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HenrykGurgul
ORCIDID:0000-0002-6192-2995
AGHUniversityofScienceandTechnology,Krakow
RobertSyrek
ORCIDID:0000-0002-8212-8248
JagiellonianUniversity,Krakow
Assessingthecontributionofsubindexes
tosystemicriskontheWarsawStockExchange
duringtheCOVID-19pandemic
Abstract:
Keywords:
Usually,systemicriskisconsideredforfinancialandinsuranceinstitutions.
ThispaperisconcernedwiththeapplicationofΔCoVaR,apopularmea-
sureofsystemicrisk,tosectoralsubindexes.Forthispurposeweevalu-
atethedynamiccorrelationmodelwithbivariatetcopuladistribution.We
considereithertheinfluenceofsectorsonmarketsandthedependence
betweensectors.Theresultsindicatearapidgrowthinriskforallpairs
sinceMarch2020,thatis,sincethebeginningoftheCOVID-19pandemic
inPoland.Averagingtheestimatedriskinsubperiods,wedeterminethe
levelofriskforthepairssystem-sectorandbetweensectorswithregard
tothepandemicperiod.Regardlessofthesubperiods,thegeneralranking
ofsystemicriskcontributionsissimilar,withthebankingsectorinfirst
andthepharmaceuticalinlastplace.Theresultsofassessingdependencies
betweensectorsareinlinewiththesystemicriskcontributionsofsectors
tothemarket.Inallcasesweobserveincreasesinrisk.
subindexes,systemicrisk,ΔCoVaR,pandemicCOVID-19
JELClassification:
G15,G19
1.Introduction
TheCOVID-19crisiscausedsomeofthemostdangerousfinancialmarketturbu-
lenceofthelasthundredyears.Thevolatilityofthefinancialmarketsachievedvery
highlevelsunnoticedsincetheGreatFinancialCrisisinthefirsthalfoftwentiethcen-
tury.Insuchmarketphases,assetreturnsshifttothetailsoftheirdistribution.Avery
commonsituationisthatextremevaluesdonotoccursolelywithrespecttooneasset
oronecountry,butspreadacrossassetclassesandcountries.Correlationsariseand,as
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