The Causal Relationships between WIG20 and PLN
The Causal Relationships between WIG20 and PLN
Author(s): Paweł SekułaSubject(s): Economy, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Marii Curie-Sklodowskiej
Keywords: exchange rates; stock prices;Granger causality;
Summary/Abstract: The article examines the interaction between share prices and exchange rates on the Polish financial market. A two-dimensional model of vector autoregression was used and daily data on the stock exchange index and exchange rate index for the period from April 2000 to December 2017 were used. The empirical results indicated a one-way causality from exchange rates to share prices.
Journal: Annales Universitatis Mariae Curie-Skłodowska, Sectio H Oeconomia
- Issue Year: LII/2018
- Issue No: 4
- Page Range: 73-81
- Page Count: 9
- Language: English