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Information of the project and the call

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Comparative research on commonality in liquidity on the Central and Eastern European stock markets

2016/21/B/HS4/02004

Keywords:

liquidity measures order imbalance idicators trade classification algorithms commonality in liquidity Central and Eastern European stock markets

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance
  • HS4_13: International economics

Panel:

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

Host institution :

Politechnika Białostocka, Wydział Informatyki

woj. podlaskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Joanna Olbryś 

Number of co-investigators in the project: 2

Call: OPUS 11 - announced on 2016-03-15

Amount awarded: 128 880 PLN

Project start date (Y-m-d): 2017-01-23

Project end date (Y-m-d): 2020-10-22

Project duration:: 45 months (the same as in the proposal)

Project status: Project settled

Project description

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Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (12)
  • Articles in post-conference publications (11)
  1. Intra-market commonality in liquidity. New evidence from the Polish stock exchange
    Authors:
    Joanna Olbryś
    Academic press:
    Equilibrium. Quarterly Journal of Economics and Economic Policy (rok: 2019, tom: 14(2), strony: 251-275), Wydawca: Institute of Economic Research, Polish Economic Society Branch in Toruń
    Status:
    Published
    DOI:
    10.24136/eq.2019.012 - link to the publication
  2. The Evolution of Financial Integration on Selected European Stock Markets: A Dynamic Principal Component Approach
    Authors:
    Elżbieta Majewska, Joanna Olbryś
    Academic press:
    Comparative Economic Research. Central and Eastern Europe (rok: 2017, tom: 20(4), strony: 45-63), Wydawca: DE GRUYTER
    Status:
    Published
    DOI:
    10.1515/cer-2017-0027 - link to the publication
  3. The non-trading problem in assessing commonality in liquidity on emerging stock markets
    Authors:
    Joanna Olbryś
    Academic press:
    Dynamic Econometric Models (rok: 2018, tom: 18, strony: 67-79), Wydawca: Nicolaus Copernicus University
    Status:
    Published
    DOI:
    10.12775/DEM.2018.004 - link to the publication
  4. Assessing commonality in liquidity with Principal Component Analysis: The case of the Warsaw Stock Exchange
    Authors:
    Joanna Olbryś, Elżbieta Majewska
    Academic press:
    Journal of Risk and Financial Management (rok: 2020, tom: 13(12), strony: 328), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/jrfm13120328 - link to the publication
  5. Depth, tightness, and resiliency as market liquidity dimensions: Evidence from the Polish stock market
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Academic press:
    International Journal of Computational Economics and Econometrics (rok: 2019, tom: 9(4), strony: 308-326), Wydawca: Inderscience Enterprices Ltd.
    Status:
    Published
    DOI:
    10.1504/IJCEE.2019.102513 - link to the publication
  6. Elastyczność rynku jako jeden z wymiarów płynności Giełdy Papierów Wartościowych w Warszawie S.A.
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Academic press:
    Zarządzanie i Finanse (rok: 2017, tom: 15, strony: 21-36), Wydawca: Wydział Zarządzania Uniwersytet Gdański
    Status:
    Published
    DOI:
    brak - link to the publication
  7. Measuring stock market resiliency with Discrete Fourier Transform for high frequency data
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Academic press:
    Physica A: Statistical Mechanics and its Applications (rok: 2019, tom: 513, strony: 248-256), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2018.09.028 - link to the publication
  8. Evaluating trade side classification algorithms using intraday data from the Warsaw Stock Exchange
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Academic press:
    Archives of Data Science Series A (rok: 2018, tom: 4(1), strony: 45310), Wydawca: KIT Scientific Publishing
    Status:
    Published
    DOI:
    10.5445/KSP/1000085951/20 - link to the publication
  9. Measurement of Stock Market Liquidity Supported by an Algorithm Inferring the Initiator of a Trade
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Academic press:
    Operations Research and Decisions (rok: 2017, tom: 27(4), strony: 111-127), Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
    Status:
    Published
    DOI:
    10.5277/ord170406 - link to the publication
  10. No commonality in liquidity on small emerging markets? Evidence from the Central and Eastern European stock exchanges
    Authors:
    Joanna Olbryś
    Academic press:
    Comparative Economic Research. Central and Eastern Europe (rok: 2020, tom: 23(3), strony: 91-109), Wydawca: Faculty of Economics and Sociology, University of Lodz
    Status:
    Published
    DOI:
    10.18778/1508-2008.23.22 - link to the publication
  11. Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Academic press:
    Physica A. Statistical Mechanics and its Applications (rok: 2019, tom: 535, strony: 122413), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2019.122413 - link to the publication
  12. Pomiar naprężenia rynku na Giełdzie Papierów Wartościowych w Warszawie SA
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Academic press:
