Application of the Divisia Index with Interconnected Factors in the Warsaw Stock Exchange Index (WIG) Fluctuation Analysis

• Autorzy: Jacek Białek , Radosław Pietrzyk

Warianty tytułu

Zastosowanie indeksu Divisia z powiązanymi czynnikami do analizy fluktuacji indeksu WIG

• Języki publikacji: EN

Abstrakty

EN

This paper presents a method of economic factorial analysis based on the Divisia index extended to interconnected factors. We verify the applicability of the presented method to financial market research by examining fluctuations of the Warsaw Stock Exchange WIG Index (WIG). We consider four main factors of WIG changes: the GDP growth, the PLN/EUR rate, the SP500 and the unemployment rate. Due to computational reasons we apply the transformation that produces variables in the bigger the better form. We use quarterly data from the time interval between 2003 and 2014 divided into periods of bull and bear market. All considered variables are assumed to change linearly between quarters. The main conclusion is that during market prosperity, GDP and SP500 changes exhibit the strongest influence on WIG changes. (original abstract)

W artykule zaprezentowano metodę analizy ekonomicznej opartej na indeksie Divisia z powiązanymi czynnikami. Zweryfikowano możliwości aplikacyjne wymienionej metody do badania zmienności indeksu WIG. W analizie uwzględniono cztery główne zmienne wpływające na indeks warszawski: GDP, kurs PLN/EUR, indeks SP500 oraz stopę bezrobocia, przy czym dokonano (w razie konieczności) transformacji zmiennych na stymulanty. Analizą objęto lata 2003-2014 i uwzględniono dane kwartalne, przy czym interwał czasowy podzielono na podokresy związane z hossą i bessą na giełdzie warszawskiej. Przyjęto również model czasu ciągłego z założeniem, że między kwartałami wartości zmiennych zmieniają się liniowo. Głównym wnioskiem z przeprowadzonego badania jest wyodrębnienie najbardziej wpływowych zmiennych objaśniających w postaci GDP i indeksu SP500. (abstrakt oryginalny)

Słowa kluczowe

EN

Factor analysis; Warsaw Stock Exchange Index; Coefficient of variation

PL

Analiza czynnikowa; Warszawski Indeks Giełdowy (WIG); Współczynniki zmienności

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2017
• Numer: vol. 4, t. 330
• Strony: 129--142

Twórcy

autor

Jacek Białek

• University of Lodz

autor

Radosław Pietrzyk

• Wrocław University of Economics

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Identyfikatory

DOI

10.18778/0208-6018.330.09