Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Comprehensive analysis of the information flow on the Warsaw Stock Exchange in comparison with the Frankfurt and Vienna stock exchanges

2012/05/B/HS4/00810

Keywords:

information flow capital market maturity event study causality long memory

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_3: Econometrics, statistical methods
  • HS4_7: Banking, corporate finance, accounting

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie, Wydział Zarządzania

woj. małopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Henryk Gurgul 

Number of co-investigators in the project: 2

Call: OPUS 3 - announced on 2012-03-15

Amount awarded: 187 914 PLN

Project start date (Y-m-d): 2013-03-13

Project end date (Y-m-d): 2016-03-12

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. dysk zewnętrzny (650 PLN)
  2. komputer przenośny (2 szt.) (6 500 PLN)

Information in the final report

  • Publication in academic press/journals (24)
  • Articles in post-conference publications (2)
  1. Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe
    Authors:
    Gurgul H., Lach Ł., Wójtowicz T.
    Academic press:
    Managerial Economics (rok: 2016, tom: 17 (2), strony: 217-240), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2016.17.2.217 - link to the publication
  2. THE REACTION OF INTRADAY WIG RETURNS TO THE U.S. MACROECONOMIC NEWS ANNOUNCEMENTS
    Authors:
    Gurgul H., Suliga M., Wójtowicz T.
    Academic press:
    QUANTITATIVE METHODS IN ECONOMICS (rok: 2013, tom: XIV, strony: 150-159), Wydawca: SGGW
    Status:
    Published
    DOI:
    brak - link to the publication
  3. The impact of estimation methods and data frequency on the results of long memory assessment
    Authors:
    Brania K., Gurgul H.
    Academic press:
    Managerial Economics (rok: 2015, tom: 16(1), strony: 13697), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    0.7494/manage.2015.16.1.7 - link to the publication
  4. The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange
    Authors:
    Gurgul H., Syrek R.,
    Academic press:
    Managerial Economics (rok: 2014, tom: 15 (2), strony: 149-164), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2014.15.2.149 - link to the publication
  5. The structure of contemporaneous price-volume relationships in financial markets
    Authors:
    Gurgul H., Syrek R.
    Academic press:
    Managerial Economics (rok: 2013, tom: 14, strony: 165-176), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2013.14.39 - link to the publication
  6. The impact of US macroeconomic news on the Polish stock market. The importance of company size to information flow
    Authors:
    Gurgul H., Wójtowicz T.
    Academic press:
    Central European Journal of Operations Research (rok: 2014, tom: 22, strony: 795-817), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10100-014-0343-x - link to the publication
  7. Do public news announcements matter? : the case of intraday returns, volume and volatility relations in selected European markets
    Authors:
    Gurgul H., Lach Ł.
    Academic press:
    Zeszyty Naukowe Uniwersytetu Szczecińskiego nr 854. Finanse, Rynki Finansowe, Ubezpieczenia (rok: 2015, tom: 73, strony: 633-644), Wydawca: Uniwersytet Szczeciński
    Status:
    Published
    DOI:
    brak - link to the publication
  8. Long-term relationships between the stock exchanges in Frankfurt, Vienna and Warsaw
    Authors:
    Wójtowicz T.
    Academic press:
    Zeszyty Naukowe Uniwersytetu Szczecińskiego nr 855. Finanse, Rynki Finansowe, Ubezpieczenia (rok: 2015, tom: 74, strony: 217-227), Wydawca: Uniwersytet Szczeciński
    Status:
    Published
    DOI:
    brak - link to the publication
  9. Regime-dependent relationship among stock markets in Frankfurt, Vienna and Warsaw
    Authors:
    Gurgul H., Machno A.
    Academic press:
    Managing Global Transitions: international research journal (rok: 2015, tom: 13 (1), strony: 45376), Wydawca: University of Primorska, Slovenia
    Status:
    Published
    DOI:
    brak - link to the publication
  10. Spatial contagion between stock markets in Central Europe
    Authors:
    A. Czapkiewicz, T. Wójtowicz
    Academic press:
    Managerial Economics (rok: 2017, tom: 18 (1), strony: 23-44), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2017.18.1.23 - link to the publication
  11. The logarithmic ACD model: the microstructure of German and Polish stock markets
    Authors:
    Gurgul H., Syrek R.
    Academic press:
    Managerial Economics (rok: 2016, tom: 17 (1), strony: 77-92), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2016.17.1.77 - link to the publication
  12. The optimal portfolio under VaR and ES
    Authors:
    Gurgul H., Machno A.
    Academic press:
