Elżbieta Majewska - Academia.edu (original) (raw)

Papers by Elżbieta Majewska

∗This paper focuses on friction in trading processes in the context of the implications of nonsyn... more ∗This paper focuses on friction in trading processes in the context of the implications of nonsynchronous trading effects, especially in the CEE stock markets. We analyze the Granger causality, and we investigate both the whole sample May 2004 – April 2012 and two equal subsamples: the ‘crisis ’ period and the ‘post-crisis ’ period. Our results show several causal relationships in the whole sample period, in the case of the group of the biggest CEE stock market indexes and the group of the three Baltic market indexes. Moreover, to accommodate the ‘nonsynchronous trading effect II ’ in the Granger causality tests, we propose a version of a VAR model with a modified dynamic structure of lags for the CEE and US stock market indexes. We observe a pronounced feedback relationship for almost all of the analyzed models, both in the whole sample period and in the two subsamples. In light of our results, it seems that taking into account the ‘nonsynchronous trading effect II ’ plays a crucia...

Advances in Time Series Data Methods in Applied Economic Research, 2018

This article discusses selected ways of measuring financial market integration that can be found ... more This article discusses selected ways of measuring financial market integration that can be found in existing scientific literature. The main aim of this research is to characterize those integration measures which are based on principal components analysis, such as: (1) Coefficient of determination of the regression model with principal components as the regressors, (2) integration index equal to the share of variance explained by the first principal component with respect to the overall variance of the original variables, and (3) segmentation index that captures the variation in loadings of the first principal component. The above mentioned measures have been utilized to carry out a dynamic analysis of the level of integration of eurozone stock markets in the time periods: 2007-2009 and 2009-2012.

The goal of this paper is to measure the dynamics of financial integration between the euro area ... more The goal of this paper is to measure the dynamics of financial integration between the euro area stock markets over the long time period 2000–2016. The panel of data consists of monthly logarithmic returns of 19 major euro area stock market indexes. The evolution of the integration process is analyzed using a dynamic principal component approach. The index of integration, which measures the proportion of total variation in individual stock index logarithmic returns explained by the first principal component, serves as a measure of integration. The empirical results reveal that the dynamics of integration across the whole group of markets increased significantly after January 2008, during the global financial crisis (GFC). An inverted U-shaped pattern in the index of integration has been found in this period. The GFC and the subsequent euro area crises were formally detected based on the statistical procedure for an identification of down markets. Moreover, the estimation results of ...

The goal of this paper is to recognize the dynamics of financial integration across the European ... more The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern European markets in Poland, the Czech Republic, and Hungary (CEE–3). The evolution of the integration process is analyzed using a dynamic principal component approach. The index of integration serves as a robust measure of integration. The empirical results reveal that the dynamics of integration across the whole group of markets increased significantly following the CEEC–3’s accession to the European Union. An inverted U‑shape in the index of integration has been found in this case. Moreover, the average index of integration was significantly different during the Global Financial Crisis compared to the pre‑crisis period.

Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse Rynki Finansowe Ubezpieczenia, 2016

Streszczenie: Cel-Celem pracy jest prezentacja wyników zastosowania analizy głównych składowych d... more Streszczenie: Cel-Celem pracy jest prezentacja wyników zastosowania analizy głównych składowych do badania stopnia integracji europejskich rynków finansowych i rynku amerykańskiego z uwzględnieniem okresu ostatniego globalnego kryzysu finansowego. Metodologia badania-Zastosowano metodę wyodrębniania pierwszej głównej składowej jako wskaźnika integracji rynków giełdowych. Analizę przeprowadzono w oparciu o miesięczne logarytmiczne stopy zwrotu z głównych indeksów giełdowych największych rynków europejskich, rynków wschodzących Europy Środkowej i Wschodniej (CEE) oraz rynku amerykańskiego. Wynik-Uzyskane wyniki wskazują na przydatność metody głównych składowych w analizie integracji rynków finansowych. Wskaźnik integracji pozwala ocenić poziom integracji między rynkami oraz obserwować jego zmiany w okresach spadków i wzrostów na rynkach kapitałowych. Oryginalność/wartość-Analiza głównych składowych jest rzadko stosowaną metodą badania integracji rynków finansowych. Zgodnie z wiedzą autorki wskaźnik integracji omawianych w pracy grup rynków nie był jak dotąd wyznaczany.

