Zależności przyczynowe między WIG20 i PLN

• Authors: Paweł Sekuła
• Languages of publication: EN

Abstracts

EN

The article examines the interaction between share prices and exchange rates on the Polish fiancial market. A two-dimensional model of vector autoregression was used and daily data on the stock exchange index and exchange rate index for the period from April 2000 to December 2017 were used. The empirical results indicated a one-way causality from exchange rates to share prices.

PL

W artykule przedstawiono wyniki badania interakcji między cenami akcji a kursami walut na polskim rynku fiansowym. Wykorzystano dwuwymiarowy model wektorowej autoregresji i zastosowano dzienne dane o indeksie giełdowym i indeksie kursów walut dla okresu od kwietnia 2000 r. do grudnia 2017 r. Wyniki empiryczne wskazały na jednokierunkową przyczynowość od kursów walutowych do cen akcji.

Keywords

EN

exchange rates; stock prices; Granger causality

PL

kursy walut; ceny akcji; przyczynowość w sensie Grangera

• Publisher: Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
• Journal: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
• Year: 2018
• Volume: 52
• Issue: 4

Dates

published

2018

online

2019-02-19

Contributors

author

Paweł Sekuła

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Identifiers

DOI

10.17951/h.2018.52.4.73-81