BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Żebrowska-Suchodolska Dorota (Warsaw University of Life Sciences - SGGW, Poland), Piekunko-Mantiuk Iwona (Białystok University of Technology)
Tytuł
Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID-19 Pandemic
Podobieństwo i przyczynowość w sensie Grangera sektorów rynku giełdowego Polski i Hiszpanii w okresie pandemii COVID-19
Źródło
Comparative Economic Research, 2022, vol. 25, nr 3, s. 91-109, rys., tab., bibliogr. 46 poz.
Słowa kluczowe
COVID-19, Pandemia, Gospodarka, Przyczynowość w sensie Grangera, Rytmy giełdowe
COVID-19, Pandemic, Economy, Granger casuality, Stock exchange rhythm
Uwagi
Klasyfikacja JEL: C32, C38, G01, G14
summ., streszcz.
Kraj/Region
Polska, Hiszpania
Poland, Spain
Abstrakt
Rynki kapitałowe reagują prawie natychmiast na sytuacje kryzysowe. Zależności takie mogą mieć zarówno charakter międzynarodowy, jak i lokalny. Badania skupiają się na giełdach dwóch krajów: Hiszpanii i Polski. Kraje te są często porównywane do siebie pod względem różnych kryteriów gospodarczych i społecznych. Badania dotyczą okresu od 3 marca 2019 roku do 31 marca 2021 roku. Celem badań jest identyfikacja sektorów i indeksów podobnych do siebie na poziomie lokalnym oraz wskazanie wśród par indeksów podobnych tych, które stanowią impuls dla innego sektora. Do badań wykorzystano metodę hierarchiczną analizy skupień (metoda Warda) oraz test przyczynowości Grangera. W niniejszej pracy przedstawiono nowatorskie podejście do porównań sektorowych na poziomie lokalnym. (abstrakt oryginalny)

Capital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the period from March 3, 2019, to March 31, 2021. The aim is to identify sectors and indices similar to each other at the local level and to identify, among pairs of similar indices, those that provide a boost to another sector. The research uses the hierarchical cluster analysis method (Ward's method) and the Granger causality test. This work presents a novel approach to sectoral comparison at the local level. (original abstract)
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Adnan, A.T.M., Hasan, M.M. (2021), The emergence of COVID-19 and capital market reaction: An emerging market scenario analysis, "Asian Academy of Management Journal of Accounting and Finance", 17 (1), pp. 35-62, https://doi.org/10.21315/aamjaf2021.17.1.2
  2. Aharon, D.Y., Siev, S. (2021), COVID-19, government interventions and emerging capital markets performance, "Research in International Business and Finance", 58, 101492, https://doi.org/10.1016/j.ribaf.2021.101492
  3. Akhtaruzzaman, M., Boubaker, S., Sensoy, A. (2021), Financial contagion during COVID-19 crisis, "Finance Research Letters", 38, 101604, https://doi.org/10.1016/j.frl.2020.101604
  4. Albulescu, C.T. (2021), COVID-19 and the United States financial markets' volatility, "Finance Research Letters", 38, 101699, https://doi.org/10.1016/j.frl.2020.101699
  5. Ali, M., Alam, N., Rizvi, S.A.R. (2020), Coronavirus (COVID-19) - An epidemic or pandemic for financial markets, "Journal of Behavioral and Experimental Finance", 27, 100341, https://doi.org/10.1016/j.jbef.2020.100341
  6. Ashraf, B.N. (2020), Stock markets' reaction to COVID-19: Cases or fatalities?, "Research in International Business and Finance", 54, 101249, https://doi.org/10.1016/j.ribaf.2020.101249
  7. Baek, S., Mohanty, S.K., Glambosky, M. (2020), COVID-19 and stock market volatility: An industry level analysis, "Finance Research Letters", 37, 101748, https://doi.org/10.1016/j.frl.2020.101748
  8. Baker, S.R., Bloom, N., Davis, S.J., Kost, K., Sammon, M., Viratyosin, T. (2020), The Unprecedented Stock Market Reaction to COVID-19, "The Review of Asset Pricing Studies", 10 (4), pp. 742-758, https://doi.org/10.1093/rapstu/raaa008
  9. Dickey, D.A., Fuller, W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, "Journal of the American Statistical Association", 74 (366a), pp. 427-431, https://doi.org/10.1080/01621459.1979.10482531
  10. Dickey, D.A., Fuller, W.A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, "Econometrica: Journal of the Econometric Society", 49 (4), pp. 1057-1072, https://doi.org/10.2307/1912517
  11. ElFayoumi, K., Hengge, M. (2021), Capital Markets, COVID-19 and Policy Measures, "IMF Working Paper", No. 2021 (033), https://doi.org/10.2139/ssrn.3799625
  12. Gębka, B., Serwa, D. (2007), Intra- and inter-regional spillovers between emerging capital markets around the world, "Research in International Business and Finance", 21 (2), pp. 203-221, https://doi.org/10.1016/j.ribaf.2006.03.005
  13. Granger, C.W.J. (1981), Some properties of time series data and their use in econometric model specification, "Journal of Econometrics", 16 (1), pp. 121-130, https://doi.org/10.1016/0304-4076(81)90079-8
  14. GUS (2020a), Wstępny szacunek produktu krajowego brutto w drugim kwartale 2020 r., Warszawa, https://stat.gov.pl/obszary-tematyczne/rachunki-narodowe/kwartalne-rachunki-narodowe/wstepny-szacunek-produktu-krajowego-brutto-w-d rugim-kwartale-2020-r-,3,72.html (accessed: 30.06.2021).
