The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange

• Autorzy: Gurgul H. , Syrek R.

Identyfikatory

DOI

10.7494/manage.2014.15.2.1

• Języki publikacji: EN

Abstrakty

EN

Evidence on links among the major Warsaw Stock Exchange subindexes using daily data from the period of 2011.03 01 to 2014.07.21 is provided in the paper. The empirical study for eleven WIG-sectoral subindexes with 844 observations was conducted by means of Regular Vine Copulas. The application of these copulas allowed us to identify the pairwise structure of the dependence of subindexes under study. The results confirm the leading role of the banking sector in the Polish economy. The dependence structure of the WIG-banking subindex and other subindexes is, in general, asymmetrical. The links between returns of the subindexes are more pronounced in the left tails; i.e., in the bear phase of financial markets. This study suggests the usefulness of Regular Vine Copulas in analyzing dependence structures of a number of financial time series.

Słowa kluczowe

EN

WIG-sectoral subindexes; regular copulas; dependence

• Wydawca: Wydawnictwa AGH
• Czasopismo: Managerial Economics
• Rocznik: 2014
• Tom: Vol. 15, no. 2
• Strony: 149--164
• Opis fizyczny: Bibliogr. 27 poz.

Twórcy

autor

Gurgul H.

• AGH University of Science and Technology, Department of Applications of Mathematics in Economics

autor

Syrek R.

• Jagiellonian University in Cracow, Institute of Economics and Management

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