The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange
Evidence on links among the major Warsaw Stock Exchange subindexes using daily data from the period of 2011.03.01 to 2014.07.21 is provided in the paper. The empirical study for eleven WIG-sectoral subindexes with 844 observations was conducted by means of Regular Vine Copulas. The application of t...
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| Language: | English |
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AGH UNIVERSITY PRESS
2015-02-01
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| Series: | Managerial Economics |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/1367 |
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| author | Henryk Gurgul Robert Syrek |
| author_facet | Henryk Gurgul Robert Syrek |
| author_sort | Henryk Gurgul |
| collection | DOAJ |
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Evidence on links among the major Warsaw Stock Exchange subindexes using daily data from the period of 2011.03.01 to 2014.07.21 is provided in the paper. The empirical study for eleven WIG-sectoral subindexes with 844 observations was conducted by means of Regular Vine Copulas. The application of these copulas allowed us to identify the pairwise structure of the dependence of subindexes under study. The results confirm the leading role of the banking sector in the Polish economy. The dependence structure of the WIG-banking subindex and other subindexes is, in general, asymmetrical. The links between returns of the subindexes are more pronounced in the left tails; i.e., in the bear phase of financial markets. This study suggests the usefulness of Regular Vine Copulas in analyzing dependence structures of a number of financial time series.
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| format | Article |
| id | doaj-art-d917b9feeb5042b4afbfcf2a5cb21832 |
| institution | OA Journals |
| issn | 1898-1143 2353-3617 |
| language | English |
| publishDate | 2015-02-01 |
| publisher | AGH UNIVERSITY PRESS |
| record_format | Article |
| series | Managerial Economics |
| spelling | doaj-art-d917b9feeb5042b4afbfcf2a5cb218322025-08-20T02:34:43ZengAGH UNIVERSITY PRESSManagerial Economics1898-11432353-36172015-02-0115210.7494/manage.2014.15.2.149The relationship between WIG-subindexes: evidence from the Warsaw Stock ExchangeHenryk GurgulRobert Syrek Evidence on links among the major Warsaw Stock Exchange subindexes using daily data from the period of 2011.03.01 to 2014.07.21 is provided in the paper. The empirical study for eleven WIG-sectoral subindexes with 844 observations was conducted by means of Regular Vine Copulas. The application of these copulas allowed us to identify the pairwise structure of the dependence of subindexes under study. The results confirm the leading role of the banking sector in the Polish economy. The dependence structure of the WIG-banking subindex and other subindexes is, in general, asymmetrical. The links between returns of the subindexes are more pronounced in the left tails; i.e., in the bear phase of financial markets. This study suggests the usefulness of Regular Vine Copulas in analyzing dependence structures of a number of financial time series. https://journals.agh.edu.pl/manage/article/view/1367 |
| spellingShingle | Henryk Gurgul Robert Syrek The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange Managerial Economics |
| title | The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange |
| title_full | The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange |
| title_fullStr | The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange |
| title_full_unstemmed | The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange |
| title_short | The relationship between WIG-subindexes: evidence from the Warsaw Stock Exchange |
| title_sort | relationship between wig subindexes evidence from the warsaw stock exchange |
| url | https://journals.agh.edu.pl/manage/article/view/1367 |
| work_keys_str_mv | AT henrykgurgul therelationshipbetweenwigsubindexesevidencefromthewarsawstockexchange AT robertsyrek therelationshipbetweenwigsubindexesevidencefromthewarsawstockexchange AT henrykgurgul relationshipbetweenwigsubindexesevidencefromthewarsawstockexchange AT robertsyrek relationshipbetweenwigsubindexesevidencefromthewarsawstockexchange |