PL EN


2014 | 2(19) | 71-81
Article title

Korelacja indeksów cen akcji na globalnych rynkach finansowych

Content
Title variants
EN
Correlation on the global financial markets
Languages of publication
PL
Abstracts
EN
The main objective of the paper was to study connections between the financial markets including the Polish stock exchange market. The author wanted to respond to the following questions: • How strong are correlations among the main stock exchanges in the world? • What is the time (bear market or bull market) with stronger interdependencies among global financial markets? • What markets are most related to Polish WIG 20 Index? The author gathered data from 1999 till 2011. Correlation is calculated for the main global stock exchanges but it also contains Polish market. We can see that the longer period of calculation the weaker connections among stocks all over the world. Furthermore in crisis time interdependencies are stronger what leads us to support a hypothesis that diversification among stock markets does not work properly because of global economy. Next research in this area should focus on the fundamental determinants of international correlation across equity markets. Studies have to take into consideration industry specifications of each national market as well as the correlation of the countries’ business cycles.
Year
Issue
Pages
71-81
Physical description
Contributors
  • Uniwersytet Ekonomiczny we Wrocławiu
References
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  • Mink M., Mierau J., Measuring stock market contagion with an application to the sub-prime crisis, Working Paper DNB, VII 2009, numer 217/2009.
  • Syllignakis M., EMU’s Impact on the correlation across the European stock markets, International Research Journal of Finance and Economics, nr 6/2006.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-7662d099-9c76-4cb3-a71a-d1c77c74f75c
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