Wpływ Informacji Z Usa Na Śróddzienną Sezonowość Na Przykładzie Spółki KGHM

Abstract

<jats:p>Intensity of trading on stock markets is characterized by a visible intraday seasonality pattern. In the case of European markets, this seasonality is strongly influenced by announcements of information about the US economy. In this paper we study the impact of these publications on intraday seasonality of trading volume and volatility of KGHM returns in the period from 2001 to 2016. The analysis concerns both the strength and the length of the impact of new, important information.</jats:p>