The use of cross-spectral analysis to study changes in the value of stock market indices
Journal Title: Problems of Economics and Law - Year 2018, Vol 1, Issue 1
Abstract
Aim of the study: The aim of the article was to examine the relationships between the main Polish index, the WIG index and selected global indices, which was intended to depict the pace and direction of the impact of changes on global financial markets. Materials and methods: The study was conducted using a cross-spectral analysis tool, which was to determine the direction of existing relationships. Five time series were created to perform the analysis, which correspond to individual indices. They contain the results of changes in the value of individual indices for stock exchange days from July 1, 2011 to June 1, 2017. Results: In the case of longer fluctuations, i.e. around 15 days, which were observed in the relation between the WIG index, and SnP500 and RTS, one can also indicate a clear delay in movements in the fluctuation of the Polish index value of around 10-12 days. In addition, numerous time dependencies between indices have been demonstrated, especially for the aver-age period defined in the work. Conclusions: The WIG index is characterized by a slower rate of absorption of short-term in-formation, as indicated by the results of delays occurring in the analyzed period. This effect indicates the unstable role of the financial market in Poland. The strongest reactions of the WIG index were observed in relation to changes in the value of the American SnP500 index and the German DAX index.<br/><br/>
Authors and Affiliations
Mateusz Mierzejewski
Keywords
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