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Bieszk-Stolorz Beata (Uniwersytet Szczeciński), Markowicz Iwona (Uniwersytet Szczeciński)
Application of Models of Survival Analysis in the Assessment of the Situation of Macrosectors of Listed Companies
Optimum : Economic Studies, 2018, nr 1(91), s. 3-15, rys., tab., bibliogr. s. 14-15
Spółki giełdowe, Analiza przeżycia, Rynek kapitałowy
Stock market companies, Survival analysis, Capital market
JEL Classification: C10, C14, C41, G01
Goal - The goal of the article is the assessment of the possibilities of recovery after decrease of prices of shares of companies listed on the Warsaw Stock Exchange in the years 2008-2009 and 20112013 in particular macrosectors: industrials, financials and services. The probability and intensity of increase and decrease of prices were analysed. Research methodology - Selected methods of survival analysis were applied. The Kaplan-Meier estimator was used in the analysis of the probability of increase and decrease of prices of shares in the macrosectors. The intensity of decrease and increase of prices was assessed by means of the empirical hazard model and the proportional Cox model. Threshold values of the increase and decrease of prices were calculated on the basis of changes of the WIG index in analysed periods. Comparative analysis of these two periods was also conducted. Score - The hypothesis about a similar situation of macrosectors during the financial crisis and in the bear market was confirmed. In case of the financials macrosector, its reaction to the market situation was the strongest in both the decrease and increase of share prices. The companies of the industrials macrosector were in better situation than the financial companies. The service companies reacted weakly on the market changes. Originality /value - The application of the survival analysis methods in the study of the capital market. (original abstract)
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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