Granger Causality in Risk Analysis whithin Selected Warsaw Stock Exchange Sectors
DOI:
https://doi.org/10.18559/v7tjzb75Keywords:
Macroeconomics, Causality, Stock market companies, Risk, Granger casualityAbstract
Th is paper presents the results of a study in causal relationships, in the sense of Granger causality-in-risk, among stocks from various Warsaw Stock Exchange sectors. In order to identify the causal relationships the testing procedure introduced by Hong, Liu and Wang [2009] was used. Th e test results in most cases indicate the existence of causality in risk regarding the instruments examined.
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References
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