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

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  • Daniel Kosiorowski
  • Jerzy P. Rydlewski
  • Tadeusz Klecha
  • Dominik Mielczarek

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.

Suggested Citation

  • Daniel Kosiorowski & Jerzy P. Rydlewski & Tadeusz Klecha & Dominik Mielczarek, 2021. "A New Approach for Analyzing Stock Market Stress Based on the Warsaw Stock Exchange in 2005–2019," Eastern European Economics, Taylor & Francis Journals, vol. 59(4), pages 317-333, July.
    • Handle: RePEc:mes:eaeuec:v:59:y:2021:i:4:p:317-333
    DOI: 10.1080/00128775.2021.1927756
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