Back to Search Start Over

Stress Index in the Negotiable Financial Instruments Market in Poland

Stress Index in the Negotiable Financial Instruments Market in Poland

Authors :
Igor Kravchuk
Source :
Problemy Zarządzania, Vol 15, Iss 1(66) t.2, Pp 193-206 (2017)
Publication Year :
2017
Publisher :
Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego, 2017.

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).

Details

Language :
English, Polish
ISSN :
16449584 and 23008792
Volume :
15
Issue :
1(66) t.2
Database :
Directory of Open Access Journals
Journal :
Problemy Zarządzania
Publication Type :
Academic Journal
Accession number :
edsdoj.5fab0a0d920949a6bef19180d749a8c1
Document Type :
article
Full Text :
https://doi.org/10.7172/1644-9584.66.12