ORCID
Rafał Zbyrowski 0000-0001-8499-8899
Abstract
The aim of the article is to try to explain the long-term price volatility of KGHM shares. Therefore the paper presents the relationship between KGHM stock prices and High Grade copper prices. The empirical part of the paper uses econometric cointegration analysis. Based on the estimated models, the thesis of the existence of a long-run relationship between the studied variables was confi rmed. Within the framework of econometric analyses, Johansen and Engle- Granger procedures and the Granger test of causality were applied. The study was conducted using monthly data covering quotes from August 2012 to April 2021. In the end, both modeling procedures used led the researcher to convergent conclusions. Moreover very similar values of long-run equilibrium parameter estimates were obtained for both methods. Thus, on the basis, it is necessary to confi rm the main hypothesis formulated at the beginning of the study, that is, in the case of a company operating within the KGHM Polska Miedź mining industry, the quotation of its shares is long-term dependent on the quotation of HG copper prices.
Recommended Citation
Zbyrowski, Rafał
(2024)
"Long-term relationship of KGHM share prices and the market value of high grade copper,"
Journal of Banking and Financial Economics: Vol. 2023:
No.
20, Article 3.
DOI: 10.7172/2353-6845.jbfe.2023.2.3
Available at:
https://press.wz.uw.edu.pl/jbfe/vol2023/iss20/3
First Page
51
Last Page
62
Page Count
12
Received Date
15.03.2023
Revised Date
16.05.2023
Accept Date
08.09.2023
Online Available Date
28.12.2023
DOI
10.7172/2353-6845.jbfe.2023.2.3
JEL Code
G17, C01, C5, G1
Publisher
University of Warsaw