All Outputs (28)

Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland. (2017)
Journal Article
BRZESZCZYNSKI, J., GAJDKA, J. and ALI, M.K. 2017. Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland. Argumenta oeconomica [online], 2(39), pages 21-53. Available from: https://doi.org/10.15611/aoe.2017.2.02

We analyze the impact of monetary policy communication of the National Bank of Poland (NBP), i.e. the NBP announcements of interest rates changes and the release of new macroeconomic figures, on the Polish financial market in its two main segments: t... Read More about Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland..

Neoclassical and behavioral finance: a synergy of approaches in current debates and in contemporary financial research. (2016)
Journal Article
GAJDKA, J. and BRZESZCZYNSK, J. 2016. Neoclassical and behavioral finance: a synergy of approaches in current debates and in contemporary financial research. Emerging markets finance and trade [online], 52(12), pages 2685-2686. Available from: https://doi.org/10.1080/1540496X.2016.1246331

One of the most prominent changes in the development of finance as a scientific discipline at the turn of the 21st century has been a rapidly increasing interest in behavioral finance: the field of study that combines the knowledge of finance with ps... Read More about Neoclassical and behavioral finance: a synergy of approaches in current debates and in contemporary financial research..

Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators. (2016)
Journal Article
YAROVAYA, L., BRZESZCZYNSKI, J. and LAU, C.K.M. 2016. Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators. Finance research letters [online], 17, pages 158-166. Available from: https://doi.org/10.1016/j.frl.2016.03.005

This paper investigates the channels of volatility transmission across stock index futures in 6 major developed and emerging markets in Asia. We analyse whether the popular volatility spillovers tests are susceptible to the choice of range volatility... Read More about Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators..

Investor response to public news, sentiment and institutional trading in emerging markets: a review. (2015)
Journal Article
BRZESZCZYŃSKI, J., GAJDKA, J. and KUTAN, A. 2015. Investor response to public news, sentiment and institutional trading in emerging markets: a review. International review of economics and finance [online], 40, pages 338-352. Available from: https://doi.org/10.1016/j.iref.2015.10.042

This paper reviews the literature on investor reaction and sentiment with respect to public information arrival in emerging markets and discusses the implications of the findings for the validity of theoretical models emphasizing public information a... Read More about Investor response to public news, sentiment and institutional trading in emerging markets: a review..

Intra- and inter-regional return and volatility spillovers across emerging and developed markets: evidence from stock indices and stock index futures. (2015)
Journal Article
YAROVAYA, L., BRZESZCZYNSKI, J. and LAU, C.K.M. 2016. Intra- and inter-regional return and volatility spillovers across emerging and developed markets: evidence from stock indices and stock index futures. International review of financial analysis [online], 43, pages 96-114. Available from: https://doi.org/10.1016/j.irfa.2015.09.004

We provide empirical evidence on the patterns of intra- and inter-regional transmission of information across 10 developed and 11 emerging markets in Asia, the Americas, Europe and Africa using both stock indices and stock index futures. The main tra... Read More about Intra- and inter-regional return and volatility spillovers across emerging and developed markets: evidence from stock indices and stock index futures..

Liquidity measures and cost of trading in an illiquid market. (2014)
Journal Article
ARMITAGE, S., BRZESZCZYNSKI, J. and SERDYUK, A. 2014. Liquidity measures and cost of trading in an illiquid market. Journal of emerging market finance [online], 13(2), pages 155-196. Available from: https://doi.org/10.1177/0972652714541340

We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Though Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in the market.... Read More about Liquidity measures and cost of trading in an illiquid market..

Public information arrival and investor reaction during a period of institutional change: an episode of early years of a newly independent central bank. (2014)
Journal Article
BRZESZCZYŃSKI, J. and KUTAN, A.M. 2015. Public information arrival and investor reaction during a period of institutional change: an episode of early years of a newly independent central bank. Journal of comparative economics [online], 43(3), pages 727-753. Available from: https://doi.org/10.1016/j.jce.2014.07.004

Employing unique data derived directly from the Reuters electronic brokerage platform for currency trading, this paper investigates the reaction of investors to central bank announcements on the foreign exchange market in Poland in the years 2000–200... Read More about Public information arrival and investor reaction during a period of institutional change: an episode of early years of a newly independent central bank..

How beneficial is international stock market information in domestic stock market trading? (2012)
Journal Article
IBRAHIM, B.M. and BRZESZCZNSKI, J. 2014. How beneficial is international stock market information in domestic market trading? European journal of finance [online], 20(3), pages 201-231. Available from: https://doi.org/10.1080/1351847X.2012.690773

This paper uses the foreign information transmission (FIT) model of Ibrahim and Brzeszczynski [Inter-regional and region-specific transmission of international stock market returns: The role of foreign information. Journal of International Money and... Read More about How beneficial is international stock market information in domestic stock market trading?.