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Long-run properties of trading volume and volatility of equities listed in DJIA index

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  • Henryk Gurgul
  • Tomasz Wójtowicz

Abstract

W artykule zaprezentowano wyniki badania długiej pamięci wolumenu obrotów oraz zmienności stóp zwrotu akcji (mierzonej jako wartości bezwzględne stóp zwrotu oraz jako ich kwadraty) największych spółek, wchodzących w skład indeksu DJIA. Wyestymowane zostały parametry długiej pamięci oraz zbadano, czy wolumen obrotów i zmienność cen akcji mają tę samą długą pamięć oraz czy są ze sobą u łamkowo skointegrowane. Obliczenia przeprowadzono na podstawie danych dziennych dla całego okresu od stycznia 1990 r. do listopada 2005 r. oraz dla czterech podokresów: styczeń 1990 – grudzień 1993, styczeń 1994 – grudzień 1997, styczeń 1998 – grudzień 2001 i styczeń 2002 – listopad 2005.

Suggested Citation

  • Henryk Gurgul & Tomasz Wójtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 16(3-4), pages 29-56.
    • Handle: RePEc:wut:journl:v:3-4:y:2006:p:29-56
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    References listed on IDEAS

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