Stress Index in the Negotiable Financial Instruments Market in Poland

Autor:	Igor Kravchuk
Jazyk:	English<br />Polish
Rok vydání:	2017
Předmět:	stress index negotiable financial instruments market financial stability market liquidity market volatility Management. Industrial management HD28-70 Finance HG1-9999
Zdroj:	Problemy Zarządzania, Vol 15, Iss 1(66) t.2, Pp 193-206 (2017)
Druh dokumentu:	article
ISSN:	1644-9584 2300-8792
DOI:	10.7172/1644-9584.66.12
Popis:	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).
Databáze:	Directory of Open Access Journals
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