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

Beata Bieszk-Stolorz,Iwona Markowicz

doi:10.15290/oes.2018.01.91.01

Abstract

Goal – The goal of the article is the assessment of the possibilities of recovery after decrease of prices of shares of companies listed on the Warsaw Stock Exchange in the years 2008-2009 and 2011-2013 in particular macrosectors: industrials, financials and services. The probability and intensity of increase and decrease of prices were analysed. Research methodology – Selected methods of survival analysis were applied. The Kaplan-Meier estimator was used in the analysis of the probability of increase and decrease of prices of shares in the macrosectors. The intensity of decrease and increase of prices was assessed by means of the empirical hazard model and the proportional Cox model. Threshold values of the increase and decrease of prices were calculated on the basis of changes of the WIG index in analysed periods. Comparative analysis of these two periods was also conducted. Score – The hypothesis about a similar situation of macrosectors during the financial crisis and in the bear market was confirmed. In case of the financials macrosector, its reaction to the market situation was the strongest in both the decrease and increase of share prices. The companies of the industrials macrosector were in better situation than the financial companies. The service companies reacted weakly on the market changes. Originality /value – The application of the survival analysis methods in the study of the capital market.

Highlights

The maximum drop of the WIG values, comprising the companies listed on the Warsaw Stock Exchange (WSE) main market, was in 2008
The companies of the industrials macrosector were in better situation than the financial companies
The goal of the article is the assessment of the possibilities of recovery after decrease of prices of shares of companies listed on the Warsaw Stock Exchange in the years 2008-2009 and 2011-2013 in particular macrosectors

Summary

Introduction

The maximum drop of the WIG values, comprising the companies listed on the Warsaw Stock Exchange (WSE) main market, was in 2008. The slump period was a result of the world crisis of 2008/2009. The year with negative rates of return on the WIG was 2011. The analysts point out that it was the year when the over. That was a year of heightened investor activity, the effect of which was the record turnover of shares and derivatives. The drop in company values in the second half of 2011 resulted in the fall of the WIG value by 20.8% (Fig. 1).

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