    Operations Research and Decisions (rok: 2014, tom: 24 (2), strony: 59-79), Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
    Status:
    Published
    DOI:
    10.5277/ord140203 - link to the publication
  13. High-volume return premium on the stock markets in Warsaw and Vienna
    Authors:
    Wójtowicz T.
    Academic press:
    Bank i Kredyt (rok: 2017, tom: 48 (4), strony: 375-402), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    brak - link to the publication
  14. Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
    Authors:
    Gurgul H., Machno A.
    Academic press:
    Central European Journal of Operations Research (rok: 2016, tom: 24, strony: 763-786), Wydawca: Springer-Verlag Berlin Heidelberg
    Status:
    Published
    DOI:
    10.1007/s10100-015-0411-x - link to the publication
  15. Modeling of returns and trading volume by regime switching copulas
    Authors:
    Gurgul H., Machno A., Mestel R.
    Academic press:
    Managerial Economics (rok: 2013, tom: 13, strony: 45-64), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2013.13.45 - link to the publication
  16. The Testing of Causal Stock Returns - Trading Volume Dependencies with the Aid of Copulas
    Authors:
    Gurgul H., Mestel R., Syrek R.
    Academic press:
    Managerial Economics (rok: 2013, tom: 13, strony: 21-44), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2013.13.21 - link to the publication
  17. The reaction of the WSE to U.S. employment news announcements
    Authors:
    Suliga M., Wójtowicz T.
    Academic press:
    Managerial Economics (rok: 2013, tom: 14, strony: 39-60), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2013.14.165 - link to the publication
  18. Intraday patterns in time-varying correlations between Central European stock markets
    Authors:
    Wójtowicz T.
    Academic press:
    Managerial Economics (rok: 2016, tom: 17 (1), strony: 149-162), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2016.17.1.149 - link to the publication
  19. Macroeconomic indicators forecasts accuracy and reaction of investors on the WSE
    Authors:
    Wójtowicz T.
    Academic press:
    Metody Ilościowe w Badaniach Ekonomicznych - Quantitative Methods in Economics (rok: 2015, tom: 16(2), strony: 142-151), Wydawca: SGGW
    Status:
    Published
    DOI:
    brak - link to the publication
  20. The Impact of Asynchronous Trading on Epps Effect on Warsaw Stock Exchange
    Authors:
    Gurgul H., Machno A.
    Academic press:
    Central European Journal of Operations Research (rok: 2017, tom: 25, strony: 287-301), Wydawca: Springer-Verlag Berlin Heidelberg
    Status:
    Published
    DOI:
    10.1007/s10100-016-0442-y - link to the publication
  21. The Impact of Asynchronous Trading on Epps Effect: Comparative Study on Warsaw and Vienna Stock Exchange
    Authors:
    Gurgul H., Machno A.
    Academic press:
    Managerial Economics (rok: 2016, tom: 17(1), strony: 59-75), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2016.17.1.59 - link to the publication
  22. The application of discriminant analysis in forecasting of investors' reaction to macroeconomic news announcements
    Authors:
    Wójtowicz T.
    Academic press:
    QUANTITATIVE METHODS IN ECONOMICS (rok: 2014, tom: 15 (2), strony: 252-260), Wydawca: Warsaw University of Life Sciences Press
    Status:
    Published
    DOI:
    brak - link to the publication
  23. The optimal portfolio in respect to Expected Shortfall: a comparative study
    Authors:
    Gurgul H., Machno A., Syrek R.
    Academic press:
    Managerial Economics (rok: 2013, tom: 14, strony: 17-38), Wydawca: Wydawnictwa AGH
    Status:
    Published
    DOI:
    10.7494/manage.2013.14.17 - link to the publication
  24. The response of Vienna Stock Exchange to the U.S. macroeconomic news
    Authors:
    Gurgul H., Wójtowicz T.
    Academic press:
    Czech Journal of Economics and Finance (rok: 2015, tom: 65 (3), strony: 230-253), Wydawca: Charles University in Prague
    Status:
    Published
    DOI:
    brak - link to the publication
  1. Intraday contagion and tail dependence between stock markets in Frankfurt, Vienna and Warsaw
    Authors:
    Czapkiewicz A., Wójtowicz T.
    Conference:
    15th International Conference on Finance and Banking (rok: 2016, ), Wydawca: Silesian University in Opava, School of Business Administration in Karvina
    Data:
    konferencja 13-14.10. 2015
    Status:
    Published
    DOI:
    link to the publication
  2. Intraday correlations between European stock markets
    Authors:
    Wójtowicz T.
    Conference:
    Central European Conference in Finance and Economics (rok: 2015, ), Wydawca: Technical University of Košice. Faculty of Economics
    Data:
    konferencja 30.09 – 1.10. 2015
    Status:
    Published
    DOI:
    link to the publication

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