PL EN


2017 | 1/2017 (66), t.2 | 193 – 206
Article title

Indeks stresu na rynku zbywalnych instrumentów finansowych w Polsce

Authors
Content
Title variants
EN
Stress Index in the Negotiable Financial Instruments Market in Poland
Languages of publication
PL EN
Abstracts
PL
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).
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).
Year
Pages
193 – 206
Physical description
Dates
published
2017-05-30
Contributors
author
  • Tarnopolski Narodowy Uniwersytet Ekonomiczny, igskrav@gmail.com
  • Uniwersytet Warszawski, Wydział Zarządzania
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Document Type
Publication order reference
Identifiers
ISSN
1644-9584
YADDA identifier
bwmeta1.element.desklight-f35046a5-a319-4449-93f3-28a32661bd2b
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