Record Details

The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

Managerial Economics

View Archive Info
 
 
Field Value
 
Title The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vienna Stock Exchange
 
Creator Gurgul, Henryk
Machno, Artur
 
Subject —
—
 
Description The novelty/value added of this paper is the comparison of the Epps effect between developed and emerging stock markets from Central Europe by means of the correction formula derived by the authors. The main goal of the study is to test whether or not asynchrony in transactiontimes is a considerable source of the Epps effect in the case of the Warsaw and Vienna stock exchanges for the most-liquid assets from these markets. Among all analyzed stock pairs on the WSE, asynchrony turns out to be the main cause of the Epps effect. However, the corrected correlation estimator seems to be more volatile than the regular estimator of the correlation. In the case of the VSE, evidence of the Epps effect is not unique. For the most-liquid and most-correlated pair (namely, ANDR-EBS), the analysis delivers similar results as for Polish stocks. However, the Epps effect could not be detected for the remaining pairs on the VSE. The presented analysis can be reproduced for the same data or replicated for another dataset; all R codes used in the computation within this paper are available upon request.
 
Publisher AGH University of Science and Technology Press.
 
Contributor —
 
Date 2016-07-23
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journals.agh.edu.pl/manage/article/view/2108
10.7494/manage.2016.17.1.59
 
Source Managerial Economics; Vol 17, No 1 (2016); 59
1898-1143
 
Language eng
 
Relation https://journals.agh.edu.pl/manage/article/view/2108/1545
 
Rights Copyright (c) 2016 Managerial Economics