Krzysztof Kompa, Ph.D., Department of Informatics, Warsaw University of Life Sciences, ul. Nowoursynowska 166, Warszawa, 02-787, Poland
Investigation of stock indexes let us infer about phenomena that are significant for the theory and practice of investment. The subject of this paper is verification of Granger-sense causality hypothesis for the pairs of Warsaw Stock Exchange indexes: WIG, WIG20, mWIG40, sWIG80 and sub-indexes in the period from the beginning of January 2000 to the end of August 2007 (1925 observations). The rolling windows method is used for the 200, 500 and 1000 observations in the window (1725, 1425 and 925 subsamples respectively). Investigation is provided for variables lagged by: 1, 2,…, 10 periods.