This paper focuses on the implications of market frictions in the context of serial correlations in indexes on the Central and Eastern European (CEE) stock markets. Market frictions, such as non-trading effects, bid/ask spreads, other transaction costs, etc., may be detected by direct...

The main goal of this paper is to present modified multifactor extensions of classical markettiming models, with Fama and French’s spread variables SMB and HML, and Carhart’s momentum factor WML, on the Polish emerging market1. The empirical results on the Warsaw Stock Exchange (WSE) show a...

The main goal of this study is to present the regressions of the GARCH versions of classical market-timing models of Polish equity funds. We examine the models with lagged values of the market factor as an additional variable because of the Fisher’s effect in the case of the main Warsaw Stock...

The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC–3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two...

This paper investigates the interdependence of price volatility across the U.S. stock market and two emerging markets: Poland and Hungary. Using daily data for countries located in different time zones, we point out the problems caused by the presence of nonsynchronous trading effects. To...

The traditional performance measurement literature has attempted to distinguish security selection, or stock-picking ability, from market-timing, or the ability to predict overall market returns. However, the literature finds that it is not easy to separate ability into such dichotomous...