Title:

The Assessment of the Situation of Listed Companies in Macrosectors in a Bear Market – Duration Analysis Models

Group publication title:

20-th AMSE. Applications of Mathematics and Statistics in Economics. International Scientific Conference: Szklarska Poręba, 30 August- 3 September 2017. Conference Proceedings Full Text Papers

Creator:

Bieszk-Stolorz, Beata ; Markowicz, Iwona

Subject and Keywords:

Warsaw Stock Exchange ; listed companies’ shares ; bears market ; macrosectors ; duration analysis

Description:

20-th AMSE. Applications of Mathematics and Statistics in Economics. International Scientific Conference: Szklarska Poręba, 30 August- 3 September 2017. Conference Proceedings Full Text Papers, s. 17-26

Abstrakt:

The aim of the article is the use methods of duration analysis to assess the fluctuations in the prices of shares of companies listed on the Stock Exchange in Warsaw during the bear market in 2011 and over the next two years. The specific objectives of this study are as follows: the assessment of risk and intensity of the drop in stock prices in individual macrosectors in 2011, the assessment of the odds and intensity of recovery by the end of 2013, the similarity analysis of the duration function for stock market macrosectors in the times of bear market and of recovery, comparison of the situation in the stock market macrosectors in the observed period of the bear market and during the financial crisis of 2008-2009. The analysis is conducted by means of the logit model, Kaplan-Meier estimator, Cox regression model. The hypotheses have been set that the 2011 downturn strongly affected the financials macrosector, the price fluctuations in the macrosectors during the analysed bear market and crisis were similar. The study is based on the data of 378 companies (listed in the whole period under analysis) that are grouped in 3 macrosectors: industry, finance, services

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

materiały konferencyjne

Format:

application/pdf

Resource Identifier:

doi:10.15611/amse.2017.20.02

Language:

eng

Relation:

20-th AMSE. Applications of Mathematics and Statistics in Economics. International Scientific Conference: Szklarska Poręba, 30 August- 3 September 2017. Conference Proceedings Full Text Papers

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu