Indeks stresu na rynku zbywalnych instrumentów finansowych w Polsce

• Autorzy: Igor Kravchuk

Warianty tytułu

Stress Index in the Negotiable Financial Instruments Market in Poland

• Języki publikacji: PL

Abstrakty

Celem badania jest weryfikacja zakłóceń na rynku zbywalnych instrumentów finansowych w Polsce na podstawie szacunków kompozytowego indeksu stresu, który obejmuje wskaźniki dotyczące rynku akcji (zmienność, płynność, CMAX na podstawie indeksu giełdowego WIG), rynku obligacji (zmienność rentowności 10-letnich obligacji skarbowych, ich płynność, spread suwerenny oraz krzywej rentowności) i rynku derywatów (zmiana liczby otwartych pozycji oraz wolumenu na rynku kontraktów terminowych i opcji). Przeprowadzona analiza wartości indeksu w latach 2007-2015 potwierdza skuteczność indeksu stresu (FIMSI) w rozpoznaniu zakłóceń na rynku (kiedy wartość indeksu przekracza trend długoterminowy więcej niż o jedno odchylenie standardowe). (abstrakt oryginalny)

EN

The aim of the study is to verify the turbulence in the negotiable financial instruments market in Poland, by evaluating the composite stress index, which includes indicators concerning the stock market (volatility, liquidity, CMAX based on stock index WIG), the bond market (volatility of 10-year Treasury bonds, their liquidity, the sovereign spread and the yield curve spread) and the derivatives market (the change in the number of open positions and volume in the futures and options market). The analysis of index values for the years 2007-2015 confirms the robustness of the stress index (FIMSI) in the diagnosis of stresses in the market (when the index value exceeds the long-term trend by more than 1 standard deviation). (original abstract)

Słowa kluczowe

PL

Stabilność finansowa; Płynność rynku; Model GARCH; Rynek akcji; Rynek papierów wartościowych; Papiery dłużne; Rynek instrumentów pochodnych; Warszawski Indeks Giełdowy (WIG)

EN

Financial sustainability; Market liquidity; GARCH model; Equity market; Securities market; Debt securities; Derivatives market; Warsaw Stock Exchange Index

• Czasopismo: Problemy Zarządzania
• Rocznik: 2017
• Numer: vol. 15, nr 1 (66), cz. 2 Zarządzanie ryzykiem instytucji finansowych
• Strony: 193--206

Twórcy

autor

Igor Kravchuk

• Tarnopolski Narodowy Uniwersytet Ekonomiczny; Uniwersytet Warszawski, staż habilitacyjny

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Identyfikatory

DOI

10.7172/1644-9584.66.12