IDEAS home Printed from https://ideas.repec.org/a/sgm/jbfeuw/v2y2023i20p51-62.html

Long-term relationship of KGHM share prices and the market value of high grade copper

Author

Listed:
  • Rafal Zbyrowski

    (University of Warsaw, Poland)

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 MiedŸ mining industry, the quotation of its shares is long-term dependent on the quotation of HG copper prices.

Suggested Citation

  • Rafal Zbyrowski, 2023. "Long-term relationship of KGHM share prices and the market value of high grade copper," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(20), pages 51-62.
    • Handle: RePEc:sgm:jbfeuw:v:2:y:2023:i:20:p:51-62
    DOI: 10.7172/2353-6845.jbfe.2023.2.3
    as

    Download full text from publisher

    File URL: https://press.wz.uw.edu.pl/jbfe/vol2023/iss20/3/
    Download Restriction: no
    File URL: https://libkey.io/10.7172/2353-6845.jbfe.2023.2.3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sgm:jbfeuw:v:2:y:2023:i:20:p:51-62. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/somuwpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.