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

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References


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DOI: http://dx.doi.org/10.17951/h.2018.52.4.73-81
Data publikacji: 2019-02-19 12:20:46
Data złożenia artykułu: 2018-04-30 18:37:54


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