In this paper we investigate if the strength of firm-market volatility relationship has changed after subprime crisis on the Polish Capital Market. The empirical study concern the selected companies listed on the Warsaw Stock Exchange (WSE) from the construction and IT sectors in the 2004–2011 period. The volatility measures were computed on the basis of daily low and high prices for companies shares and WIG index. For each company ARFIMAX-FIGARCH model with additional exogenous variables, which represented market volatility, was estimated in the stable and the turbulent period. Conducted empirical studies have not shown that the negative shocks flowing from the American stock market through investors' behavior channel contributed to the increase in the fraction of firms of the construction and IT sectors listed on the WSE whose volatility is shaped by market volatility.