Optimum Studia Ekonomiczne, 2017

Celem niniejszego opracowania jest analiza struktury hierarchicznej europejskich rynków kapitałow... more Celem niniejszego opracowania jest analiza struktury hierarchicznej europejskich rynków kapitałowych w okresach: przed globalnym kryzysem finansowym 2007-2009 oraz po jego zakończeniu. W badaniu wykorzystano tygodniowe logarytmiczne stopy zwrotu głównych indeksów 28 giełd europejskich, wśród których znalazły się zarówno rynki rozwinięte, jak i rozwijające się. Okres badawczy objął lata 2000-2016. Do zbadania struktury powiązań między rynkami wykorzystano metody aglomeracyjne, przede wszystkim metodę Warda. Przeprowadzona analiza pozwoliła stwierdzić istotne różnice w strukturze powiązań między rynkami w okresie przed kryzysem i po jego zakończeniu. Wskazała również grupy rynków szczególnie silnie oddziałujących na siebie.

Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse Rynki Finansowe Ubezpieczenia, 2017

Streszczenie: Cel-Celem pracy była identyfikacja okresów kryzysu w dziewiętnastu krajach strefy e... more Streszczenie: Cel-Celem pracy była identyfikacja okresów kryzysu w dziewiętnastu krajach strefy euro w latach 2004-2016 oraz analiza poprawności ustalenia okresów spadków na tych rynkach. Metodologia badania-Do identyfikacji okresów kryzysu wykorzystano statystyczną procedurę diagnozowania stanów rynku. Ocena poprawności ustalenia okresów spadków na rynkach przeprowadzono trzema różnymi metodami. W badaniach wykorzystano kursy zamknięcia głównych indeksów giełdowych analizowanych rynków. Wynik-Dla analizowanych rynków zidentyfikowano okresy spadków, które pokrywały się z okresem globalnego kryzysu finansowego 2007-2009 oraz kryzysu europejskiego 2009-2012. W przypadku niektórych indeksów zidentyfikowano również kolejne okresy spadków, począwszy od roku 2014. Oryginalność/wartość-Formalne określenie okresów kryzysu jest istotne z punktu widzenia badania powiązań rynków międzynarodowych z uwzględnieniem okresów przed, w trakcie i po kryzysie. Zgodnie z wiedzą autorki formalna identyfikacja okresów kryzysu na dziewiętnastu rynkach strefy euro w okresie 2004-2016 nie była dotąd przeprowadzana.

International Journal of Computational Economics and Econometrics, 2016

The main goal of this paper is a direct identification of crisis periods in the eight Central and... more The main goal of this paper is a direct identification of crisis periods in the eight Central and Eastern European (CEE) equity markets, and, for comparison, in the US market. A statistical procedure of dividing market states into up and down markets is employed. The results confirm October 2007-February 2009 as the common period of the recent global financial crisis in the CEE markets, except for Slovakia. Moreover, the effect of increasing cross-market correlations in the crisis period in the context of contagion is investigated, applying both standard contemporaneous correlations and volatility-adjusted correlation coefficients. A research hypothesis that there was no contagion effect among the US and the CEE stock markets during the 2007-2009 crisis is explicitly tested. The robustness analysis of contagion tests based on monthly, weekly and daily data is provided. The results reveal that the utilised tests are rather less sensitive with respect to the choice of data frequency.

Argumenta Oeconomica

This paper focuses on friction in trading processes in the context of the implications of nonsync... more This paper focuses on friction in trading processes in the context of the implications of nonsynchronous trading effects, especially on the CEE stock markets. We analyze the Granger causality and we investigate both the whole sample May 2004 - April 2012 and two equal subsamples: the ‘crisis’ period and the ‘post-crisis’ period. Our results show several causal relationships in the whole sample period, in the case of the group of the biggest CEE stock market indexes and the group of the three Baltic market indexes. Moreover, to accommodate the ‘nonsynchronous trading effect II’ in the Granger causality tests, we propose a version of a VAR model with a modified dynamic structure of lags for the CEE and US stock market indexes. We observe a pronounced feedback relationship for almost all of the analyzed models, both in the whole sample period and in the two subsamples. In light of our results, it seems that taking into account the ‘nonsynchronous trading effect II’ plays a crucial role...

