Zmiana ryzyka systematycznego na polskim rynku jako skutek globalnego kryzysu finansowego. Analiza największych krajowych spółek
Change in systematic risk on the Polish market as a result of the global financial crisis. Analysis of the biggest Polish companies

Summary/Abstract: Last financial crisis ended the three-decade period of cheap and easy capital. The increase in risk aversion and following decrease in international capital flows resulted in the reversal of integration processes of capital markets. It is especially visible in the EU markets. This paper investigates the hypothesis that the fall in stock prices was a result of the repricing of systematic risk due to reversal in financial markets integration processes caused by global financial crisis. I found that firm-level stock price changes are positively related to the difference between firm’s local and world market betas as well as covariances. I found also that beta coefficients were much more significant than covariances. This confirmed examined hypothesis.

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