We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. This method uses an event-study approach and a multiple-equation identification and estimation technique. In contrast to earlier research, we...

In this paper we investigate how high frequency trading affects technical analysis and market efficiency in the foreign exchange (FX) market by using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm. We use this approach for real one-minute high...

This paper contributes to the debate about individual and institutional investors' trading behaviour with new evidence from the Polish stock market. While most existing studies focus on institutional investors' trading in developed markets, we test for the presence of herding during market up-...

The relationship between the changes in trading volume and subsequent returns for stocks traded on the Warsaw Stock Exchange (WSE) is tested. High volume stocks are found to experience strong price reversals and low volume stocks to experience weak price reversals and even continuations....