Podatność rynków giełdowych krajów Grupy Wyszehradzkiej na niestabilności wewnętrzne i zewnętrzne

Authors

Wojciech Grabowski
Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny, Instytut Ekonometrii, Katedra Modeli i Prognoz Ekonometrycznych
https://orcid.org/0000-0002-6707-3736

Keywords:

Grupa Wyszehradzka, indeksy giełdowe WIG, rynki giełdowe Polski, Czech i Węgier, rynki walutowe, system finansowy

Synopsis

W monografii pt. Podatność rynków giełdowych krajów Grupy Wyszehradzkiej na niestabilności wewnętrzne i zewnętrzne prezentowane są wyniki badań dotyczące sytuacji na rynkach giełdowych w Polsce, Czechach i na Węgrzech, powiązań między analizowanymi rynkami oraz ich odporności na szoki zewnętrzne. Zbadano wpływ zarówno krótko-, jak i długookresowych czynników na wartości indeksów WIG, BUX, PX oraz stopy zwrotu. Zidentyfikowano okresy łącznych załamań na rynkach kapitałowych oraz badany jest mechanizm transmisji szoków i zmienności. Wykorzystywano szeroki wachlarz metod ekonometrycznych, obejmujący m.in. jedno- i wielorównaniowe modele klasy GARCH, analizę transmisji zmienności Diebolda-Yilmaza, modele zmiennych jakościowych oraz modele regresji kwantylowej.

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14 April 2021

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978-83-8220-395-0

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978-83-64462-63-4