Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic

Dorota Żebrowska‑Suchodolska; Iwona Piekunko‑Mantiuk

doi:10.18778/1508-2008.25.23

Authors

Dorota Żebrowska‑Suchodolska Ph.D., Warsaw University of Life Sciences – SGGW, Warsaw, Poland https://orcid.org/0000-0003-1230-6413
Iwona Piekunko‑Mantiuk Ph.D., Bialystok University of Technology, Kleosin, Poland https://orcid.org/0000-0003-1973-0700

DOI:

https://doi.org/10.18778/1508-2008.25.23

Keywords:

coronavirus, economic sectors, financial volatility, similarity

Abstract

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.

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