Badanie zależności między indeksami giełdowymi a kursami walutowymi
An Analysis of the Links between Stock Indexes and Currency Exchange Rates
Author(s): Eliza BuszkowskaSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
Keywords: volatility; currency rates; Spearman correlations; cointegration
Summary/Abstract: In the article I examine the influence of exchange rates on the Polish capital market in the periods before, after and during the last financial crisis. I also attempt to determine if currency rates characterised bigger or smaller volatility than the stock index in the periods considered. Finally, I turn to the question of whether there were regularities in the investigation of the volatility function of these instruments. Cointegration analysis was performed.
Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
- Issue Year: 928/2014
- Issue No: 04
- Page Range: 5-20
- Page Count: 16
- Language: Polish