ANALYSIS OF HIGH FREQUENCY DATA ON THE WARSAW STOCK EXCHANGE IN THE CONTEXT OF EFFICIENT MARKET HYPOTHESIS
Year of publication: |
2008
|
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Authors: | STRAWINSKI, Pawel ; SLEPACZUK, Robert |
Published in: |
Journal of Applied Economic Sciences. - Facultatea de Management Financiar Contabil. - Vol. 3.2008, 3(5)_Fall2008, p. 306-319
|
Publisher: |
Facultatea de Management Financiar Contabil |
Subject: | high-frequency financial data | robust analysis | pre-weighting | efficient market hypothesis | calendar effects | intra-day effects | the open jump effect | the end of session effect | emerging markets |
Extent: | application/pdf |
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Type of publication: | Article |
Language: | English |
Classification: | G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C22 - Time-Series Models |
Source: |
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