In this paper we review the literature on the short term predictability of stock prices conditional on large prior price changes. This research area is characterized by a large number of studies reflecting different markets, time periods, methodologies and model parameters. While most of the...

The relationship between the changes in trading volume and subsequent returns for stocks traded on the Warsaw Stock Exchange (WSE) is tested. High volume stocks are found to experience strong price reversals and low volume stocks to experience weak price reversals and even continuations....

The present thesis is a microstructure study of the Warsaw Stock Exchange (WSE). In the first part, I find evidence in favor of the so-calles mixture of distributions hypothesis according to which the time-variant daily order flow translates into volatility persistence in stock returns. In part...