文章基本信息

标题：Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market
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作者：Aneta Włodarczyk ; Aneta Włodarczyk ; Iwona Otola 等
期刊名称：Dynamic Econometric Models
印刷版ISSN：1234-3862
电子版ISSN：2450-7067
出版年度：2016
卷号：16
页码：87-116
DOI：10.12775/DEM.2016.006
语种：English
出版社：Nicolaus Copernicus University Press
摘要：In this paper we investigate if the strength of firm-market volatility relationship has changed after subprime crisis on the Polish Capital Market. The empirical study concern the selected companies listed on the Warsaw Stock Exchange (WSE) from the construction and IT sectors in the 2004–2011 period. The volatility measures were computed on the basis of daily low and high prices for companies shares and WIG index. For each company ARFIMAX-FIGARCH model with additional exogenous variables, which represented market volatility, was estimated in the stable and the turbulent period. Conducted empirical studies have not shown that the negative shocks flowing from the American stock market through investors' behavior channel contributed to the increase in the fraction of firms of the construction and IT sectors listed on the WSE whose volatility is shaped by market volatility.
关键词：ARFIMAX-FIGARCH; firm volatility; market volatility; subprime crisis; Warsaw Stock Exchange