MODELE ANALIZY TRWANIA W OCENIE SEKTORÓW SPÓŁEK GIEŁDOWYCH
DURATION ANALYSIS MODELS TO THE ASSESSMENT OF SECTORS OF LISTED COMPANIES
Author(s): Beata Bieszk-Stolorz, Iwona MarkowiczSubject(s): Economy, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: Warsaw Stock Exchange; listed companies’ shares; bear market; WIG index; sectors; duration analysis;
Summary/Abstract: The aim of the article is to analyze 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. At the first stage the authors assess of the risk and intensity of the 2011 drop in shares prices in particular sectors. At the second stage the authors assess the chance of recovery by the end 2013. A logit model is used to assess the risk of share value decrease by 30% in each sector as well as the chance for those prices to grow by 40% from the minimum value (each company). The interpretation of the Cox regression model parameters make it possible to identify the sectors where the drop in share prices was the most intense and which companies most intensely made up for that loss.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVII/2016
- Issue No: 3
- Page Range: 7-17
- Page Count: 11
- Language: Polish
