Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi

Czapkiewicz, Anna; Jamer, Paweł

doi:10.15611/ekt.2015.2.09

Cited by 2 publications

(1 citation statement)

References 13 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Interrelationships with indices from Western Europe were relatively stronger than with those from Eastern Europe. Weakened interrelationships were observed after 2012 [Czapkiewicz, Jamer 2015]. We also analysed correlation relationships between stock exchange indices.…”

Section: Literature Reviewmentioning

confidence: 99%

Causality analysis between stock market indices

Sekuła¹

2019

Financial Sciences

View full text Add to dashboard Cite

The first one includes stock quotes from before the financial crisis while the second one covers the crisis and changes in the economic situation in post-crisis years. Relationships between stock market indices in developed economies were more frequent and durable than in Central Europe, although they were subject to changes. In our investigation into Granger causality relationships we observed changes in these relationships and in their direction for stock markets in Central Europe, while bidirectional relationships between indices in developed economies remained stable over time. Changes in relationships between indices, in particular long-term interdependences, may result from the impact of the 2008 financial crisis. The increased number of causality relationships for the markets in Central Europe may testify to the advancing integration of the EU common market.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Causality analysis between stock market indices

Sekuła¹

2019

Financial Sciences

View full text Add to dashboard Cite

show abstract

Analiza zależności na rynkach finansowych Europy Środkowej

Sekuła

2020

View full text Add to dashboard Cite

Celem artykułu jest przeanalizowanie korelacji i kointegracji rynku akcji, rynku obligacji skarbowych oraz rynku walutowego w Czechach, Polsce i na Węgrzech. Analiza obejmuje 14 lat, począwszy od stycznia 2006 r., a skończywszy na grudniu 2019 r. Badanie wykazało korelacje między zmiennymi, które były niestabilne w podokresach. Zastosowany w analizie test Engle’a–Grangera nie potwierdził kointegracji między analizowanymi zmiennymi.

show abstract

Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi

Cited by 2 publications

References 13 publications

Causality analysis between stock market indices

Causality analysis between stock market indices

Analiza zależności na rynkach finansowych Europy Środkowej

Contact Info

Product

Resources

About