Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic
Capital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the perio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Lodz University Press
2022-09-01
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| Series: | Comparative Economic Research |
| Subjects: | |
| Online Access: | https://czasopisma.uni.lodz.pl/CER/article/view/14265 |
| _version_ | 1818050974624776192 |
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| author | Dorota Żebrowska‑Suchodolska Iwona Piekunko‑Mantiuk |
| author_facet | Dorota Żebrowska‑Suchodolska Iwona Piekunko‑Mantiuk |
| author_sort | Dorota Żebrowska‑Suchodolska |
| collection | DOAJ |
| description | Capital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the period from March 3, 2019, to March 31, 2021. The aim is to identify sectors and indices similar to each other at the local level and to identify, among pairs of similar indices, those that provide a boost to another sector. The research uses the hierarchical cluster analysis method (Ward’s method) and the Granger causality test. This work presents a novel approach to sectoral comparison at the local level. |
| first_indexed | 2024-12-10T11:02:00Z |
| format | Article |
| id | doaj.art-27593a2f5d5c44adbb063c16c03b3c54 |
| institution | Directory Open Access Journal |
| issn | 1508-2008 2082-6737 |
| language | English |
| last_indexed | 2024-12-10T11:02:00Z |
| publishDate | 2022-09-01 |
| publisher | Lodz University Press |
| record_format | Article |
| series | Comparative Economic Research |
| spelling | doaj.art-27593a2f5d5c44adbb063c16c03b3c542022-12-22T01:51:39ZengLodz University PressComparative Economic Research1508-20082082-67372022-09-012539010910.18778/1508-2008.25.2314167Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 PandemicDorota Żebrowska‑Suchodolska0https://orcid.org/0000-0003-1230-6413Iwona Piekunko‑Mantiuk1https://orcid.org/0000-0003-1973-0700Ph.D., Warsaw University of Life Sciences – SGGW, Warsaw, PolandPh.D., Bialystok University of Technology, Kleosin, PolandCapital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the period from March 3, 2019, to March 31, 2021. The aim is to identify sectors and indices similar to each other at the local level and to identify, among pairs of similar indices, those that provide a boost to another sector. The research uses the hierarchical cluster analysis method (Ward’s method) and the Granger causality test. This work presents a novel approach to sectoral comparison at the local level.https://czasopisma.uni.lodz.pl/CER/article/view/14265coronaviruseconomic sectorsfinancial volatilitysimilarity |
| spellingShingle | Dorota Żebrowska‑Suchodolska Iwona Piekunko‑Mantiuk Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic Comparative Economic Research coronavirus economic sectors financial volatility similarity |
| title | Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic |
| title_full | Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic |
| title_fullStr | Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic |
| title_full_unstemmed | Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic |
| title_short | Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic |
| title_sort | similarity and granger causality in polish and spanish stock market sectors during the covid 19 pandemic |
| topic | coronavirus economic sectors financial volatility similarity |
| url | https://czasopisma.uni.lodz.pl/CER/article/view/14265 |
| work_keys_str_mv | AT dorotazebrowskasuchodolska similarityandgrangercausalityinpolishandspanishstockmarketsectorsduringthecovid19pandemic AT iwonapiekunkomantiuk similarityandgrangercausalityinpolishandspanishstockmarketsectorsduringthecovid19pandemic |