  15. GUS (2020b), Bezrobocie rejestrowane. II kwartał 2020 r., Warszawa, https://stat.gov.pl/obszary-tematyczne/rynek-pracy/bezrobocie-rejestrowane/bezrobocie-rejestrowane-ii-kwartal-2020-roku,3,41.html (accessed: 30.06.2021).
  16. Hanif, W., Mensi, W., Vo, X.V. (2021), Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors, "Finance Research Letters", 40, 101922, https://doi.org/10.1016/j.frl.2021.101922
  17. Harjoto, M.A., Rossi, F., Lee, R., Sergi, B.S. (2020), How do equity markets react to COVID-19? Evidence from emerging and developed countries, "Journal of Economics and Business", 105966, https://doi.org/10.1016/j.jeconbus.20 20.105966
  18. Henríquez, J., Gonzalo-Almorox, E., García-Goñi, M., Paolucci, F. (2020), The first months of the COVID-19 pandemic in Spain, "Health Policy and Technology", 9 (4), pp. 560-574, https://doi.org/10.1016/j.hlpt.2020.08.013
  19. Heyden, K.J., Heyden, T. (2021), Market reactions to the arrival and containment of COVID-19: An event study, "Finance Research Letters", 38, 101745, https://doi.org/10.1016/j.frl.2020.101745
  20. Kizys, R., Tzouvanas, P., Donadelli, M. (2021), From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions, "International Review of Financial Analysis", 74, 101663, https://doi.org/10.1016/j.irfa.2021.101663
  21. Laborda, R., Olmo, J. (2021), Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic, "Research in International Business and Finance", 57, 101402, https://doi.org/10.1016/j.ribaf.2021.101402
  22. Liu, H., Manzoor, A., Wang, C., Zhang, L., Manzoor, Z. (2020), The COVID-19 Outbreak and Affected Countries Stock Markets Response, "International Journal Environmental Research Public Health", 17 (8), 2800, https://doi.org/10.3390/ijerph17082800
  23. Liu, Z., Zhang, T., Zhang, G. (2020), Heterogeneous Stock Market Reactions to COVID-19: More Hidden Mechanisms, https://doi.org/10.2139/ssrn.3697622
  24. Mazur, M., Dang, M., Vega, M. (2021), COVID-19 and the march 2020 stock market crash. Evidence from S&P1500, "Finance Research Letters", 38, 101690, https://doi.org/10.1016/j.frl.2020.101690
  25. MSCI (n.d.), https://www.msci.com/end-of-day-data-country (accessed: 31.06.2021).
  26. MSCI Indexes (n.d.), https://app2.msci.com/products/indexes/performance?&size=30&-scope=C&style=C¤cy=1 5&priceLevel=0&indexId=95 (accessed: 31.06.2021).
