This study investigates the effects of dividend announcements on stock prices and trading volume in the Austrian stock market. Abnormal returns are established as the difference between actual returns and expected returns generated by the Market Model. We use the model of expected dividends such...

This paper concerns the relationship between stock returns and trading volume. We use daily stock data of the Polish companies included in the WIG20 segment (the twenty most liquid companies quoted on the primary market of the Warsaw Stock Exchange). The sample covers the period from January...

This paper investigates the association between different kinds of budgetary expenditure and economic growth of Poland. The empirical analysis makes use of linear and nonlinear Granger causality tests to evaluate the applicability of Wagner’s Law and that of the contrasting Keynesian theory.We...

The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return volatility and trading volume of selected...

Abstract This paper investigates the association between different kinds of budgetary expenditure and economic growth of Poland. The empirical analysis makes use of linear and nonlinear Granger causality tests to evaluate the applicability of Wagner’s Law and that of the contrasting Keynesian...

In this paper an event study is conducted to detect price reactions on dividend announcements using data from the Austrian stock market. We use the Market Model and the Market Model with Dummies to describe the return generating process. To identify the significance of abnormal returns we apply...

This paper reviews previous contributions to trading volume theory and investigates the statistical properties of stock returns and trading volume using stock data of American companies included in the DJIA segment. Results are presented on a daily returns and volumes data basis for the whole...

This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the...