193 KB44 KB200320242013Gurgul, PiotrSyrek, Robertletnik:11številka:4str. 353-373, 421-422COBISSID:1536189124ISSN:1581-6311ISSN:1854-6935URN:URN:NBN:SI:doc-FONZX4VWenFaculty of managementManaging global transitionscopulasdinamične medsebojne povezavedynamic interrelationsfractional cointegrationfrakcijska kointegracijakopuleobseg trgovanjarealized volatilityrealizirana nihajnosttrading volumeTesting of dependencies between stock returns and trading volume by high frequency data|This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange and five from the Warsaw Stock Exchange. Taking into account high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. The paper presents some patterns of causal and other relationships between stock returns, realized volatility and expected and unexpected trading volume. There is a linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in the opposite direction. The authors detected strong linear and nonlinear causality from stock returns to expected trading volume. They did not find causality running in the opposite direction. In addition, the existence of fractional cointegration was examined. Despite the equality of the long memory parameters of realized volatility and trading volumes, they do not move together in the long term horizonČlanek obravnava analizo odvisnosti med donosnostjo, nihajnostjo in obsegom trgovanja z delnicami petih podjetij, ki kotirajo na dunajski borzi, in petih podjetij, ki kotirajo na varšavski borzi. Na podlagi hitrih podatkov za ta podjetja so bili narejeni preizkusi, ki temeljijo na primerjavi Bernsteinovih kopul gostot z uporabo Hellingerjeve distance. Članek predstavlja nekaj vzorcev vzročnih in ostalih povezav med donosnostjo delnic, realizirano nihajnostjo ter pričakovanim in nepričakovanim obsegom trgovanja. Obstaja linearna povezava med realizirano nihajnostjo in pričakovanim obsegom trgovanja, ni pa nelinearne povezave v nasprotni smeri. Avtorja sta ugotovila močno linearno in nelinearno povezavo med donosnostjo obveznic in pričakovanim obsegom trgovanja. Nista pa opazila povezave v nasprotni smeri. Preverila sta tudi, ali obstaja frakcijska kointegracija. Kljub enakovrednosti parametrov realizirane nihajnosti in obsega trgovanja v daljšem obdobju se ti parametri v daljših časovnih obdobjih ne gibljejo enakoTEXTznanstveno časopisjejournalsSlovenian National E-content AggregatorNational and University Library of SloveniaUniverza na Primorskem, Fakulteta za management