The banking sector as the absorber of the COVID-19 crisis? economic consequences: perception of WSE investors

IF 7.6 1区 经济学 Q1 ECONOMICS
Michał Bernardelli, Zbigniew Korzeb, Paweł Niedziółka
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引用次数: 13

Abstract

Research background: The paper focuses on the research of investors? decisions with regard to shares of all 12 banks listed on the Warsaw Stock Exchange during the first half of 2020. It examines the behavior of a subindex reflecting bank shares? prices against the main WIG index WIG and 14 sector subindices. The authors identify groups of banks with different investors? responses. They also classify banks into separate groups on the basis of changes in the fundamental indicators describing their economic and financial performance. The study concentrates mainly on the verification of the stability of this attribution, explaining reasons for its modifications over time.    Purpose of the article: To identify the characteristics of bank clusters determining different capital market responses to their listed shares and to explain the reasons for volatility in investors? behavior within the analyzed period. Methods: The methodology of the research can be described in three areas. The first is the statistical analysis with the emphasis on the use of a quarter range to capture changes in the volatility of share prices. The second area is the clustering k-means method based on the interpolated ? from quarterly to daily ? measures of the bank?s financial condition. This mathematical approach is a novelty in finance and economics. The last, third, area is forecasting with the use of linear regression analysis, which is the key factor in determining the abnormal rates of return. The indicated areas are combined through a generally understood correlation analysis. Findings & value added: Large retail banks have been less affected compared to medium-sized ones with relatively rich corporate portfolios. The initial market reaction reflected concern about the resistance to the crisis of poorly capitalized banks with mean liquidity buffers. Upon the announcement of government support, investors? approach to the shares of banks of differentiated economic and financial performance conformed accordingly. These findings are valuable in the long term especially from the perspective of supervision authorities? policy during external shocks. The presented study suggests designing flexible and tailor-made regulatory approach aligned with the defined bank clusters. Its value added also consists in proposing a new method of analysis, combining interpolation and automatic clustering, which has proved to be adequate for the study of a bank?s financial condition based on daily frequency data. Furthermore, assuming the same length of the estimation window, a close relationship is shown between the results of clustering and the forecasts based on different measures of rates of return.
银行业是新冠肺炎危机的吸收者?经济后果:华沙证交所投资者的看法
研究背景:本文主要研究投资者?关于2020年上半年在华沙证券交易所上市的所有12家银行的股票的决定。它考察反映银行股的分类指数的行为。价格相对于主要的WIG指数和14个行业分类指数。作者确定了不同投资者的银行群体。响应。他们还根据描述银行经济和财务表现的基本指标的变化,将银行分成不同的组。这项研究主要集中在验证这种归因的稳定性,解释其随时间变化的原因。本文的目的:确定银行集群的特征,决定资本市场对其上市股票的不同反应,并解释投资者波动的原因?被分析时间段内的行为。方法:研究方法可分为三个方面。第一种是统计分析,强调使用四分之一区间来捕捉股价波动的变化。第二个领域是基于插值的聚类k-means方法。从季度到每日?银行的措施?美国的财务状况。这种数学方法在金融和经济学中是一种新颖的方法。最后,也是第三个领域是利用线性回归分析进行预测,这是决定异常收益率的关键因素。通过一般理解的相关分析,将指示区域组合起来。调查结果与附加值:与拥有相对丰富的企业投资组合的中型银行相比,大型零售银行受到的影响较小。市场最初的反应反映出人们的担忧,即资本金不足、流动性缓冲不足的银行对危机的抵抗力。政府宣布支持后,投资者?方法对银行股的差异化经济和财务表现进行了相应的符合。这些发现从长远来看是有价值的,特别是从监管部门的角度来看。外部冲击期间的政策。提出的研究建议设计灵活和量身定制的监管方法与定义的银行集群相一致。它的附加价值还在于提出了一种新的分析方法,将插值和自动聚类相结合,这已被证明足以用于银行的研究。基于每日频率数据的财务状况。此外,假设估计窗口长度相同,聚类结果与基于不同收益率度量的预测之间存在密切关系。
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来源期刊
CiteScore
13.70
自引率
5.90%
发文量
26
审稿时长
24 weeks
期刊介绍: The Oeconomia Copernicana is an academic quarterly journal aimed at academicians, economic policymakers, and students studying finance, accounting, management, and economics. It publishes academic articles on contemporary issues in economics, finance, banking, accounting, and management from various research perspectives. The journal's mission is to publish advanced theoretical and empirical research that contributes to the development of these disciplines and has practical relevance. The journal encourages the use of various research methods, including falsification of conventional understanding, theory building through inductive or qualitative research, first empirical testing of theories, meta-analysis with theoretical implications, constructive replication, and a combination of qualitative, quantitative, field, laboratory, and meta-analytic approaches. While the journal prioritizes comprehensive manuscripts that include methodological-based theoretical and empirical research with implications for policymaking, it also welcomes submissions focused solely on theory or methodology.
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