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The logarithmic ACD model: The microstructure of the German and Polish stock markets

Author

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  • Henryk Gurgul

    (AGH University of Science and Technology, Department of Applications of Mathematics in Economics)

  • Robert Syrek

    (Jagiellonian University in Kraków, Institute of Economics, Finance and Management)

Abstract

The main goal of this paper is to compare the microstructure of selected stocks listed on theFrankfurt and Warsaw Stock Exchanges. We focus on the properties of duration on both markets and on fitting the appropriate ACD models. Because of the quite different levels of capitalization of stocks on these markets, we observe essential discrepancies between these stocks. Whilefor most German companies on the DAX30, the Burr distribution fits better than generalized gamma distribution, the latter distribution is superior in the case of the largest Polish companies. Analyzing series by hazard function, we note the similarity of hazard functions for companies on both markets, which tend to have a U-shaped pattern.

Suggested Citation

  • Henryk Gurgul & Robert Syrek, 2016. "The logarithmic ACD model: The microstructure of the German and Polish stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 77-92.
    • Handle: RePEc:agh:journl:v:17:y:2016:i:1:p:77-92
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    File URL: https://journals.agh.edu.pl/manage/article/view/2109/1546
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    References listed on IDEAS

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    Cited by:

    1. Henryk Gurgul & Robert Syrek & Christoph Mitterer, 2016. "Price duration versus trading volume in high-frequency data for selected DAX companies," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(2), pages 241-260.

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