Issue: 2008/Vol.18/No.2, Pages 17-35
POLISH STOCK MARKET AND SOME FOREIGN MARKETS - DEPENDENCE ANALYSIS BY COPULAS
Henryk Gurgul
, Roland Mestel, Robert Syrek
Cite as: H. Gurgul, R. Mestel, R. Syrek. Polish Stock Market and some foreign markets - dependence analysis by copulas. Operations Research and Decisions 2008: 18(2), 17-35.
Abstract
By applying copulas the examination was carried out to find out whether trading volume, stock return and return volatility are pairwise dependent. In the investigations it was shown that there exists a close relationship between these variables on the domestic market and between Polish stock returns and the returns of foreign stock market indexes. A similar significant relationship concerns also trading volumes. In addition, stock returns (returns volatility) of the Austrian and especially of the German stock market influence Polish trading volume. The lack of significant DJIA returns impact on the trading volume on WSE on the same day is probably caused by the fact that changes of DJIA lead changes on the European stock markets.
Keywords: Copulas, dependences, stock returns, trading volume
Received: Accepted: