An Analysis of the Links between Stock Indexes and Currency Exchange Rates
DOI:
https://doi.org/10.15678/ZNUEK.2014.0928.0401Keywords:
volatility, currency rates, Spearman correlations, cointegrationAbstract
In the article I examine the influence of exchange rates on the Polish capital market in the periods before, after and during the last financial crisis. I also attempt to determine if currency rates characterised bigger or smaller volatility than the stock index in the periods considered. Finally, I turn to the question of whether there were regularities in the investigation of the volatility function of these instruments. Cointegration analysis was performed.
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