    Finanse, Rynki Finansowe, Ubezpieczenia (rok: 2017, tom: 1(85), strony: 389-398), Wydawca: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
    Status:
    Published
    DOI:
    10.18276/frfu.2017.1.85-31 - link to the publication
  1. Assessing accuracy of trade classification rules. Methods, data, and problems
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Conference:
    The 12th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (rok: 2018, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 8-11 maja 2018 r.
    Status:
    Published
  2. On some characteristics of liquidity proxy time series. Evidence from the Polish stock market, [in:] Advances in Time Series Data Methods in Applied Economic Research. Springer Proceedings in Business and Economics, Tsounis N., Vlachvei A. (eds)
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Conference:
    International Conference on Applied Economics 2018 (ICOAE 2018) (rok: 2018, ), Wydawca: Springer International Publishing
    Data:
    konferencja 5-7 lipiec 2018
    Status:
    Published
  3. Wyznaczanie wymiarów płynności rynku w czasie rzeczywistym
    Authors:
    Michał Mursztyn
    Conference:
    Ogólnopolska Konferencja Studentów Matematyki w Poznaniu, OBLICZE 2017 (rok: 2017, ), Wydawca: Koło Naukowe Matematyków UAM w Poznaniu
    Data:
    konferencja 12-14 maja 2017 r.
    Status:
    Published
  4. Alternative estimators for the effective spread derived from high-frequency data, [in:] Effective Investment on Capital Market. Springer Proceedings in Business and Economics, Tarczyński W., Nermend K. (eds.)
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Conference:
    X Konferencja Ogólnopolska. Rynek Kapitałowy. Skuteczne Inwestowanie 2018 (RKSI 2018) (rok: 2019, ), Wydawca: Springer Nature Switzerland AG
    Data:
    konferencja 17-18 wrzesień 2018
    Status:
    Published
  5. Extracting common factors from liquidity measures with Principal Component Analysis on the Polish stock market, [In:] Tsounis N., Vlachvei A. (eds) Advances in Longitudinal Data Methods in Applied Economic Research. Springer Proceedings in Business and Economics.
    Authors:
    Joanna Olbryś, Elżbieta Majewska
    Conference:
    International Conference on Applied Economics 2020 (ICOAE 2020) (rok: 2021, ), Wydawca: Springer Nature Switzerland AG
    Data:
    konferencja 2-3 lipiec 2020 (konferencja on-line)
    Status:
    Published
  6. Market tightness on the CEE emerging stock exchanges in the context of the non-trading problem, [in] Advances in Cross-Section Data Methods in Applied Economic Research. Springer Proceedings in Business and Economics, Tsounis N., Vlachvei A. (eds)
    Authors:
    Joanna Olbryś
    Conference:
    International Conference on Applied Economics (ICOAE) (rok: 2020, ), Wydawca: Springer Nature Switzerland AG
    Data:
    konferencja 4-6 lipiec 2019
    Status:
    Published
  7. Market-wide commonality in liquidity on the CEE-3 emerging stock markets. [in] Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics, Jajuga K., Locarek-Junge H., Orlowski L.T., Staehr K. (eds)
    Authors:
    Joanna Olbryś
    Conference:
    V Wrocław Conference in Finance 2018 (WROFIN 2018) (rok: 2019, ), Wydawca: Springer Nature Switzerland AG
    Data:
    konferencja 26-27 wrzesień 2018
    Status:
    Published
  8. Liquidity proxies based on intraday data: The case of the Polish order driven stock market, [in:] Advances in Panel Data Analysis in Applied Economic Research. Springer Proceedings in Business and Economics, Tsounis N., Vlachvei A. (eds)
    Authors:
    Joanna Olbryś, Michał Mursztyn
    Conference:
    International Conference on Applied Economics 2017 (ICOAE 2017) (rok: 2018, ), Wydawca: Springer International Publishing
    Data:
    konferencja 6-8 lipiec 2017
    Status:
    Published
  9. Measuring dynamics of financial integration on the euro area stock markets, 2000-2016, [in] Advances in Panel Data Analysis in Applied Economic Research. Springer Proceedings in Business and Economics, Tsounis N., Vlachvei A. (eds)
    Authors:
    Elżbieta Majewska, Joanna Olbryś
    Conference:
    International Conference on Applied Economics 2017 (ICOAE 2017) (rok: 2018, ), Wydawca: Springer International Publishing
    Data:
    konferencja 6-8 lipiec 2017
    Status:
    Published
  10. Testing stability of correlations between liquidity proxies derived from intraday data on the Warsaw Stock Exchange, [in] Contemporary Trends and Challenges in Finance. Proceedings from the 3rd Wroclaw International Conference in Finance. Springer Proceedings in Business and Economics. Jajuga K., Locarek-Junge H., Orlowski L. (eds)
    Authors:
    Joanna Olbryś
    Conference:
    Wrocław Conference in Finance: Contemporary Trends and Challenges (WROFIN 2017) (rok: 2018, ), Wydawca: Springer International Publishing
    Data:
    konferencja 13-14 wrzesień 2017
    Status:
    Published
  11. Components of the effective spread: Evidence from the Warsaw Stock Exchange, [in] Finance and Sustainability. Proceedings from the Finance and Sustainability Conference, Wroclaw 2017. Springer Proceedings in Business and Economics, Bem A., Daszyńska-Żygadło K., Hajdiková T., Juhász P. (eds)
    Authors:
    Joanna Olbryś
    Conference:
    Finance and Sustainability Conference 2017 (ZAFIN 2017) (rok: 2018, ), Wydawca: Springer International Publishing
    Data:
    konferencja 20 październik 2017
    Status:
    Published

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