The analysis of a company reaction to the market risk

Tomasz Stryjewski ()
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Tomasz Stryjewski: University of Computer Sciences and Economics in Olsztyn

Acta Universitatis Nicolai Copernici, Ekonomia, 2012, vol. 43, issue 2, 199-210

Abstract: Market risk is an inseparable phenomenon in running a business. Along with the risk growth, some of the companies react rationally by trying to reduce its influence on their activity (defensive action). The others can see a chance for market share growth as well as for profitability raising in turbulence moments (aggressive action). Then they can realize some additional bonus which results from the activities on difficult market. In this article there is an attempt to analyze the reaction of an enterprise to market risk changes by using a GARCH-M model.

Keywords: risk analysis; GARCH-M model; company (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2012:p:199-210

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