Tarcie w procesach transakcyjnych i jego konsekwencje
Friction in trading processes and its implications

Summary/Abstract: Market microstructure is now one of the most active research areas in economics and finance. It has been reported in the literature that some empirical phenomena can be attributed to the friction in the trading process causing a bid – ask spread and price – adjustment delays that differ systematically across securities. The author’s recent research provides evidence for a pronounced Fisher’s effect on the Warsaw Stock Exchange (WSE) and for the presence of intertemporal cross-correlations in daily returns between pairs of the mWIG40 stocks. The aim of this paper is to present the empirical results of testing such phenomena as the lag – 1 serial correlation in individual securities’ daily returns on the WSE, in the period January 2007 - December 2010.

• Details
• Contents