Description

• Title:
  Modelowanie i prognozowanie procesów transmisji sygnałów między rynkami akcji. Analiza wpływu zmienności kursowej na giełdach w USA na rynek akcji w Polsce
• Creator:
  Brzeszczyński, Janusz
• Contributor:
  Newcastle Business School, Northumbria University, Newcastle-upon-Tyne; Katedra Rynku i Inwestycji Kapitałowych, Instytut Finansów, Wydział Ekonomiczno‑Socjologiczny, Uniwersytet Łódzki;
  janusz.brzeszczynski@northumbria.ac.uk
• Description:
  Signal transmission processes among international financial markets, at the level of both price volatility and returns direction, are complex phenomena, in particular in case of the application of high frequency data. This paper presents models describing such effects, discussion of selected methodological issues, empirical application for the Polish market and also indicates the possibilities for using such tools for the construction of investment strategies on the stock markets. Empirical study for the WIG20 index conducted on the sample of years 2005–2016 demonstrates the existence of the relationship between the variability of the WIG20 index returns and the returns of the indices from the US market, whereas the strongest dependence has been identified in case of the DJIA index. Moreover, an evolution effect of the value of the estimated parameters over time has been detected. The estimates from the in‑sample period from years 2005–2016 were further exploited in the out‑of‑sample experiment using the data from the year 2017 with additional application of index futures contracts on the WIG20 index.
• Object availability:
  free access
• Rights:
  This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.;
  http://creativecommons.org/licenses/by-nc-nd/4.0
• Date:
  2019.02.14;
  2018
• Type:
  Article
• Language:
  Polish
• Format:
  application/pdf
• Publisher:
  Wydawnictwo Uniwersytetu Łódzkiego
• Relation:
  Acta Universitatis Lodziensis. Folia Oeconomica;339;
  6
• Subject:
  stock market;
  stock indices;
  futures contracts on stock indices;
  information transmission processes among stock markets;
  rynek akcji;
  indeksy giełdowe;
  kontrakty futures na indeksy giełdowe;
  procesy transmisji informacji między rynkami akcji;
  C32;
  G15;
  G17
• Identifier:
  0208-6018;
  http://hdl.handle.net/11089/26821 ;
  2353-7663;
  10.18778/0208-6018.339.08
• Data provider:
  Repozytorium Uniwersytetu Łódzkiego
• Can I use it?:
  check license
• Type:
  image