US ECONOMY FOR INTRADAY SEASONALITY. EVIDENCE FOR KGHM
Author(s): Tomasz WójtowiczSubject(s): Supranational / Global Economy, Business Economy / Management, International relations/trade, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: macroeconomic news announcements; intraday data; volatility; intraday seasonality;
Summary/Abstract: Intensity of trading on stock markets is characterized by a visible intraday seasonality pattern. In the case of European markets, this seasonalit is strongly influenced by announcements of information about the US economy. In this paper we study the impact of these publications on intraday seasonality of trading volume and volatility of KGHM returns in the period from 2001 to 2016. The analysis concerns both the strength and the length of the impact of new, important information.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XX/2019
- Issue No: 2
- Page Range: 138-148
- Page Count: 11
- Language: Polish
