- Tytuł:
- Does simultaneous investing on different stock markets allow to diversify risk? The cointegration analysis with main focus on Warsaw Stock Exchange
- Autorzy:
-
Misiuk, Anna
Zajkowska, Olga - Powiązania:
- https://bibliotekanauki.pl/articles/453393.pdf
- Data publikacji:
- 2010
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
market stock exchange
stock exchange indices
WIG20
cointegration theory
Granger causality
portfolio diversification - Opis:
- 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.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2010, 11, 1; 118-127
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł