Tytuł:

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

Tytuł publikacji grupowej:

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

Autor:

Bieszk-Stolorz, Beata ; Markowicz, Iwona

Temat i słowa kluczowe:

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

Opis:

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

Wydawca:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Miejsce wydania:

Wrocław

Data wydania:

2017

Typ zasobu:

materiały konferencyjne

Format:

application/pdf

Identyfikator zasobu:

doi:10.15611/amse.2017.20.02

Język:

eng

Powiązania:

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

Prawa:

Wszystkie prawa zastrzeżone (Copyright)

Prawa dostępu:

Dla wszystkich w zakresie dozwolonego użytku

Lokalizacja oryginału:

Uniwersytet Ekonomiczny we Wrocławiu