Are major currencies hedges or safe havens for Polish stocks and bonds?

Paweł Miłobędzki

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.
Author Paweł Miłobędzki KE
Paweł Miłobędzki,,
- Department of Econometrics
Pages45-55
Publication size in sheets0.5
Book Jajuga Krzysztof, Orlowski Lucjan T., Staehr Karsten (eds.): Contemporary trends and challenges in finance : proceedings from the 2nd Wroclaw International Conference in Finance, Springer Proceedings in Business and Economics, 2017, Springer, ISBN 978-3-319-54884-5, [978-3-319-54885-2], 333 p., DOI:10.1007/978-3-319-54885-2
DOIDOI:10.1007/978-3-319-54885-2_5
URL https://link.springer.com/content/pdf/10.1007%2F978-3-319-54885-2_5.pdf
Languageen angielski
Score (nominal)15
ScoreMinisterial score = 15.0, 25-02-2018, BookChapterSeriesAndMatConfByIndicator
Ministerial score (2013-2016) = 15.0, 25-02-2018, BookChapterSeriesAndMatConfByIndicator
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