Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2004
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| Subjects: | |
| Online Access: | https://nbn-resolving.org/urn:nbn:de:kobv:521-opus-00125 http://d-nb.info/975178873/34 Volltext Inhaltsverzeichnis |
| Physical Description: | 111 Bl. |
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| adam_text | Institutional Trading, Trading Mechanisms and Equity Market
Integration: Essays on the Polish Stock Market
A thesis submitted to the European University Viadrina
for the degree of Ph D
in the Faculty of Economics
June 2004
Svitlana Voronkova
Postgraduate Research Programme
Capital Markets and Finance in the Enlarged Europe
Content
Acknowledgements 5
Table of Tables 6
Chapter 1: Introduction 7
Chapter 2: Institutional Traders Behavior in an Emerging Stock Market:
Empirical Evidence on Polish Pension Fund Investors 12
2 1 Introduction 12
2 2 Pension Funds in Poland 14
2 3 Herding and Feedback Trading Measures 17
2 4 Data Description 20
2 5 Empirical Results and Comparison with Previous Literature 22
251 Empirical Results on Herding 22
252 Empirical Results on Feedback Trading 27
253 Current Returns and Excess Institutional Demand 29
2 6 Conclusion 31
Chapter 3: Stock Returns and Institutional Trades: Evidence on Trading by
Pension Funds in Poland 33
3 1 Introduction 33
3 2 Pension Funds and the Polish Stock Market 35
3 3 Data and Methodology 36
3 4 Empirical Results 40
341 Market Returns on Flows 40
342 Flows on Market Returns 50
3 5 Conclusion 51
Chapter 4: Price Limits on a Call Auction Market: Evidence from the Warsaw
Stock Exchange 53
4 1 Introduction 53
4 2 Trading Structure and Price Limits on the Warsaw Stock Exchange 56
4 3 Research Hypotheses and Data 58
4 4 Empirical Results 60
441 Volatility 60
442 Return Autocorrelation 68
443 Discussion 72
4 5 Conclusion 75
Chapter 5: Polish Equity Market Integration with the Emerging European and
Developed Markets: A Cointegration Analysis with Shifting Regimes 76
5 1 Introduction 76
5 2 Data 79
5 3 Methodology 80
5 4 Empirical results 83
541 Results of Tests for Non-Stationarity 83
5 4 2: Results of Conventional Cointegration Tests 83
543 Results of Gregory-Hansen Residual-Based Cointegration Test 85
5 5 Conclusion 94
Chapter 6: Conclusion 96
Bibliography 99
|
| adam_txt |
Institutional Trading, Trading Mechanisms and Equity Market
Integration: Essays on the Polish Stock Market
A thesis submitted to the European University Viadrina
for the degree of Ph D
in the Faculty of Economics
June 2004
Svitlana Voronkova
Postgraduate Research Programme
Capital Markets and Finance in the Enlarged Europe
Content
Acknowledgements 5
Table of Tables 6
Chapter 1: Introduction 7
Chapter 2: Institutional Traders' Behavior in an Emerging Stock Market:
Empirical Evidence on Polish Pension Fund Investors 12
2 1 Introduction 12
2 2 Pension Funds in Poland 14
2 3 Herding and Feedback Trading Measures 17
2 4 Data Description 20
2 5 Empirical Results and Comparison with Previous Literature 22
251 Empirical Results on Herding 22
252 Empirical Results on Feedback Trading 27
253 Current Returns and Excess Institutional Demand 29
2 6 Conclusion 31
Chapter 3: Stock Returns and Institutional Trades: Evidence on Trading by
Pension Funds in Poland 33
3 1 Introduction 33
3 2 Pension Funds and the Polish Stock Market 35
3 3 Data and Methodology 36
3 4 Empirical Results 40
341 Market Returns on Flows 40
342 Flows on Market Returns 50
3 5 Conclusion 51
Chapter 4: Price Limits on a Call Auction Market: Evidence from the Warsaw
Stock Exchange 53
4 1 Introduction 53
4 2 Trading Structure and Price Limits on the Warsaw Stock Exchange 56
4 3 Research Hypotheses and Data 58
4 4 Empirical Results 60
441 Volatility 60
442 Return Autocorrelation 68
443 Discussion 72
4 5 Conclusion 75
Chapter 5: Polish Equity Market Integration with the Emerging European and
Developed Markets: A Cointegration Analysis with Shifting Regimes 76
5 1 Introduction 76
5 2 Data 79
5 3 Methodology 80
5 4 Empirical results 83
541 Results of Tests for Non-Stationarity 83
5 4 2: Results of Conventional Cointegration Tests 83
543 Results of Gregory-Hansen Residual-Based Cointegration Test 85
5 5 Conclusion 94
Chapter 6: Conclusion 96
Bibliography 99 |
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| any_adam_object_boolean | 1 |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| spelling | Voronkova, Svitlana 1978- Verfasser (DE-588)124687040 aut Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market Svitlana Voronkova 2004 111 Bl. txt rdacontent n rdamedia nc rdacarrier Frankfurt (Oder), Europa-Univ., Diss., 2004 Institutioneller Anleger (DE-588)4252195-6 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Polen (DE-588)4046496-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Polen (DE-588)4046496-9 g Aktienmarkt (DE-588)4130931-5 s Anlagepolitik (DE-588)4206018-7 s Institutioneller Anleger (DE-588)4252195-6 s Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:kobv:521-opus-00125 https://nbn-resolving.org/urn:nbn:de:kobv:521-opus-00125 Resolving-System http://d-nb.info/975178873/34 Langzeitarchivierung Nationalbibliothek ca. 0,5 MB http://opus.kobv.de/euv/volltexte/2007/12/pdf/voronkova.svitlana.pdf Verlag kostenfrei Volltext HEBIS Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016851770&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Voronkova, Svitlana 1978- Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market Institutioneller Anleger (DE-588)4252195-6 gnd Aktienmarkt (DE-588)4130931-5 gnd Anlagepolitik (DE-588)4206018-7 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd |
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| title | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market |
| title_auth | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market |
| title_exact_search | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market |
| title_exact_search_txtP | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market |
| title_full | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market Svitlana Voronkova |
| title_fullStr | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market Svitlana Voronkova |
| title_full_unstemmed | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market Svitlana Voronkova |
| title_short | Institutional trading, trading mechanisms and equity market integration: essays on the Polish stock market |
| title_sort | institutional trading trading mechanisms and equity market integration essays on the polish stock market |
| topic | Institutioneller Anleger (DE-588)4252195-6 gnd Aktienmarkt (DE-588)4130931-5 gnd Anlagepolitik (DE-588)4206018-7 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd |
| topic_facet | Institutioneller Anleger Aktienmarkt Anlagepolitik Mikrostrukturtheorie Kapitalmarkttheorie Polen Hochschulschrift |
| url | https://nbn-resolving.org/urn:nbn:de:kobv:521-opus-00125 http://d-nb.info/975178873/34 http://opus.kobv.de/euv/volltexte/2007/12/pdf/voronkova.svitlana.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016851770&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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