Abstract:

The purpose of the paper is to investigate the linkages between the Warsaw Stock Exchange Index (WIG) and selected stock indices, such as BUX, DAX, FTSE100, S&P500, HSI and NIKKEI in the period 2009 2016. There are many studies examining different aspects of the interdependencies between the WIG and selected indices but usually they use only two out of four following methods: causality in mean, causality in volatility, nonlinear relationships, tail dependencies. In this study, we apply all four methods to detect these linkages taking into account many aspects of potential interdependencies. We show that causal relationships between stock markets observed in earlier studies have incompletely be confirmed and have not
been stable in all cases.