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Book-to-market, size and momentum factors in market-timing models : the case of the Polish emerging market

Olbrys, Joanna - In: Research in economics and business : Central and … 3 (2011) 2, pp. 5-29

Persistent link: https://www.econbiz.de/10009704035

Price and volatility spillovers in the case of stock markets located in different time zones

Olbrys, Joanna - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 145-157

Persistent link: https://www.econbiz.de/10009781385

Recognizing Intra-day Patterns of Stock Market Activity

Olbrys, Joanna; Sawicka, Gabriela; Nowosada, Ewa - 2021

The aim of this comparative research is to recognize and assess intra-day seasonality of investors activity on a stock market using high-frequency data. Three indicators of intra-day investors activity based on different market characteristics are utilized: (1) hourly aggregated trading volume...

Persistent link: https://www.econbiz.de/10013215267

Asymmetry effects in volatility on the the major European stock markets : the EGARCH based approach

Olbrys, Joanna; Majewska, Elzbieta - In: Quantitative finance and economics 1 (2017) 4, pp. 411-427

Persistent link: https://www.econbiz.de/10012137861

Depth, tightness and resiliency as market liquidity dimensions : evidence from the Polish stock market

Olbrys, Joanna; Mursztyn, Michal - In: International journal of computational economics and … 9 (2019) 4, pp. 308-326

Persistent link: https://www.econbiz.de/10012158126

Formal identification of crises on the euro area stock markets, 2004-2015

Mursztyn, Michal; Olbrys, Joanna - In: Advances in applied economic research : proceedings of …, (pp. 167-180). 2017

Persistent link: https://www.econbiz.de/10011744020

Crisis periods and contagion effects in the CEE stock markets : the influence of the 2007 US subprime crisis

Olbrys, Joanna; Majewska, Elzbieta - In: International journal of computational economics and … 6 (2016) 2, pp. 124-137

Persistent link: https://www.econbiz.de/10011704597