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2012 | 121 | 2B | B-61-B-66
Article title

Price-Volume Relationship in Polish Stock Market

Content
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Languages of publication
EN
Abstracts
EN
A relationship between daily prices of Polish WIG index and trading volumes is investigated. By introducing variables related to a number of last prices and volumes, a history of values in a certain period of time (which could be regarded as an investor memory) is taken into account. Different characteristics of autocorrelations for prices and trading volumes are observed. By studying mutual correlations between the variables, a local maximum at about 100 trading days is discovered. The Granger causality test is performed, indicating very strong influence of prices on volumes. This property can be considered as a sign of markets maturity.
Keywords
EN
Contributors
author
  • Katedra Informatyki SGGW, Nowoursynowska 159, 02-776 Warszawa, Poland
  • Katedra Informatyki SGGW, Nowoursynowska 159, 02-776 Warszawa, Poland
author
  • Katedra Informatyki SGGW, Nowoursynowska 159, 02-776 Warszawa, Poland
  • Instytut Fizyki PAN, al. Lotników 32/46, 02-668 Warszawa, Poland
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv121n2ba121z2bp12kz
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