Burzala Milda Maria
The Faculty of Economics, Stanisław Staszic University of Applied Sciences, Pila, Poland.
J Appl Stat. 2020 Dec 26;49(6):1574-1597. doi: 10.1080/02664763.2020.1864811. eCollection 2022.
The empirical research that is presented herein deals with the process of transferring negative impulses in capital markets during the subprime crisis (contagion, comovements, crisis transmission and shocks). A significant and positive contribution of the research conducted is the demonstration of how the wavelet analysis can be used in examining the various responses of the financial markets. The first stage of the research involved an analysis of the response of seven European markets (CAC40, DAX, FTSE100, IBEX, ATHEX, BUX and WIG20 indexes) to the proceedings in the US market, exemplified by the Dow Jones Industrial Average Index. The second stage involved examining the relationships of strong European markets (CAC40, DAX, FTSE100), and then the impact that the strongest German market DAX had on four other and weaker European markets - two from Western Europe (IBEX, ATHEX) and two from Central-Eastern Europe (BUX and WIG20). This article presents a methodological approach to transfer impulses on capital markets.
本文所展示的实证研究探讨了次贷危机期间资本市场负面冲击的传导过程（传染、共同变动、危机传导及冲击）。该研究的一项重大积极贡献在于展示了如何运用小波分析来考察金融市场的各种反应。研究的第一阶段分析了七个欧洲市场（CAC40、DAX、富时100指数、IBEX、雅典证交所指数、布达佩斯证券交易所指数和华沙证券交易所指数）对美国市场动态（以道琼斯工业平均指数为例）的反应。第二阶段考察了欧洲主要市场（CAC40、DAX、富时100指数）之间的关系，以及德国最强市场DAX对其他四个较弱欧洲市场的影响，其中两个来自西欧（IBEX、雅典证交所指数），两个来自中东欧（布达佩斯证券交易所指数和华沙证券交易所指数）。本文介绍了一种在资本市场上传递冲击的方法论。
