Podobieństwo i przyczynowość w sensie Grangera sektorów rynku giełdowego Polski i Hiszpanii w okresie pandemii COVID–19
DOI:
https://doi.org/10.18778/1508-2008.25.23Słowa kluczowe:
koronawirus, sektory gospodarki, zmienność finansowa, podobieństwoAbstrakt
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.
Pobrania
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Utwór dostępny jest na licencji Creative Commons Uznanie autorstwa – Użycie niekomercyjne – Bez utworów zależnych 4.0 Międzynarodowe.
