Badanie przyczynowości między cenami spot i futures na przykładzie kontraktów terminowych na indeks WIG20

Badanie przyczynowości między cenami spot i futures na przykładzie kontraktów terminowych na indeks WIG20

The aim of the article is to examine the occurrence of Granger causality between futures and cash prices in the Polish capital market. For analysis the most liquid derivatives on the Stock Exchange in Warsaw, namely futures contracts on WIG20 index, were chosen. To further explore the dependencies s...

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Veröffentlicht in:Finanse, Rynki Finansowe, Ubezpieczenia Rynki Finansowe, Ubezpieczenia, 2013 (63), p.321-331
Hauptverfasser: Kompa, Krzysztof, Marcinkiewicz, Edyta
Format: Artikel
Sprache:eng
Schlagworte:
Economy
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Zusammenfassung:The aim of the article is to examine the occurrence of Granger causality between futures and cash prices in the Polish capital market. For analysis the most liquid derivatives on the Stock Exchange in Warsaw, namely futures contracts on WIG20 index, were chosen. To further explore the dependencies studies were based on intraday data, as well as daily closing prices.
ISSN:2450-7741