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2015 | nr 381 Financial Investments and Insurance - Global Trends and the Polish Market | 439--454
Tytuł artykułu

Causality in Distribution Between European Stock Markets and Commodity Prices: Using Independence Test Based on the Empirical copula

Treść / Zawartość
Warianty tytułu
Analiza przyczynowości w rozkładzie między europejskimi rynkami akcji a cenami surowców z wykorzystaniem testu niezależności opartym na kopule empirycznej
Języki publikacji
EN
Abstrakty
EN
The aim of the paper is to investigate dynamic linkages between the main European stock markets and two commodity prices: crude oil and gold. For the empirical analysis we use daily data from the period January 2, 1998 to June 30, 2014. To investigate Granger causality a nonparametric test based on the empirical copula is used, which was proposed by Christian Genest and Bruno Rémillard in 2004. The analysis is conducted in rolling windows. There are three main findings of the study. First, relations between commodity prices and stock markets are not stable in time. Second, commodity prices do not Granger cause the European stock market indexes. Third, only the price of gold depends on past values of stock market indexes for almost all sub-periods(original abstract)
W pracy analizowano dynamiczne powiązania między głównymi europej-skimi rynkami akcji a cenami dwóch surowców: ropy i złota. Wykorzystano w tym celu przyczynowość w sensie Grangera w rozkładzie, którą testowano za pomocą niepara-metrycznego testu niezależności opartego na kopule empirycznej. Do analizy empirycznej wykorzystano dane dzienne z okresu 2.01.1998-30.06.2014. Przeprowadzono ją dla rolo-wanej próby, przesuwając okno czasowe. Uzyskano trzy główne wyniki badania. Po pierw-sze, powiązania między cenami surowców a rynkami akcji nie są stabilne w czasie. Po dru-gie, ceny surowców nie są przyczyną w sensie Grangera europejskich indeksów giełdowych. Po trzecie, tylko cena złota zależy od ostatnich wartości indeksów giełdowych dla prawie wszystkich podokresów(abstrakt oryginalny)
Słowa kluczowe
Twórcy
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
Bibliografia
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
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