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Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market

Author

Listed:
  • Aneta Wlodarczyk

    (Czêstochowa University of Technology)

  • Iwona Otola

    (Czêstochowa University of Technology)

Abstract

In this paper we investigate if the strength of firm-market volatility relationship has changed after subprime crisis on the Polish Capital Market. The empirical study concern the selected companies listed on the Warsaw Stock Exchange (WSE) from the construction and IT sectors in the 2004-2011 period. The volatility measures were computed on the basis of daily low and high prices for companies shares and WIG index. For each company ARFIMAX-FIGARCH model with additional exogenous variables, which represented market volatility, was estimated in the stable and the turbulent period. Conducted empirical studies have not shown that the negative shocks flowing from the American stock market through investors\' behavior channel contributed to the increase in the fraction of firms of the construction and IT sectors listed on the WSE whose volatility is shaped by market volatility.

Suggested Citation

  • Aneta Wlodarczyk & Iwona Otola, 2016. "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 87-116.
    • Handle: RePEc:cpn:umkdem:v:16:y:2016:p:87-116
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    References listed on IDEAS

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    More about this item

    Keywords

    ARFIMAX-FIGARCH; firm volatility; market volatility; subprime crisis; Warsaw Stock Exchange;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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