Are Major Currencies Hedges or Safe Havens for Polish Stocks and Bonds?

Paweł Miłobędzki ()
Additional contact information
Paweł Miłobędzki: University of Gdańsk

A chapter in Contemporary Trends and Challenges in Finance, 2017, pp 45-55 from Springer

Abstract: Abstract I follow Baur and Lucey (Financ Rev 45:217–229, 2010) to examine whether the euro, the US dollar, the pound sterling, the Swiss franc and the Japanese yen are hedges or safe havens for Polish stocks and bonds. In doing so I use the daily sampled data on the major currencies exchange rates into the Polish zloty, the Warsaw Stock Exchange index WIG and the 10 year Polish government bonds covering the period 29 Nov 2005–31 Dec 2015. The analysis shows that all currencies are strong hedges for stocks and diversifiers for bonds in normal market conditions. When the markets extremely fall they serve as safe havens for stocks and either as diversifiers or weak hedges for bonds.

Keywords: Exchange Rate; Bond Market; Bond Price; Sovereign Debt; Safe Haven (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-54885-2_5

Ordering information: This item can be ordered from
http://www.springer.com/9783319548852

DOI: 10.1007/978-3-319-54885-2_5

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().