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Wyświetlanie 1-2 z 2
Tytuł:
Spillovers between European markets
Autorzy:
Choczyńska, Agnieszka
Powiązania:
https://bibliotekanauki.pl/articles/24201275.pdf
Data publikacji:
2022
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
spillovers
European markets
financial crisis
financial integration
Opis:
Financial integration has been proven to benefit European economies. However, it may obstruct diversification attempts, and so attracts the attention of investors and researchers. The aim of this paper is to analyze changes in spillovers between European markets, the European Index, and the World Index, over a period of two decades (2000–2021), with regard to the level of development. Mature markets have higher spillovers than emerging and frontier ones. The main finding is that non-developed markets’ spillover levels in tranquil periods did not substantially increase in the last two decades, despite ongoing integration with developed European markets. However, spillover rises in time of global or regional crisis (e.g. Great Financial Crisis, Eurozone Debt Crisis, COVID-19 pandemic) for all markets, regardless of economic development, which can undermine diversification attempts just when they are most needed. Afterwards, the transmission of shocks falls back to the pre-crisis level, with the exception of the spillover between Eurozone markets and European Index, which remained very high even after the end of the particular crisis.
Źródło:
Managerial Economics; 2022, 23, 2; 111--130
1898-1143
Pojawia się w:
Managerial Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The effect of financial, macroeconomic and sentimental factors on stock market volatility
Autorzy:
Czapkiewicz, Anna
Choczyńska, Agnieszka
Powiązania:
https://bibliotekanauki.pl/articles/1047382.pdf
Data publikacji:
2021-05-31
Wydawca:
Główny Urząd Statystyczny
Tematy:
regime shift
equity volatility
macroeconomic factors
sentimental factors
financial markets
TVPMS model
Opis:
The aim of this paper is to find economic factors that could be helpful in explaining the market's shifts between periods of prosperity and crisis. The study took into account the main stock indices from developed markets of the USA, Germany and Great Britain, and from two emerging markets, i.e. Poland and Turkey. The analysis confirms the existence of two different states of volatility in these markets, namely the state with a positive returns' mean and low volatility, and the state with a negative or insignificant mean and high volatility. The Markov-switching model with a dynamic probability matrix was applied in the study. The subject of the analysis was the impact of domestic and global factors, such as VIX and TED spread, oil prices, sentiment indices (ZEW), and macroeconomic indices (unemployment, longterm interest rate, CPI), on the probability of switching between the states. The authors concluded that in all the examined countries, changes in long-term interest rates have an influence on market returns. However, the direction of this impact is different for developed and emerging markets. As regards developed markets, high prices of oil, 10-year bonds, and the ZEW index can suggest a high probability of the countries remaining in the first state, whereas an increase in the VIX index and the TED spread significantly reduces the probability of staying in this state. The other studied factors proved to be rather local in nature.
Źródło:
Przegląd Statystyczny; 2020, 67, 4; 274-293
0033-2372
Pojawia się w:
Przegląd Statystyczny
Dostawca treści:
Biblioteka Nauki
Artykuł
    Wyświetlanie 1-2 z 2

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