Analiza czynników makroekonomicznych zmian cen akcji banków w Europie

• Autorzy: Patrycja Chodnicka-Jaworska , Katarzyna Niewińska

Warianty tytułu

Analysis of Factors Macroeconomic Changes in Stock Prices of Banks in Europe

• Języki publikacji: PL

Abstrakty

W artykule podjęto próbę zidentyfikowania determinant makroekonomicznych stóp zwrotu z akcji banków w Europie. Do badania przyjęto 182 banki notowane na giełdach w 24 krajach w Europie. Jako zmienną niezależną zastosowano kwartalne logarytmiczne stopy zwrotu w latach 2004-15. Ze względu na charakter danych wykorzystano statyczne modele panelowe, co pozwoliło przeanalizować wpływ zmiany: PKB, inflacji, ceny dóbr przemysłowych i stop procentowych (krótko- i długoterminowych) dla badanych krajów, a także wpływ zmienności implikowanej indeksu EURO STOXX 50 oraz współczynnika beta badanego banku. Analiza wykazała istotną zależność pomiędzy tymi zmiennymi. Model dopasowany jest w 12%, co sugeruje że zmienne makroekonomiczne nie są kluczowymi czynnikami mogącymi oddziaływać na rynek akcji banków.(abstrakt oryginalny)

EN

The paper attempts to identify the determinants of macroeconomic banking stock return in Europe. The study assumed 182 banks listed on stock exchanges in 24 countries in Europe. As an independent variable was adopted quarterly logarithmic stock returns in 2004-15. Due to the nature of the data used in the static panel models, allowing to analyse the impact of change: GDP, inflation (CPI), industrial production and interest rates (short- and long-term) of the country and implied volatility index EURO STOXX 50 and a beta value of the bank stock. The analysis showed a significant effect of these variables. R squard of the model is 12%, which suggests that macroeconomic variables are key factors that may affect the stock market.(original abstract)

Słowa kluczowe

PL

Bankowość; Ceny akcji; Stopa zwrotu akcji; Uwarunkowania makroekonomiczne; Zmienne makroekonomiczne

EN

Banking; Shares prices; Stock rate of returns; Macroeconomic conditions; Macroeconomic variables

• Czasopismo: Studia i Prace WNEiZ US
• Rocznik: 2016
• Numer: nr 46 T. 1. Gospodarka regionalna i międzynarodowa
• Strony: 247--258

Twórcy

autor

Patrycja Chodnicka-Jaworska

• Uniwersytet Warszawski

autor

Katarzyna Niewińska

• Uniwersytet Warszawski

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Identyfikatory

DOI

10.18276/sip.2016.46/1-19