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Do NBP base rates announcements convey valuable information?

Gurgul H., Majdosz P.

Systems Science

2005

Vol. 31, no 1

105-116

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.

Distribution of volume on the German stock market

Gurgul H., Wójtowicz T.

Systems Science

2005

Vol. 31, no 4

117-133

This study investigates the statistical properties of stock returns and trading volume using daily stock data of German companies included in the DAX segment. Calculations arc performed on a daily basis for the whole period from August 1997 to October 2004 and in two sub-periods: August 1997 to February 2001 and March 2001 to October 2004.

On the construction of the common optimal market index in the Sharpe model

Kuryłek W.

Control and Cybernetics

1999

Vol. 28, no 4

779-787

The purpose of this paper is to determine one factor which represents the whole market behavior on the basis of the rates of return of all equities traded oo this market. In the seminaal Sharpe model the factor is an exogenous varialble which is not determined by the model itself. This paper extends Sharpe's idea, as it assumes that the factor is a linear combination of all the rates of return of all traded equities. To determine this coefiicients of this linear combination we minimize the loss function which expresses the weighted mean square deviation of all rates of return from their predictions, having given the linear combination form of the market index. It is found that the vector of linear coeffcients has to be a nonzero eigenvector associated with the maximal eigenvalue of the appropriately transformed and estimated covariance matrix. The optimal market index for the Warsaw Stock Exchange was compared with the standard index. It occurs that there is only a very small difference between the standard index of this market and the optimal index.