All Outputs (47)

Inter-regional and region-specific transmission of international stock market returns: The role of foreign information (2008)
Journal Article
Ibrahim, B. M., & Brzeszczynski, J. (2009). Inter-regional and region-specific transmission of international stock market returns: The role of foreign information. Journal of International Money and Finance, 28(2), 322-343. https://doi.org/10.1016/j.jimonfin.2008.03.002

This paper uses stochastic-parameter regressions to analyze the role of foreign information on the return equivalent of the heat wave and meteor shower hypotheses of Engle et al. [Engle, R.F., Ito, T., Lin, W., 1990 Meteor showers or heat waves? Hete... Read More about Inter-regional and region-specific transmission of international stock market returns: The role of foreign information.

Institutional investors and stock returns volatility: Empirical evidence from a natural experiment (2008)
Journal Article
Bohl, M. T., Brzeszczyński, J., & Wilfling, B. (2009). Institutional investors and stock returns volatility: Empirical evidence from a natural experiment. Journal of Financial Stability, 5(2), 170-182. https://doi.org/10.1016/j.jfs.2008.02.003

In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities o... Read More about Institutional investors and stock returns volatility: Empirical evidence from a natural experiment.

Performance of high dividend yield investment strategy on the Polish stock market 1997-2007 (2008)
Journal Article
Brzeszczynski, J., & Gajdka, J. (2008). Performance of high dividend yield investment strategy on the Polish stock market 1997-2007. Investment Management and Financial Innovations, 5(2), 86-92

The subject of this analysis is the profitability of an investment strategy focused on high dividend yield stocks from the Polish stock market. We follow the idea from Visscher and Filbeck (2003) and construct portfolios of top ten highest dividend y... Read More about Performance of high dividend yield investment strategy on the Polish stock market 1997-2007.

Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange (2007)
Journal Article
Brzeszczyński, J., & Gajdka, J. (2007). Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange. International Advances in Economic Research, 13(3), 285-300. https://doi.org/10.1007/s11294-007-9077-z

This study presents an analysis of dividend-driven trading strategies based on dividend yield growth effects in the Polish stock market in the years 1994–2004. Results indicate that the dividend yield growth portfolios were capable of beating the mar... Read More about Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange.

Are There Benefits from Trading Strategy Based on the Returns Spillovers to the Emerging Stock Markets? Evidence from Poland (2007)
Journal Article
Brzeszczynski, J., & Welfe, A. (2007). Are There Benefits from Trading Strategy Based on the Returns Spillovers to the Emerging Stock Markets? Evidence from Poland. Emerging Markets Finance and Trade, 43(4), 74-92. https://doi.org/10.2753/ree1540-496x430404

This study investigates benefits from a trading strategy based on the spillovers from international stock markets to the Polish emerging stock market. The analysis is conducted within the framework of factor and predictive generalized autoregressive... Read More about Are There Benefits from Trading Strategy Based on the Returns Spillovers to the Emerging Stock Markets? Evidence from Poland.

Do institutional investors destabilize stock prices? Evidence from an emerging market (2006)
Journal Article
Bohl, M. T., & Brzeszczyński, J. (2006). Do institutional investors destabilize stock prices? Evidence from an emerging market. Journal of International Financial Markets, Institutions and Money, 16(4), 370-383. https://doi.org/10.1016/j.intfin.2005.05.005

In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics in Poland. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment ac... Read More about Do institutional investors destabilize stock prices? Evidence from an emerging market.

Explaining trading volume in the euro (2006)
Journal Article
Brzeszczynski, J., & Melvin, M. (2006). Explaining trading volume in the euro. International Journal of Finance and Economics, 11(1), 25-34. https://doi.org/10.1002/ijfe.289

Following the introduction of the euro in 1999, daily trade volume began a downward trend until early 2002, after which daily volume started to trend upward. A model of weekly trades suggests that changes in momentum as well as the carry trade motive... Read More about Explaining trading volume in the euro.