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Abstrakty
In this paper, we try to throw light on the information content of base rates announcements released by the National Bank of Poland (NBP). Focusing our attention on the rediscount rate changes over the period from 1995 to 2003, we examine whether the abnormal behavior of stock returns and trading volume of the most liquid firms listed on the Warsaw Stock Exchange (WSE) can be identified in the surroundings of the NBP announcements. The statistical test used here is based on the excess returns (volume) defined as the difference between actual rate of return (volume) and expected rale of return (volume). To generate the expected returns (volume), we employ the ARMA(1,1)-GARCH(1,1) specification with additional represser, that is, return of the market portfolio (approximated by the market-capitalization weighted stock index called WIG) in the mean equation. The main finding is that the reversal of rediscount rate course has a significant impact on stock returns but not on trading volume.
Czasopismo
Rocznik
Tom
Strony
105--116
Opis fizyczny
Bibliogr. 7 poz., wykr.
Twórcy
autor
- Department of Applied Mathematics, University of Science and Technology, Kraków, Poland
autor
- Department of Quantitative Methods, School of Economy and Computer Science, Kraków, Poland
Bibliografia
- [1] Ajinkya B., Jain P., The behavior of daily stock market trading volume. Journal of Accounting and Economics 11, 1989, 331-359.
- [2] Brockett p., Chen H., Garven J., A new stochastically flexible event methodology with application to Proposition 103, Insurance: Mathematics and Economics 25, 1999, 197-217.
- [3] Cheung D., Sami H., Price and trading volume reaction: the case of Hong Kong companies earning announcements. Journal of International Accounting, Auditing & Taxation 9, 2000, 19^2.
- [4] Chopra N., Lakonishok J., Ritfer J., Measuring abnornml performance: Do slocks overreact?. Journal of Financial Economics 31, 1992, 235-268.
- [5] Gurgul H., Mestel R., Schleicher CH., Stock Market Reactions to Dividend Announcements: Empirical Evidence from the Austrian Stock, Financial Markets and Portfolio Management, 17, 2003, 332-350.
- [6] Engle R., Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 1982, 987-1008.
- [7] Liu C., Ziebart D., Anomalous security price behavior following management earnings forecasts. Journal of Empirical Finance 6, 1999, 405-430.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-article-BAT5-0009-0010