Does simultaneous investing on different stock markets allow to diversify risk? The cointegration analysis with main focus on Warsaw Stock Exchange

This paper aims at examining the bilateral linkage between dailystock market indices, in which the leading index of WSE (WIG20) is thereference. Thus, the study is limited to pairs including WIG20 and indiceswhich are listed on the financial centers of WSE’s main foreign investors.The relationship between the markets is investigated throughout thecointegration theory. Further, the Granger causality is carried out in order todistinguish the directions of influence across the stock market environments.The obtained results shall explain the investor’s tendencies in portfoliodiversification