A financial network analysis of the equity linkages in Poland

• Authors: Artur F. Tomeczek

Title variants

PL

Finansowa analiza sieciowa powiązań kapitałowych w Polsce

Abstracts

PL

Celem artykułu jest zbadanie sieci finansowych powiązań kapitałowych i krzyżowych pomiędzy firmami notowanymi na giełdzie w Polsce (WIG20 i mWIG40) oraz analiza zmian, które zaszły w strukturze własnościowej banków w wyniku pandemii COVID-19. Przegląd literatury pozwala na wyszczególnienie czterech głównych typów sieci finansowych: powiązań krzyżowych, korelacji, długu oraz przyczynowości Grangera. Skonstruowane zostały cztery kierunkowe sieci finansowe powiązań kapitałowych. Dwa kluczowe mierniki zastosowane w niniejszym badaniu to PageRank (ekspozycja na ryzyko i znaczenie sieciowe) oraz modularność (wykrywanie społeczności).

EN

This article aimed to examine the financial networks of equity linkages and cross-shareholdings between publicly listed companies in Poland (WIG20 and mWIG40) and to explore the changes that occurred in bank ownership because of the COVID-19 pandemic. The literature review revealed four main types of financial networks: cross-shareholding, correlation, debt, and Granger-causality. Four equity-based directed financial networks were constructed. The two key network measures used in this research are PageRank (risk exposure and network importance) and modularity class (community detection).

Keywords

EN

network analysis; equity linkages; PageRank; modularity; WIG

PL

analiza sieciowa; powiązania kapitałowe; PageRank; modularność; WIG

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Year: 2021
• Volume: 65
• Issue: 4
• Pages: 129-143

Dates

published

2021

Contributors

author

Artur F. Tomeczek

• Szkoła Główna Handlowa w Warszawie

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Identifiers

DOI

10.15611/pn.2021.4.08

Biblioteka Nauki

1930427