In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare...

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...

The relationship between information flows and changes in asset prices is one of the main issues of financial economics. A fundamental assumption of the market efficiency hypothesis is that investors react to new information as it arrives. This reaction results in price changes that reflect...

Recent studies have shown that announcements of US macroeconomic news had significant impact on European stock markets. However, importance of information about the US economy may vary in time. In order to analyze this issue we examine impact of announcements of unexpected US macroeconomic news...

In this study, the contributors present the results of their investigations into the long-memory properties of trading volume and the volatility of stock returns (given by absolute returns and alternatively by square returns). Their database is daily stock data of German companies in the DAX...

Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes...

This paper deals with an analysis of the information flow on and between three European stock markets operating in Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of reaction to a news release and changes in the duration...