ISSN: 2450-7733
eISSN: 2300-4096
OAI
DOI: 10.18276/sip.2016.46/1-19
Lista wydań /
nr 46/1 2016
ANALIZA CZYNNIKÓW MAKROEKONOMICZNYCH ZMIAN CEN AKCJI BANKÓW W EUROPIE
| Autorzy: |
Patrycja
Chodnicka-Jaworska
Uniwersytet Warszawski Katarzyna Niewińska Uniwersytet Warszawski |
| Słowa kluczowe: | sektor bankowy stopy zwrotu z akcji czynniki makroekonomiczne |
| Rok wydania: | 2016 |
| Liczba stron: | 12 (247-258) |
| Klasyfikacja JEL: | G14 G15 G21 |
Abstrakt
W artykule podjęto próbę zidentyfikowania determinant makroekonomicznych stóp zwrotu z akcji banków w Europie. Do badania przyjęto 182 banki notowane na giełdach w 24 krajach w Europie. Jako zmienną niezależną zastosowano kwartalne logarytmiczne stopy zwrotu w latach 2004–15. Ze względu na charakter danych wykorzystano statyczne modele panelowe, co pozwoliło przeanalizować wpływ zmiany: PKB, inflacji, ceny dóbr przemysłowych i stop procentowych (krótko- i długoterminowych) dla badanych krajów, a także wpływ zmienności implikowanej indeksu EURO STOXX 50 oraz współczynnika beta badanego banku. Analiza wykazała istotną zależność pomiędzy tymi zmiennymi. Model dopasowany jest w 12%, co sugeruje że zmienne makroekonomiczne nie są kluczowymi czynnikami mogącymi oddziaływać na rynek akcji banków.
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