dc.contributor.author | Blahun, Ivan | |
dc.contributor.author | Blahun, Ivan I. | |
dc.date.accessioned | 2021-11-29T11:44:20Z | |
dc.date.available | 2021-11-29T11:44:20Z | |
dc.date.issued | 2020 | |
dc.identifier.issn | 1800-5845 | |
dc.identifier.uri | http://hdl.handle.net/11089/39923 | |
dc.description.abstract | The article presents the results of the study on the impact of stock
indices of world exchange on the indices of local exchanges through
the example of the Ukrainian stock index. The purpose of the article
was to confirm the hypothesis of the existing influence of the indexes of world stock exchanges on the indices of local stock exchanges.
Time series of Standard & Poor's Global Ratings, NIKKEI 225, FTSE,
DAX, WIG and PFTS stock indices were used for the study for the
period from 2010 to 2017. On the basis of the analysis of the parameters of descriptive statistics, the relationship between the
indicated indices with different levels of narrowness was determined. Using the Sharpe model, the absolute risk of the PFTS index
was determined as the sum of specific and systematic risks. To test
the time series for stationary, the expanded Dickie-Fuller test and
the Phillips-Perron test were used. It has been determined that the
analysed time series are the rows characterized by non-stationary
and random roaming series, while the S & P index has the most
powerful trend, and WIG and FTSE have weaker trends. The hypothesis was put forward about the fact that world exchanges form the
conjuncture on local exchanges, in particular Ukrainian exchange,
which is confirmed by the results of the Granger causality test, as
well as by cointegration tests. | pl_PL |
dc.language.iso | en | pl_PL |
dc.publisher | ELIT - Economic Laboratory for Transition Research, Podgorica, Montenegro; University of Montenegro - Faculty of Economics Podgorica | pl_PL |
dc.relation.ispartofseries | Montenegrin Journal of Economics;16 | |
dc.rights | Uznanie autorstwa-Użycie niekomercyjne 4.0 Międzynarodowe | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc/4.0/ | * |
dc.subject | stock market | pl_PL |
dc.subject | stock indices | pl_PL |
dc.subject | stock exchange | pl_PL |
dc.subject | cointegration | pl_PL |
dc.title | The Relationship Between World and Local Stock Indices | pl_PL |
dc.type | Article | pl_PL |
dc.page.number | 55-67 | pl_PL |
dc.contributor.authorAffiliation | Department of Operational Research, Faculty of Economics and Sociology, University of Lodz, Poland | pl_PL |
dc.contributor.authorAffiliation | Vasyl Stefanyk Precarpathian National University, Ukraine | pl_PL |
dc.identifier.eissn | 1800-6698 | |
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dc.contributor.authorEmail | blagun@email.ua | pl_PL |
dc.identifier.doi | 10.14254/1800-5845/2020.16-1.4 | |
dc.relation.volume | 1 | pl_PL |
dc.discipline | nauki o zarządzaniu i jakości | pl_PL |