Object

Title: Ryzyko bazy w transakcjach terminowych na rynku kapitałowym

Title in english:

Basis Risk in Forward Transactions on Capital Market

Creator:

Pyka, Irena ; Krawczyk, Liwiusz

Description:

Prace Naukowe Akademii Ekonomicznej we Wrocławiu; 2007; nr 1152, s. 440-454

Abstrakt:

Dynamic development of financial instruments for investors, accompanying the processes of globalization and internationalization of market transactions, is significantly correlated with the increase of the investment risk range. That comprises various individual kinds of risk, including the basis risk constituting the very subject of the paper. It is a specific, investment related risk, since it applies to the options market exclusively. In the paper, the basis risk has been assessed with regard to the example of index futures contracts of GPW S.A. in Warsaw. The basis risk in highly developed markets is lower than in the emerging ones, due to various factors the analysis and assessment of which constitute crucial aspects of the paper purpose accomplishment. The theoretical section is focused on the introduction of basis risk definitions and the notions of strengthening and weakening of the basis, as well as description of the factors determining the risk. The practical section of the paper presents the basis risk in GPW Warsaw in the perspective of futures contracts, with regard to WIG20

Publisher:

Wydawnictwo Akademii Ekonomicznej im. Oskara Langego we Wrocławiu

Place of publication:

Wrocław

Date:

2007

Resource Type:

artykuł

Resource Identifier:

oai:dbc.wroc.pl:138113

Language:

pol

Relation:

Prace Naukowe Akademii Ekonomicznej im. Oskara Langego we Wrocławiu; 2007; nr 1152 ; Zarządzanie finansami firm - teoria i praktyka

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Coverage:

Projekt dofinansowany ze środków budżetu państwa, przyznanych przez Ministra Nauki w ramach Programu Społeczna odpowiedzialność nauki II. Tytuł projektu: Nauka dla Społeczeństwa: Prace Naukowe AEW w otwartym dostępie (2005-2008)

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