Application of models of survival analysis in the assessment of the situation of macrosectors of listed companies

Markowicz

2022

Sustainability

Self Cite

The crisis caused by the emergence of the COVID-19 pandemic had an impact on the economic situation worldwide, including the stock exchange quotations. The aim of the research is to assess the reaction to crisis situations of share prices of companies listed on the Warsaw Stock Exchange (Poland) belonging to three main macrosectors: Industry, Finance and Services. The main part of the analysis concerns the market reaction to the COVID-19 pandemic during its first wave. The study utilises the survival analysis methods, which allowed for an assessment and comparison of the situation of the three macrosectors. The duration of the decline in share prices and the recovery time were analysed. The intensity and probability of the decline and subsequent increase in share prices were also examined. The Kaplan–Meier estimator, Cox regression model and logit model were used in the study. The pandemic shocks differed significantly from shocks caused by economic crises in the past. We showed that the differences for macro-sector share price declines were statistically insignificant. For price increases, the Finance macrosector differed from the other macrosectors. The probability, intensity and odds of an increase in share prices of companies belonging to this macrosector were lower than for the other macrosectors. In addition, we compared the obtained results with the results of previous studies conducted for the period of the financial crisis in 2008–2009 and the bear market in 2011. We pointed out the differences between the crisis caused by the pandemic and the other crises.

Section: Discussionmentioning

confidence: 99%

Changes in Share Prices of Macrosector Companies on the Warsaw Stock Exchange as a Reaction to the COVID-19 Pandemic

Markowicz

2022

Sustainability

Self Cite

“…The survival analysis methods are rarely used in the capital market analysis. However, more and more authors try to use them in this area (Lunde and Timmermann 2004 ; Deville and Riva 2007 ; Markovitch and Golder 2008 ; Bieszk-Stolorz and Markowicz 2017a , 2018 ).…”

Section: Research Methodology and Statistical Datamentioning

confidence: 99%

A survival analysis in the assessment of the influence of the SARS-CoV-2 pandemic on the probability and intensity of decline in the value of stock indices

Dmytrów

2021

Eurasian Econ Rev

Self Cite

The aim of the study is to assess the strength of the world stock exchanges reaction to the SARS-CoV-2 coronavirus pandemic at the turn of 2019–2020. We analyze the risk and intensity of the decline in the values of the basic stock indices by means of selected methods of survival analysis. The spreading pandemic within a few months covered all continents and had a significant impact on the socio-economic situation of all countries. We studied the time of the 20% drop in stock market indices. This is a value that is taken as a sign of a crisis. In order to assess the probability of indices’ value decrease, we use the Kaplan–Meier’s estimator. We determine the risk of decline by means of a logit model and the intensity of the decline by means of an empirical hazard estimator and the Cox proportional hazard model. The intensity and risk of the decline of stock indices varied from continent to continent. The obtained results show that the intensity is highest in the fourth and eighth week after the peak and is the highest on European exchanges and then American and Asian exchanges (including Australia). The risk of falling the stock indices’ prices is the highest in America, followed by Europe, Asia and Australia, and lowest in Africa. Half of the analyzed indices record a 20% drop in value after 52 days (median duration). The study is a prelude to further analyses related to the crisis and the normalization of the situation on world stock exchanges. It allows to learn about the impact of the pandemic on the economic situation and to detect the differences between the continents.

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

Dmytrów

2020

Preprint

The aim of the study is to assess the strength of the world stock exchanges reaction to the SARS-CoV-2 coronavirus pandemic at the turn of 2019-2020. The risk and intensity of the decline in the values of the basic stock indices were analysed. The spreading pandemic within a few months covered all continents and had a significant impact on the socio-economic situation of all countries. The study used methods of duration analysis. The time of the 20% drop in stock market indices was studied. This is a value that is taken as a sign of crisis. Kaplan-Meier's estimator was used to assess the probability of indices' value decrease. The risk of decline was determined by means of a logit model and the intensity of the decline was determined by means of an empirical hazard estimator and a Cox proportional hazard model. The intensity and risk of decline of stock indices varied from continent to continent. The intensity was highest in the fourth and eighth week after the peak and was highest on European exchanges and then American and Asian exchanges (including Australia). The risk of falling stock indices was highest in America, followed by Europe, Asia and Australia, and lowest in Africa. Half of the analysed indices recorded a 20-percent drop in value after 52 days (median duration). The study is a prelude to further analyses related to the crisis and the normalisation of the situation on world stock exchanges. It allows to learn about the impact of the pandemic on the economic situation and to detect differences between the continents. The methods from the survival analysis are used in the study to assess the impact of the pandemic on the intensity and risk of decline in stock exchange indices.