Entropy

The aim of this study is to assess and compare changes in regularity in the 36 European and the U... more The aim of this study is to assess and compare changes in regularity in the 36 European and the U.S. stock market indices within major turbulence periods. Two periods are investigated: the Global Financial Crisis in 2007–2009 and the COVID-19 pandemic outbreak in 2020–2021. The proposed research hypothesis states that entropy of an equity market index decreases during turbulence periods, which implies that regularity and predictability of a stock market index returns increase in such cases. To capture sequential regularity in daily time series of stock market indices, the Sample Entropy algorithm (SampEn) is used. Changes in the SampEn values before and during the particular turbulence period are estimated. The empirical findings are unambiguous and confirm no reason to reject the research hypothesis. Moreover, additional formal statistical analyses indicate that the SampEn results are similar both for developed and emerging European economies. Furthermore, the rolling-window proced...

In this paper, crisis periods on the 19 euro area stock markets are formally detected and explore... more In this paper, crisis periods on the 19 euro area stock markets are formally detected and explored. A statistical method of dividing market states into bullish and bearish markets based on monthly logarithmic returns of major stock market indexes is employed. The sample period begins on January 2004, ends on December 2015, and includes the 2007–2009 Global Financial Crisis (GFC) and the subsequent euro area crises. Moreover, correctness of formal identification of down market periods is discussed utilizing two methods for verifying the bear market conditions. The empirical results indicate February 2009 as the end of the GFC for almost all countries investigated, except for Slovenia, Lithuania, Malta, Estonia, and Latvia, for which March 2009 is obtained as the end of the GFC. Furthermore, the findings concerning the European crises during the period beginning from late 2009 are in accord with the existing literature.

Demonstratio Mathematica, 1996

In [3] there has been examined the equation Dtu = mD^u which is called the Airy equation and is a... more In [3] there has been examined the equation Dtu = mD^u which is called the Airy equation and is a linear version of the Korteweg-de Vries (KdV) equation. It arises in the description of the slow variation of a wave front in coordinates moving with the wave. It also describes the propagation of oscillatory wave packets. In [5], [6] it is proved that equation Dtu = D^u is one of the canonical forms of third order partial differential equations and it is called the equation with characteristics multiple (see [4], p. 132). The first boundary value problem (or also called the Cattabriga problem) for Airy equation has been examined in [2], [4]; moreover, in [3] the Cauchy problem for this equation has been considered. Papers [9], [10] were devoted to solve contact problems for the said equation. This paper concerns the second boundary-value problem for equation (1) in the domain D = {(jc, i) G K : 0 < X < 1, 0 < t < T}, T = const. > 0.

Cel – Celem pracy byla identyfikacja okresow kryzysu w dziewietnastu krajach strefy euro w latach... more Cel – Celem pracy byla identyfikacja okresow kryzysu w dziewietnastu krajach strefy euro w latach 2004–2016 oraz analiza poprawności ustalenia okresow spadkow na tych rynkach. Metodologia badania – Do identyfikacji okresow kryzysu wykorzystano statystyczną procedure diagnozowania stanow rynku. Ocena poprawności ustalenia okresow spadkow na rynkach przeprowadzono trzema roznymi metodami. W badaniach wykorzystano kursy zamkniecia glownych indeksow gieldowych analizowanych rynkow. Wynik – Dla analizowanych rynkow zidentyfikowano okresy spadkow, ktore pokrywaly sie z okresem globalnego kryzysu finansowego 2007–2009 oraz kryzysu europejskiego 2009–2012. W przypadku niektorych indeksow zidentyfikowano rowniez kolejne okresy spadkow, począwszy od roku 2014. Oryginalnośc/wartośc – Formalne określenie okresow kryzysu jest istotne z punktu widzenia badania powiązan rynkow miedzynarodowych z uwzglednieniem okresow przed, w trakcie i po kryzysie. Zgodnie z wiedzą autorki formalna identyfikacja ...

Journal of Risk and Financial Management, 2020

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe... more The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA to extract common components of liquidity across a sample of stocks, and from a set of several liquidity proxies. The robustness tests within the whole sample and sub-periods are provided. The PCA results reveal that common latent factors in liquidity estimates exist on the Polish stock market, and three principal components are sufficient to substitute for the seven liquidity proxies utilized in this research. The regressions using these three principal components of liquidity proxies as latent factors in the market model of liquidity indicate no evidence of co-movements in liquidity on the WSE. The results are homogenous...