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MODELING RELATIONS BETWEEN SELECTED MACROECONOMIC PROCESSES AND THE WARSAW STOCK EXCHANGE INDEX

Ekonomia i Prawo. Economics and Law

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Title Statement MODELING RELATIONS BETWEEN SELECTED MACROECONOMIC PROCESSES AND THE WARSAW STOCK EXCHANGE INDEX
 
Added Entry - Uncontrolled Name Fiszeder, Piotr; Katedra Ekonometrii i Statystyki, Wydział Nauk Ekonomicznych i Zarządzania, Uniwersytet Mikołaja Kopernika w Toruniu
Rowiński, Sebastian; Wydział Nauk Ekonomicznych i Zarządzania, Uniwersytet Mikołaja Kopernika w Toruniu
 
Summary, etc. <p class="Tekststreszczenia-EN"><span lang="EN-US">The relations between a stock market and macroeconomic processes are objects of interest of this paper. The existence of the long-run dependence between the Warsaw Stock Exchange Index and selected macroeconomic processes was demonstrated. A positive influence on the WIG index in the cointegrating vector had the GDP and the first differences of the money supply, whereas a negative one the rate of inflation and the CRB commodities index. Significant short-term relations were also observed. A positive influence on the first differences of the WIG index had the lagged first differences of the CRB index and a negative one the lagged second differences of the money supply. The results of the research are typical for emerging markets. Furthermore they show that analyzed processes do not have a meaningful impact on the short-term fluctuations of stock prices quoted on the Warsaw Stock Exchange.</span></p>
 
Publication, Distribution, Etc. Uniwersytet Mikołaja Kopernika w Toruniu
2012-09-30 00:00:00
 
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http://www.apcz.pl/czasopisma/index.php/EiP/article/view/EiP.2012.029
 
Data Source Entry Ekonomia i Prawo. Economics and Law; Vol 10, No 3 (2012)
 
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