Does Simultaneous Investing on Different Stock Markets Allow to Diversify Risk? : the Cointegration Analysis with Main Focus on Warsaw Stock Exchange

• Autorzy: Anna Barbara Misiuk , Olga Zajkowska
• Języki publikacji: EN

Abstrakty

EN

This paper aims at examining the bilateral linkage between daily stock market indices, in which the leading index of WSE (WIG20) is the reference. Thus, the study is limited to pairs including WIG20 and indices which are listed on the financial centers of WSE's main foreign investors. The relationship between the markets is investigated throughout the cointegration theory. Further, the Granger causality is carried out in order to distinguish the directions of influence across the stock market environments. The obtained results shall explain the investor's tendencies in portfolio diversification. (original abstract)

Słowa kluczowe

EN

Investing; Risk spreading; Cointegration; Stock market; Stock market indexes

PL

Inwestowanie; Dywersyfikacja ryzyka; Kointegracja; Giełda papierów wartościowych; Indeks giełdowy

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2010
• Tom: 11(XI)
• Numer: nr 1
• Strony: 118--127

Twórcy

autor

Anna Barbara Misiuk

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

autor

Olga Zajkowska

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

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