In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...

In the paper we analyze determinants of the capital market beta risk in Poland on a monthly basis over the 1996-2002 period. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market...