Determinanty zmian współzależności wybranych giełd papierów wartościowych: Analiza relacji GPW w Warszawie z giełdami na świecie

Autorzy

Anna Czapkiewicz
Akademia Górniczo-Hutnicza im. Stanisława Staszica, Wydział Zarządzania, Samodzielna Pracownia Zastosowań Matematyki w Ekonomii

Słowa kluczowe:

rynek finansowy, szeregi czasowe, modele wielowymiarowe, Giełda Papierów Wartościowych w Warszawie, stopa procentowa, indeksy giełdowe

Streszczenie

W publikacji zaprezentowano modelowanie powiązań między indeksami wybranych giełd papierów wartościowych. Omawiane zagadnienia można zaklasyfikować do kilku wątków tematycznych. Pierwszy obejmuje pogrupowanie giełd na świecie pod względem ich podobieństwa w relacjach z innymi giełdami w celu wskazania miejsca Giełdy Papierów Wartościowych w Warszawie na tle innych giełd tego typu. Drugi ukazuje potencjalne determinanty zmian poziomu współzależności wybranych giełd. Natomiast trzeci wątek badań koncentruje się na teoretycznych własnościach zastosowanych narzędzi statystycznych. Zagadnienie dotyczące roli wskaźników finansowych oraz makroekonomicznych w dynamice struktury powiązań warszawskiej Giełdy Papierów Wartościowych z innymi giełdami na świecie było rzadko poruszane w literaturze przedmiotu, więc celem tej monografii jest próba częściowego wypełnienia tej luki.

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16 stycznia 2019

Szczegóły dotyczące dostępnego formatu publikacji: ISBN

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ISBN-13 (15)

978-83-8142-356-4

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ISBN-13 (15)

978-83-8142-357-1