O współzależności giełd na przykładzie giełdy polskiej i niemieckiej

• Autorzy: Marcin Czupryna

Warianty tytułu

On the Stock Markets Interdependency

• Języki publikacji: PL

Abstrakty

W artykule zweryfikowano hipotezę o istnieniu współzależności pomiędzy giełdami polską i niemiecką oraz o wpływie procesu konwergencji na obserwowaną współzależność obu opisywanych w niniejszym artykule giełd. (fragment tekstu)

EN

The paper verifies the hypothesis of the existence of relationships between Polish and German stock markets and the impact of the convergence process. The relationship between the stock exchanges was represented by co-integration indices DAX and WIG20 or WIG. No co-integration between DAX and WIG or WIG20 is observed unless additionally the correction of the trend of the WIG20 index is taken into account. However the co-integration between indices WIG20TR and the DAX is observed. Both indices constructed in a similar way and representing largest companies of both stock markets. These results suggest the hypothesis of the existence of correlation between the two exchanges. A significant change in the structure of co-integration in the period July 2009 - December 2012, compared with the previous period and 2006 to June 2009 is observed (original abstract)

Słowa kluczowe

PL

Giełda papierów wartościowych; Kointegracja; Indeks giełdowy

EN

Stock market; Cointegration; Stock market indexes

• Czasopismo: Annales Universitatis Mariae Curie-Skłodowska. Sectio H. Oeconomia
• Rocznik: 2013
• Tom: 47
• Numer: nr 3
• Strony: 109--118

Twórcy

autor

Marcin Czupryna

• Uniwersytet Ekonomiczny w Krakowie

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