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dc.contributor.authorOsińska, Magdalena
dc.contributor.authorFałdziński, Marcin
dc.contributor.authorZdanowicz, Tomasz
dc.date.accessioned2015-07-02T09:33:14Z
dc.date.available2015-07-02T09:33:14Z
dc.date.issued2013
dc.identifier.issn0208-6018
dc.identifier.urihttp://hdl.handle.net/11089/10452
dc.description.abstractThe 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.abstractRynek 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.isoenpl_PL
dc.publisherWydawnictwo Uniwersytetu Łódzkiegopl_PL
dc.relation.ispartofseriesActa Universitatis Lodziensis, Folia Oeconomica;292
dc.titleEconometric Evaluation of Risk at the Shanghai Stock Exchangepl_PL
dc.title.alternativeEkonometryczna ocena ryzyka na giełdzie papierów wartościowych w Szanghajupl_PL
dc.typeArticlepl_PL
dc.page.number[61]-76pl_PL
dc.contributor.authorAffiliationNicolaus Copernicus University of Torunpl_PL
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