Efekty zarażania wybranych giełd światowych w czasie kryzysu finansowego 2007-2009 -analiza ukrytych czynników.
Contagion effects on selected world stock exchanges during 2007-2009 financial crisis - factor analysis.

Summary/Abstract: The purpose of research was to test the contagion effects on selected world stock exchanges during 2007-2009 financial crisis. Stock market indices, which were very quickly responding to negative information incoming from USA, were studied as transmission channel. By contagion effect of crisis is understood the increase of investment risk on selected stock exchange (significant increase in stock index variance). Empirical studies have shown statistically significant (in varying degree) contagion effect on all examined markets. Hypothesis of significant influence of common factor in mature markets and common factor in emerging markets was negatively verified.

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