Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective

Ewa Majerowska; Jacek Bednarz

doi:10.5604/01.3001.0014.8494

Ewa Majerowska University of Gdańsk, Faculty of Management, ul. Armii Krajowej 101, 81-824 Sopot, Poland ORCID:https://orcid.org/0000-0003-0991-3714 , Jacek Bednarz John Paul II Catholic University of Lublin, Faculty of Social Sciences, Institute of Economics and Finance, Al. Racławickie 14, 20-950 Lublin, Poland ORCID:https://orcid.org/0000-0002-9978-0371 Przegląd Statystyczny. Statistical Review, vol. 67, 2020, 4, pages: 294-307 Published online: 31 May 2021 DOI 10.5604/01.3001.0014.8494

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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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