PRICE BEHAVIOR IN EMERGING STOCK MARKETS: CASES OF POLAND AND SLOVAKIA
This paper analyzes serial correlation in stock returns, and informational role of volume and volatility in Polish and Slovakian stock markets. Results indicate that prices tend to overshoot to new information in the Slovakian market, while new information gets impounded into prices with a one-day lag in the Polish market. In the context of feedback trading models, the Slovakian stock market seems to be dominated by traders who sell high and buy low, while stop-loss or distress selling type traders prevail in the Polish market. Traders became more sophisticated over time, as market efficiencies increased. Informational role of volume and volatility appears to be consistent with that found in developed stock markets.
WP 1999-17 July 1999
Charles H. Dyson School of Applied Economics and Management, Cornell University