dc.contributor.author | Osińska, Magdalena | |
dc.contributor.author | Fałdziński, Marcin | |
dc.contributor.author | Zdanowicz, Tomasz | |
dc.date.accessioned | 2015-07-02T09:33:14Z | |
dc.date.available | 2015-07-02T09:33:14Z | |
dc.date.issued | 2013 | |
dc.identifier.issn | 0208-6018 | |
dc.identifier.uri | http://hdl.handle.net/11089/10452 | |
dc.description.abstract | The problem of risk transferring is well known in empirical finance. Agents often try
to transmit their risk from one market to another when the limit values of their potential losses are
being approached or exceeded. When financial markets are completely segmented, risk cannot be
transmitted across markets, but on the other hand when markets are integrated and suffer from the
same shock, then risk is expected to transmit across markets. Chinese financial market was segmented
during Asian crisis 1997–1998 (Lardy (1998)), but during last financial crisis was more
vulnerable to risk spillover. The aim of the paper is to analyze the segmentation of the Chinesefinancial market. We took into account the process of transferring risk between major indices
of Shanghai Stock Exchange and sector indices (sub-indices) representing various segments of the
market. To check proposed hypotheses we applied Granger causality in risk concept. We applied
different risk measures to take into consideration different risk patterns (small, medium and high
risk generated locally and/or globally). | pl_PL |
dc.description.abstract | Rynek kapitałowy w Chinach przez wiele lat nie był włączony do globalnego rynku finansowego.
Dlatego tez cechowały go wyższe wartości średnie zwrotów i mniejsze ryzyko. Dopiero
kryzys finansowy z roku 2007–2009 spowodował większe zainteresowanie chińskim rynkiem
kapitałowym a w konsekwencji wzrost ryzyka. Celem artykułu jest analiza procesów zachodzących
wewnątrz rynku, ze szczególnym uwzględnieniem relacji między indeksami głównymi giełdy
w Szanghaju a subindeksami reprezentującymi różne segmenty rynku. Zastosowana metodologia
obejmuje: modele zmienności, analizę przyczynowości w ryzyku oraz teorie wartości ekstremalnych. | pl_PL |
dc.language.iso | en | pl_PL |
dc.publisher | Wydawnictwo Uniwersytetu Łódzkiego | pl_PL |
dc.relation.ispartofseries | Acta Universitatis Lodziensis, Folia Oeconomica;292 | |
dc.title | Econometric Evaluation of Risk at the Shanghai Stock Exchange | pl_PL |
dc.title.alternative | Ekonometryczna ocena ryzyka na giełdzie papierów wartościowych w Szanghaju | pl_PL |
dc.type | Article | pl_PL |
dc.page.number | [61]-76 | pl_PL |
dc.contributor.authorAffiliation | Nicolaus Copernicus University of Torun | pl_PL |
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