O współzależności giełd na przykładzie giełdy polskiej i niemieckiej

• Authors: Marcin Czupryna
• Languages of publication: PL

Abstracts

PL

Artykuł nie zawiera abstraktu w języku polskim

EN

The paper verifies the hypothesis of the existence of relationships between Polish and German stock markets and the impact of the convergence process. The relationship between the stock exchanges was represented by co-integration indices DAX and WIG20 or WIG. No co-integration between DAX and WIG or WIG20 is observed unless additionally the correction of the trend of the WIG20 index is taken into account. However the co-integration between indices WIG20TR and the DAX is observed. Both indices constructed in a  similar way and representing largest companies of both stock markets. These results suggest the hypothesis of the existence of correlation between the two exchanges. A  significant change in the structure of co-integration in the period July 2009 – December 2012, compared with the previous period and 2006 to June 2009 is observed.

Keywords

PL

giełdy papierów wartościowych; kointegracja

EN

stock markets; cointegration

• Publisher: Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
• Journal: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
• Year: 2013
• Volume: 47
• Issue: 3

Dates

published

2013

online

2015-07-23

Contributors

author

Marcin Czupryna

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Identifiers

DOI

10.17951/h.2013.47.3.109