Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

PL EN


2017 | 2(31) | 31-43

Article title

Interdependence of sentiment indicators − a case of the Polish OTC market

Content

Title variants

Languages of publication

EN

Abstracts

EN
Prices observed on emerging markets are affected by market sentiment changes. The article presents an interdependence analysis of a chosen set of sentiment indicators observed on the Polish OTC market. The set contains both interest rate market (basis swap, asset swap, convergence swap, overnight index swap), foreign exchange market (ATM volatility, risk reversal) and equity market (WIG20). The analysis is focused on cointegration and Granger causality approach in order to present forecasting power of elaborated models. Evidence from the market reveals economic link between the time series that comes from the strong influence of the cross-border trading between non-residents and local market makers. High responsiveness of daily prices of OTC instruments to the changes of the market sentiment and a level of the risk aversion can be proven. Moreover, error correction model using foreign exchange options has practical forecasting power generating adequate trading decisions taken by market makers

Year

Issue

Pages

31-43

Physical description

Contributors

References

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.desklight-62ff08cb-6239-4821-aeeb-97587657941d
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.