69th International Atlantic Economic Conference

March 24 - 27, 2010 | Prague, Czech Republic

Causal Relationship between WIG20 and WIG20 Futures on the Warsaw Stock Exchange

Thursday, 25 March 2010: 15:30
Krzysztof Kompa, Ph.D. , Department of Informatics, Warsaw University of Life Sciences, Warszawa, Poland
Edyta Marcinkiewicz, Master , Department of Organization and Management, Technical University of Lodz, Lodz, Poland
The aim of the paper is to investigate the mutual linkages between

spot and futures markets on Warsaw Stock Exchange. The object of the

analysis is intraday data of WIG20 index and WIG20 index futures. In

order to examine the causality the Vector AutoRegression analysis and

Error Correction Models are employed.

Back to: C10-2 2888 Applied Economics I
<< Previous Abstract | Next Abstract >>