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Sektorowe zróżnicowanie efektu interwału akcji spółek z GPW w dobie pandemii COVID-19

Author

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  • Bartłomiej Lisicki

Abstract

Głównym celem niniejszego opracowania jest weryfikacja występowania zróżnicowania efektu interwału współczynnika beta (β) akcji spółek notowanych na GPW w Warszawie (GPW) w trakcie trwania pandemii COVID-19 ze względu na ich przynależność makrosektorową. Współczynniki β obliczono przy zastosowaniu klasycznej metody najmniejszych kwadratów na próbie emitentów zgrupowanych w indeksach: WIG20, mWIG40 oraz sWIG80. Analizując wartości β szacowane na podstawie wskazanych horyzontów czasowych stóp zwrotu w latach pandemii COVID-19, można dostrzec występowanie efektu interwału β w przypadku spółek z makrosektorów finanse oraz produkcja przemysłowa i budowlano-montażowa. Co ciekawe, branże te w latach przedpandemicznych nie wykazywały istotnych statystycznie różnic między wartościami β. Efekt interwału w latach poprzedzających pandemię COVID-19 odnotowano z kolei w przypadku spółek z makrosektorów ochrona zdrowia oraz handel i usługi. Bazując na uzyskanych rezultatach badawczych, zaobserwować można wpływ pandemii COVID-19 na sektorowe zróżnicowanie efektu interwału. W latach jej trwania istotność statystyczna różnic w oszacowaniach współczynników β dotyczyła spółek z innych makrosektorów niż w latach ją poprzedzających.

Suggested Citation

  • Bartłomiej Lisicki, 2023. "Sektorowe zróżnicowanie efektu interwału akcji spółek z GPW w dobie pandemii COVID-19," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 2, pages 174-194.
    • Handle: RePEc:aoq:ekonom:y:2023:i:2:p:174-194
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    References listed on IDEAS

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    More about this item

    Keywords

    akcje; COVID-19; współczynnik beta; GPW w Warszawie; efekt interwału;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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