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Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange

Given the large number of ways, one can contribute (directly and indi- rectly) to a thesis that reflects four years of work, I have to thank numerous people for their help. Therefore, it is quite obvious that this foreword can only reflect the most important contributions to my work. First of all, I would like to thank my supervisor, Prof. Martin T. Bohl for his contribution to this thesis. His ongoing support and the various insights he provided were a great help to my research. I also appreciate the freedom I had and his confidence in my work. I would also like to thank my second supervisor, Prof | Trading Systems Volatility and the Regulation of Stock Markets An Investigation of the Microstructure of the Warsaw Stock Exchange A thesis submitted to the European University Viadrina for the degree of Ph.D. in the Faculty of Economics Supervisor Prof. Dr. Martin T. Bohl August 2004 Harald Henke Lehrstuhl fur Allgemeine Betriebswirtschaftslehre insbesondere Finanzwirtschaft und Kapitalmarkttheorie Europa-Universitat Viadrina Gr. Scharrnstr. 59 15230 Frankfurt Oder Contents 1 Introduction 6 2 Trading Volume and Stock Market Volatility The Polish Case 11 2.1 Introduction. 11 2.2 Mixture of Distributions Hypothesis and Econometric Method- ology. 12 2.3 Data Empirical Results and Comparison With Available Ev- idence . 15 2.4 Conclusion. 19 2.5 Tables. 21 3 Introducing Continuous Trading in an Emerging Market The Case of Poland 27 3.1 Introduction. 27 3.2 Trading Systems on the Warsaw Stock Exchange. 30 3.2.1 Call Auction. 30 3.2.2 Continuous Trading. 31 3.3 Data and Methodology. 32 3.3.1 Data. 32 3.3.2 Market Liquidity. 33 3.3.3 Price Efficiency. 34 3.3.4 Price Effects of the Transfers . 36 3.4 Empirical Results. 37 3.4.1 Use of the Continuous Trading System. 37 3.4.2 Market Liquidity. 38 3.4.3 Price Efficiency. 39 3.4.4 Price Effects. 40 3.5 Discussion. 41 3.6 Conclusion. 43 3.7 Figures and Tables. 46 2 4 When Continuous Trading Becomes Continuous The Im- pact of Institutional Trading on the Continuous Trading System of the Warsaw Stock Exchange 52 4.1 Introduction. 52 4.2 The Polish Stock Market and the Pension Reform of 1999 . 55 4.3 Theory and Testable Implications. 58 4.4 Methodology and Results. 64 4.4.1 Data. 64 4.4.2 Empirical results for the stock groups . 66 4.4.3 Empirical results of cross-sectional tests . 72 4.5 Conclusion. 74 4.6 Figures and Tables. 76 5 Price Limits on a Call Auction Market Evidence from the Warsaw Stock Exchange 83 5.1 Introduction. 83 5.2 Trading Structure and Price Limits on the Warsaw Stock Exchange. 86 5.3 Research Hypotheses and