Premia na rynku kontraktów CDS a koniunktura na rynku akcji w Polsce w okresie 2011–2016
Credit Default Swap Premia vs. Polish Stock Market in Period 2011–2016

Summary/Abstract: This article propose a simple approach to explain credit default swap premia and stock marketprices in Poland. Credit Default Swap is an innovative financial instrument designed to risktransfer. The sovereign CDS premia measures investment risk.The aim of the article is to compare the premia of five-year Polish sovereign CDS and thePolish stock market indices – WIG and NCI. The key aim of the study is to calculate Pearsoncorrelation coefficient of premia with indices in period 2011–2016. According to the theory, theCDS premia was strongly negatively correlated with the main index of the Polish stock market.When premia increases WIG decreases simultaneously and vice versa. Otherwise in case of CDSpremia and NCI, strong positive correlation was documented. When premia increases the samegoes for the NC index. The relationship can be explained by the presence of low risk averseinvestors on the NewConnect market.

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