The logarithmic ACD model: The microstructure of the German and Polish stock markets

• Autorzy: Gurgul Henryk , Syrek Robert

Abstrakty

EN

The main goal of this paper is to compare the microstructure of selected stocks listed on theFrankfurt and Warsaw Stock Exchanges. We focus on the properties of duration on both markets and on fitting the appropriate ACD models. Because of the quite different levels of capitalization of stocks on these markets, we observe essential discrepancies between these stocks. Whilefor most German companies on the DAX30, the Burr distribution fits better than generalized gamma distribution, the latter distribution is superior in the case of the largest Polish companies. Analyzing series by hazard function, we note the similarity of hazard functions for companies on both markets, which tend to have a U-shaped pattern.

Słowa kluczowe

EN

intraday data; microstructure; duration; ACM models; Frankfurt Stock Exchange; Warsaw Stock Exchange

• Wydawca: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
• Czasopismo: Managerial Economics
• Rocznik: 2016
• Tom: 17
• Numer: 1
• Strony: 77-92

Twórcy

autor

Gurgul Henryk

• AGH University of Science and Technology, Department of Applications of Mathematics in Economics,

autor

Syrek Robert

• Jagiellonian University in Kraków, Institute of Economics, Finance and Management,