Market micro structure of stock exchanges in the Visegrad region
|Author:||Bc. Filip Fraňo|
|Year:||2011 - summer|
|Leaders:|| prof. PhDr. Petr Teplý Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||The aim of this thesis is to compare stock exchanges in the Visegrad region with
respect to the market microstructure theory, the field of economics studying the
outcome of trading under specific rules. First, commonly used structures of markets
are presented and the motivation why economists should be concerned with
the design of markets is provided. In the main part of the work, besides the basic
attributes of these markets, their market structures and trading systems are compared.
Moreover, the price behavior of High Capitalization and Mid Capitalization
segments of companies from the Budapest Stock Exchange (BSE), the Prague Stock
Exchange (PSE), and the Warsaw Stock Exchange (WSE) is examined. Finally, the
method developed by Roll (1984) is implemented to estimate the bid-ask spreads of
the largest companies listed on the BSE, the PSE, and the WSE. The results that
do not correspond with previous empirical studies probably stem from relatively low
liquidity of these markets and unusual price behavior during crisis.
|Downloadable:|| Bachelor Thesis of Fraňo