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Indeks stresu na rynku zbywalnych instrumentow finansowych w Polsce

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  • Igor Kravchuk

    (Tarnopolski Narodowy Uniwersytet Ekonomiczny)

Abstract

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).

Suggested Citation

  • Igor Kravchuk, 2017. "Indeks stresu na rynku zbywalnych instrumentow finansowych w Polsce," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(66), pages 193-206.
    • Handle: RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:193-206
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    References listed on IDEAS

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    More about this item

    Keywords

    stress index; negotiable financial instruments market; financial stability; market liquidity; market volatility;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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