Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic

• Authors: Dorota Żebrowska‑Suchodolska , Iwona Piekunko‑Mantiuk

Title variants

PL

Podobieństwo i przyczynowość w sensie Grangera sektorów rynku giełdowego Polski i Hiszpanii w okresie pandemii COVID–19

Abstracts

PL

Rynki kapitałowe reagują prawie natychmiast na sytuacje kryzysowe. Zależności takie mogą mieć zarówno charakter międzynarodowy, jak i lokalny. Badania skupiają się na giełdach dwóch krajów: Hiszpanii i Polski. Kraje te są często porównywane do siebie pod względem różnych kryteriów gospodarczych i społecznych. Badania dotyczą okresu od 3 marca 2019 roku do 31 marca 2021 roku. Celem badań jest identyfikacja sektorów i indeksów podobnych do siebie na poziomie lokalnym oraz wskazanie wśród par indeksów podobnych tych, które stanowią impuls dla innego sektora. Do badań wykorzystano metodę hierarchiczną analizy skupień (metoda Warda) oraz test przyczynowości Grangera. W niniejszej pracy przedstawiono nowatorskie podejście do porównań sektorowych na poziomie lokalnym.

EN

Capital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the period from March 3, 2019, to March 31, 2021. The aim is to identify sectors and indices similar to each other at the local level and to identify, among pairs of similar indices, those that provide a boost to another sector. The research uses the hierarchical cluster analysis method (Ward’s method) and the Granger causality test. This work presents a novel approach to sectoral comparison at the local level.

Keywords

PL

koronawirus; sektory gospodarki; zmienność finansowa; podobieństwo

EN

coronavirus; economic sectors; financial volatility; similarity

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2022
• Volume: 25
• Issue: 3
• Pages: 90-109

Dates

published

2022

Contributors

author

Dorota Żebrowska‑Suchodolska

• Ph.D., Warsaw University of Life Sciences – SGGW, Warsaw, Poland

• https://orcid.org/0000000312306413

author

Iwona Piekunko‑Mantiuk

• Ph.D., Bialystok University of Technology, Kleosin, Poland

• https://orcid.org/0000000319730700

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Identifiers

DOI

10.18778/1508-2008.25.23

Biblioteka Nauki

2106291