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Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market

Dynamic Econometric Models

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Title Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market
 
Creator Włodarczyk, Aneta; Czestochowa University of Technology
Otola, Iwona; Czestochowa University of Technology
 
Subject ARFIMAX-FIGARCH; firm volatility; market volatility; subprime crisis; Warsaw Stock Exchange.
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Description In this paper we investigate if the strength of firm-market volatility relationship has changed after subprime crisis on the Polish Capital Market. The empirical study concern the selected companies listed on the Warsaw Stock Exchange (WSE) from the construction and IT sectors in the 2004–2011 period. The volatility measures were computed on the basis of daily low and high prices for companies shares and WIG index. For each company   ARFIMAX-FIGARCH model with additional exogenous variables, which represented market volatility, was estimated in the stable and the turbulent period. Conducted empirical studies have not shown that the negative shocks flowing from the American stock market through investors' behavior channel contributed to the increase in the fraction of firms of the construction and IT sectors listed on the WSE whose volatility is shaped by market volatility.
 
Publisher Nicolaus Copernicus University
 
Contributor —
 
Date 2016-12-29
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.006
10.12775/DEM.2016.006
 
Source Dynamic Econometric Models; Vol 16 (2016); 87-116
Dynamic Econometric Models; Vol 16 (2016); 87-116
2450-7067
1234-3862
 
Language eng
 
Relation http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.006/10669
 
Rights Copyright (c) 2016 Dynamic Econometric Models