Ewa Majerowska https://orcid.org/0000-0003-0991-3714 , Jacek Bednarz https://orcid.org/0000-0002-9978-0371
ARTICLE

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ABSTRACT

The interest rate curve is often viewed as the leading indicator of economic prosperity in a broad sense. This paper studies the ability of the slope of the yield curve in the term structure of interest rates to impact the sectoral indices on the Warsaw Stock Exchange, using daily data covering the period from 1 January 2001 to 30 September 2020. The results of the research indicate an ambiguous dependence of the logarithmic rates of return of sub-indices on the change of the interbank interest rate curve. The only sectors showing a clear relationship of this type is energy and pharmaceuticals.

KEYWORDS

stock market sub-indices, EGARCH, term structure of the interest rates

JEL

C58, E43, E44

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