IDEAS home Printed from https://ideas.repec.org/a/ovi/oviste/vxxivy2024i2p489-498.html
   My bibliography  Save this article

Interdependencies between Exchange Rate Volatility and Stock Market Sectors: A Case Study of Poland

Author

Listed:
  • Viorica Chirila

    (“Alexandru Ioan Cuza” University from Iasi, Faculty of Economics and Business Administration, Romania)

  • Ciprian Chirila

    (“Alexandru Ioan Cuza” University from Iasi, Faculty of Economics and Business Administration, Romania)

Abstract

This study analyzes the transmission of foreign exchange market volatility from the stock market sectors and vice versa, in the case of Poland. The methodology used, spillovers indices, offers the possibility of studying volatility spillovers in different market conditions: bear and bull market. The research considers the system determined by the EUR/PLN exchange rate, stock indices of the sectors and WIG 20, which expresses the overall trend of the evolution of the Polish stock market. The results obtained confirm the spillovers effect and also the variation of volatility spillovers over time and significant differences in spillovers in different market conditions. In normal market conditions, the transmission of volatility is lower compared to the situation where the market is faced with new unexpected positive information but also with new unexpected negative information. The results obtained are important for international investors in diversifying portfolios and for hedging investments.

Suggested Citation

  • Viorica Chirila & Ciprian Chirila, 2024. "Interdependencies between Exchange Rate Volatility and Stock Market Sectors: A Case Study of Poland," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 489-498, December.
    • Handle: RePEc:ovi:oviste:v:xxiv:y:2024:i:2:p:489-498
    as

    Download full text from publisher

    File URL: https://stec.univ-ovidius.ro/html/anale/RO/2024i2/Section%205/3.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    stock markets sectors; risk; spillovers volatility; QVAR; spillover index;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ovi:oviste:v:xxiv:y:2024:i:2:p:489-498. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gheorghiu Gabriela (email available below). General contact details of provider: https://edirc.repec.org/data/feoviro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.