The Causal Relationships between WIG20 and PLN

Paweł Sekuła

Abstract


The article examines the interaction between share prices and exchange rates on the Polish fiancial 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.


Keywords


exchange rates; stock prices; Granger causality

Full Text:

PDF

References


Abdalla I., Murinde V., Exchange rates and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines, “Applied Financial Economics” 1997, Vol. 7(1),

DOI: http://dx.doi.org/10.1080/096031097333826.

Ajayi R.A., Mougoue M., On the dynamic relation between stock prices and exchange rates, “Journal of Financial Research” 1996, Vol. 19(2),

DOI: http://dx.doi.org/10.1111/j.1475-6803.1996.tb00593.x.

Andrikopoulos A., Samitas A., Volatility transmission across currencies and stock markets: GIIPS in crisis, “Applied Financial Economics” 2014, Vol. 24(19),

DOI: http://dx.doi.org/10.1080/09603107.2014.925054.

Bahmani-Oskooee M., Sohrabian A., Stock prices and the effective exchange rate of the Dollar, “Applied Economics” 1992, Vol. 24(4),

DOI: http://dx.doi.org/10.1080/00036849200000020.

Fedorova E., Saleem K., Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe, “Finance a uver-Czech Journal of Economics and Finance” 2010, Vol. 60(6),

DOI: http://dx.doi.org/10.2139/ssrn.1460645.

Jorion P., The exchange-rate exposure of U.S. multinationals, “Journal of Business” 1990, Vol. 63(3), DOI: http://dx.doi.org/10.1086/296510.

Koseoglu S.D., Cevik E.I., Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries, “Finance a uver-Czech Journal of Economics and Finance” 2013, Vol. 63(1).

NBP, Wyniki badania obrotów na rynku walutowym i rynku pozagiełdowych instrumentów pochodnych w Polsce.

Nieh C.C., Lee C.F., Dynamic relationship between stock prices and exchange rates for G-7 Countries, “Quarterly Review of Economics and Finance” 2001, Vol. 41(4), DOI: http://dx.doi.org/10.1016/S1062-9769(01)00085-0.

Roll R., Industrial structure and the comparative behavior of international stock markets indices, “Journal of Finance” 1992, Vol. 47(1),

DOI: http://dx.doi.org/10.1111/j.1540-6261.1992.tb03977.x.




DOI: http://dx.doi.org/10.17951/h.2018.52.4.73-81
Date of publication: 2019-02-19 12:20:46
Date of submission: 2018-04-30 18:37:54


Statistics


Total abstract view - 744
Downloads (from 2020-06-17) - PDF - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2019 Paweł Sekuła

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.