  27. Narayan, P.K., Sharma, S.S. (2011), New evidence on oil price and firm returns, "Journal of Banking & Finance", 35 (12), pp. 3253-3262, https://doi.org/10.1016/j.jbankfin.2011.05.010
  28. Narayan, P.K., Gong, Q., Ali Ahmed, H.J. (2021), Is there a pattern in how COVID-19 has affected Australia's stock returns?, "Applied Economics Letters", 29 (3),pp. 179-182, https://doi.org/10.1080/13504851.2020.1861190
  29. Nguyen, K. (2020), A coronavirus outbreak and sector stock returns: the tale from the first ten weeks of year 2020, https://doi.org/10.2139/ssrn.3559907
  30. Onali, E. (2020), COVID-19 and Stock Market Volatility, https://doi.org/10.2139/ssrn.3571453
  31. Pera, J. (2019), The Effectiveness of Investing in Stock Exchange Markets in Central and Eastern European Countries with Regard to NYSE2-LSE-HKSE2. A Comparative Risk Analysis, "Comparative Economic Research. Central and Eastern Europe", 22 (2), pp. 121-140, https://doi.org/10.2478/cer-2019-0016
  32. Phan, D.H., Narayan, P.K. (2020), Country Responses and the Reaction of the Stock Market to COVID-19 - a Preliminary Exposition, "Emerging Markets Finance and Trade", 56 (10), pp. 2138-2150, https://doi.org/10.1080/15404 96X.2020.1784719
  33. Pražák, T., Stavárek, D. (2017), The relationship between stock market development and macroeconomic fundamentals in the Visegrad group, "Comparative Economic Research. Central and Eastern Europe", 20 (3), pp. 5-23, https://doi.org /10.1515/cer-2017-0017
  34. Ramelli, S., Wagner, A.F. (2020), Feverish Stock Price Reactions to COVID-19, "Review of Corporate Finance Studies", 9 (3), pp. 622-655, https://doi.org/10.1093/rcfs/cfaa012
  35. Shen, H., Fu, M., Pan, H., Yu, Z., Chen, Y. (2020), The Impact of the COVID-19 Pandemic on Firm Performance, "Emerging Markets Finance and Trade", 56 (10), pp. 2213-2230, https://doi.org/10.1080/1540496X.2020.1785863
  36. Souza de Souza, P.V., Augusto, C. (2020), Effects of COVID-19 Pandemic on International Capital Markets, "International Journal of Economics and Financial", 10 (6), pp. 163-171, https://doi.org/10.32479/ijefi.10702
  37. Syllignakis, M.N., Kouretas, G.P. (2011), Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets, "International Review of Economics & Finance", 20 (4), pp. 717-732, https://doi.org/10.1016/j.iref.2011.01.006
  38. Šimáková, J., Rusková, N. (2019), The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries, "Comparative Economic Research. Central and Eastern Europe", 22 (3), pp. 117-129, https://doi.org/10.2478/cer-2019-0026
  39. Wagner, A.F. (2020), What the stock market tells us about the post-COVID-19 world, "Nature Human Behaviour", 4 (5), 440, https://doi.org/10.1038/s41562-020-0869-y
  40. Ward, J.H. (1963), Hierarchical grouping to optimize an objective function, "Journal of American Statistical Association", 58 (301), pp. 236-244, https://doi.org/10.1080/01621459.1963.10500845
  41. World Federation of Exchanges (2021), 2020 Annual Statistics Guide, https://www.world-exchanges.org/our-work/articles/2020-annual-statistics-guide (accessed: 30.06.2021).
  42. World Health Organization (2020), Coronavirus disease 2019 (COVID-19): situation report, 51, https://apps.who.int /iris/handle/10665/331475 (accessed: 30.06.2021).
  43. World Health Organization (n.d.), WHO Coronavirus (COVID-19) Dashboard, https://covid19.who.int/table (accessed: 15.08.2021).
  44. Zaremba, A., Kizys, R., Aharon, D.Y., Demir, E. (2020), Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe, "Finance Research Letters", 35, 101597, https://doi.org/10.1016/j.frl.2020.101597
  45. Zhang, D., Hu, M., Ji, Q. (2020), Financial markets under the global pandemic of COVID-19, "Finance Research Letters", 36, 101528, https://doi.org/10.1016/j.frl.2020.101528
  46. Żebrowska-Suchodolska, D., Karpio, A., Kompa, K., (2021), Covid-19 Pandemic: Stock Markets Situation in European Ex-Communist Countries, "European Research Studies Journal", XXIV (3), pp. 1106-1128, https://doi.org/10.35808/ersj/2408
Cytowane przez
Pokaż
ISSN
1508-2008
Język
eng
URI / DOI
http://dx.doi.org/10.18778/1508-2008.25.23
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu