Causal Relationships Between the Metals Market and the Stock Market in the Face of the Changes Taking Place in the Modern World

• Autorzy: Katarzyna Zeug-Żebro
• Języki publikacji: EN

Abstrakty

EN

Purpose: The high uncertainty on the industrial metals market that has occurred in recent years is an important premise for looking for methods that will allow for a good predict of the price of these raw materials and their volatility in the future. The detection of causal relationships between the price of metals and the rate of certain financial instruments may improve the quality of forecasts by reducing the variance of the prediction error. The aim of the research is to test of the causality between the rate of the selected metals and the factors influencing their price. Design/methodology/approach: In order to study the causal relationships between the selected variables, the linear Granger test and the non-parametric Diks-Panchenko test were used. The second test can be used to detect causal relationships that are not necessarily linear. Findings: In the first phase of the research, the Granger linear causality test of variable pairs was carried out. For this purpose, the equations of the VAR model with the same number of lags for both variables were estimated and the test of the total significance of the delays of a given variable was applied in the equation explaining the second variable. Then, in order to compare the obtained results, the non-parametric Diks-Panchenko test was used for the same variables. Research limitations/implications: The indications of the Diks-Panchenko test depend on the number delays of variables. At a later stage of the research, one should, inter alia, check in more detail the influence of the delays adopted for the variables in this test. Practical implications: Application in making investment decisions on the capital market. Originality/value: The use of information on causal relationships to improve the quality of industrial metal price forecasts.(original abstract)

Słowa kluczowe

EN

Metal prices; Granger casuality

PL

Ceny metali; Przyczynowość w sensie Grangera

• Czasopismo: Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska
• Rocznik: 2022
• Numer: z. 167 Contemporary Challenges in the Performance of Organisations = Współczesne wyzwania organizacji
• Strony: 623--636

Twórcy

autor

Katarzyna Zeug-Żebro

• University of Economics in Katowice

Bibliografia

• 1. Charemza, W., Deadman, D.F. (1997). Nowa ekonometria. Warszawa: PWE.
• 2. Diks, C., Panchenko, V. (2006). New statistics and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics and Control, 30, 1647-1669.
• 3. Granger, C.W.J. (1969). Investigating Casual Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 24-36.
• 4. Gurgul, H., Lach, Ł. (2009). Związki przyczynowe pomiędzy bezpośrednimi inwestycjami zagranicznymi w Polsce a podstawowymi wskaźnikami makroekonomicznymi (wyniki badań empirycznych). Ekonometria menadżerska, 6, 77-91.
• 5. Hiemstra, C., Jones, J.D. (1994). Testing for linear and nonlinear Granger causality in the stock price volume relation. Journal of Finance, 49, 1639-1664.
• 6. Kasprzak-Czelej, A. (2018). Długookresowa zależność cen metali szlachetnych i ropy naftowej. Studia Ekonomiczne. Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach, 370, 27-50.
• 7. Olbryś, J., Majewska E. (2014). Direct identification of crisis period on the CEE stock markets: The Influence of the 2007 U.S. subprime crisis. Procedia Economics and Finance, Special Issue: International Conference on Applied Economics, ICOAE2014, Vol. 14, 461-470.
• 8. Orzeszko, W., Osińska, M. (2007). Analiza przyczynowości w zakresie zależności nieliniowych: implikacje finansowe. Zeszyty Naukowe Uniwersytety Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, nr 6, cz. 1, Rynek kapitałowy: skuteczne inwestowanie, 151-165.
• 9. Osińska, M. (2008). Ekonometryczna analiza zależności przyczynowych. Toruń: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika.
• 10. Syczewska, E.M. (2014). Przyczynowość w sensie Grangera - wybrane metody. Metody ilościowe w badaniach ekonomicznych, Tom XV/4, 169-180

Identyfikatory

DOI

10.29119/1641-3466.2022.167.43