A New Approach for Analyzing Stock Market Stress Based on the Warsaw Stock Exchange in 2005–2019

ABSTRACT

In this paper, we propose the use of a novel approach for measuring stresses in capital. Our proposal relies on a framework offered by the statistical theory of shape. We describe a stress function based on the concept of a mean shape determined by representative particles of a capital carrier as well as changes in the amount and structure of stresses in capital, employing, among others, Bookstein’s pair of thin plain spline deformation, and a measurement of shape variability. We propose a robust approach for estimating the stress functional based on the concept of data depth.

KEYWORDS:

• Average shape
• capital flow
• deformation of objects
• financial crisis
• stress functional in capital

JEL CLASSIFICATION:

• C13
• C43
• C63

Acknowledgments

JPR and DM’s research has been partially supported by the AGH UST local grant nos. 11.11.420.004 and 16.16.420.054 and DK’s research has been partially supported by the grant awarded to the Faculty of Management of CUE for preserving scientific resources for 2019. DK also thanks for financial support from the Ministry of Science and Higher Education within “Regional Initiative of Excellence” Program for 2019–2022. Project no. 021/RID/2018/19.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This work was supported by the Akademia Górniczo-Hutnicza im. Stanislawa Staszica [AGH UST local grant no. 16.16.420.054]; Polish Ministry of Science and Higher Education [021/RID/2018/19]; Cracow University of Economics [CUE grant for the research resources preservation].

Notes on contributors

Daniel Kosiorowski

Daniel Kosiorowski was a Professor at the Cracow University of Economics, Krakow, Poland. He passed away in April 2020. DK contribution to the published paper is 25%.Jerzy P. Rydlewski is an Associate Professor at the AGH University of Science and Technology, Krakow, Poland. JPR contribution to the published paper is 45%.Tadeusz Klecha was an Associate Professor at the University of Computer Engineering and Telecommunications, Kielce, Poland. He passed away in December 2019. TK contribution to the published paper is 25%.Dominik Mielczarek is an Associate Professor at the AGH University of Science and Technology, Krakow, Poland. DM contribution to the published paper is 5%.