Badanie przyczynowości między cenami spot i futures na przykładzie kontraktów terminowych na indeks WIG20
Causality analysis between spot and futures prices on the example of index futures on WIG20

Summary/Abstract: The aim of the article is to examine the occurrence of Granger causality between futures and cash prices in the Polish capital market. For analysis the most liquid derivatives on the Stock Exchange in Warsaw, namely futures contracts on WIG20 index, were chosen. To further explore the dependencies studies were based on intraday data, as well as daily closing prices.

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