Price-Volume Relationship in Polish Stock Market

• Authors: K. Karpio , P. Łukasiewicz , A. Orłowski
• 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

89.65.-s; 89.65.Gh; 02.30.Nw

Discipline

• 89.65.-s: Social and economic systems
• 02.30.Nw: Fourier analysis
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2012
• Volume: 121
• Issue: 2B
• Pages: B-61-B-66

Dates

published

2012-02

Contributors

author

K. Karpio

• Katedra Informatyki SGGW, Nowoursynowska 159, 02-776 Warszawa, Poland

author

P. Łukasiewicz

• Katedra Informatyki SGGW, Nowoursynowska 159, 02-776 Warszawa, Poland

author

A. Orłowski

• Katedra Informatyki SGGW, Nowoursynowska 159, 02-776 Warszawa, Poland
• Instytut Fizyki PAN, al. Lotników 32/46, 02-668 Warszawa, Poland

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Identifiers

DOI

10.12693/APhysPolA.121.B-61