A New Approach for Analyzing Stock Market Stress Based on the Warsaw Stock Exchange in 2005–2019. Issue 4 (4th July 2021)

• Record Type: Journal Article
• Authors: Kosiorowski, Daniel; Rydlewski, Jerzy P.; Klecha, Tadeusz; Mielczarek, Dominik
• Is Part Of: Eastern European economics. Volume 59:Issue 4(2021)
• Page Start: 317
• Page End: 333
• Publication Date: 2021-07-04
• Subjects: Average shape -- capital flow -- deformation of objects -- financial crisis -- stress functional in capital; C13 -- C43 -- C63; Europe, Eastern -- Economic conditions -- Periodicals; 330.947
• DOI: 10.1080/00128775.2021.1927756
• Languages: English
• ISSNs: 0012-8775

Abstract

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.