Modelowanie i prognozowanie procesów transmisji sygnałów między rynkami akcji. Analiza wpływu zmienności kursowej na giełdach w USA na rynek akcji w Polsce

Brzeszczyński, Janusz

dc.contributor.author	Brzeszczyński, Janusz
dc.date.accessioned	2019-02-14T11:31:19Z
dc.date.available	2019-02-14T11:31:19Z
dc.date.issued	2018
dc.identifier.issn	0208-6018
dc.identifier.uri	http://hdl.handle.net/11089/26821
dc.description.abstract	Signal transmission processes among international financial markets, at the level of both price volatility and returns direction, are complex phenomena, in particular in case of the application of high frequency data. This paper presents models describing such effects, discussion of selected methodological issues, empirical application for the Polish market and also indicates the possibilities for using such tools for the construction of investment strategies on the stock markets. Empirical study for the WIG20 index conducted on the sample of years 2005–2016 demonstrates the existence of the relationship between the variability of the WIG20 index returns and the returns of the indices from the US market, whereas the strongest dependence has been identified in case of the DJIA index. Moreover, an evolution effect of the value of the estimated parameters over time has been detected. The estimates from the in‑sample period from years 2005–2016 were further exploited in the out‑of‑sample experiment using the data from the year 2017 with additional application of index futures contracts on the WIG20 index.	en_GB
dc.description.abstract	Efekty transmisji sygnałów między rynkami finansowymi na świecie, zarówno na poziomie zmienności kursowej, jak i kierunku (znaku) stóp zwrotu, są złożonymi zjawiskami, szczególnie w przypadku wykorzystania danych o wysokiej częstotliwości obserwacji. Artykuł prezentuje modele opisujące te procesy, wybrane kwestie metodologiczne, aplikację empiryczną dla polskiego rynku oraz wskazuje na możliwości wykorzystania omawianych narzędzi do budowy giełdowych strategii inwestycyjnych. Przeprowadzone badanie dla indeksu WIG20 na próbie z lat 2005–2016 dowodzi występowania związku między zmiennością stóp zwrotu indeksu WIG20 a stopami zwrotu indeksów giełdowych z rynku w USA, przy czym najsilniejsza zależność zidentyfikowana została w przypadku indeksu DJIA. Ponadto zaobserwowany został efekt ewolucji zmian wartości estymowanych parametrów w badanych modelach wraz z upływem czasu. Oszacowania parametrów z okresu próby z lat 2005–2016 wykorzystane zostały także w eksperymencie prognostycznym przy użyciu danych z roku 2017 z zastosowaniem dodatkowo kontraktów futures na indeks WIG20.	pl_PL
dc.language.iso	pl	pl_PL
dc.publisher	Wydawnictwo Uniwersytetu Łódzkiego	pl_PL
dc.relation.ispartofseries	Acta Universitatis Lodziensis. Folia Oeconomica;339
dc.rights	This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.	pl_PL
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0	pl_PL
dc.subject	stock market	en_GB
dc.subject	stock indices	en_GB
dc.subject	futures contracts on stock indices	en_GB
dc.subject	information transmission processes among stock markets	en_GB
dc.subject	rynek akcji	pl_PL
dc.subject	indeksy giełdowe	pl_PL
dc.subject	kontrakty futures na indeksy giełdowe	pl_PL
dc.subject	procesy transmisji informacji między rynkami akcji	pl_PL
dc.title	Modelowanie i prognozowanie procesów transmisji sygnałów między rynkami akcji. Analiza wpływu zmienności kursowej na giełdach w USA na rynek akcji w Polsce	pl_PL
dc.title.alternative	Modelling and Forecasting of Signal Transmission Processes among Stock Markets	en_GB
dc.type	Article	pl_PL
dc.page.number	125-146
dc.contributor.authorAffiliation	Newcastle Business School, Northumbria University, Newcastle-upon-Tyne; Katedra Rynku i Inwestycji Kapitałowych, Instytut Finansów, Wydział Ekonomiczno‑Socjologiczny, Uniwersytet Łódzki
dc.identifier.eissn	2353-7663
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dc.contributor.authorEmail	janusz.brzeszczynski@northumbria.ac.uk
dc.identifier.doi	10.18778/0208-6018.339.08
dc.relation.volume	6	pl_PL
dc.subject.jel	C32
dc.subject.jel	G15
dc.subject.jel	G17

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