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ISSN: 2450-7733     eISSN: 2300-4096     DOI: 10.18276/sip.2016.46/1-19
CC BY-SA   Open Access   CEEOL

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
Cited-by (Crossref) ?:

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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