Skip to main content

Research Repository

Advanced Search

Outputs (3)

Which COVID-19 information really impacts stock markets? [Dataset] (2022)
Dataset
SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2023. Which COVID-19 information really impacts stock markets? [Dataset]. Journal of international financial markets, institutions and money [online], 84, article 101592. Available from: https://doi.org/10.1016/j.intfin.2022.101592

Information about COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock... Read More about Which COVID-19 information really impacts stock markets? [Dataset].

How much do the central bank announcements matter on financial market? Application of the rule-based trading system approach. [Dataset] (2021)
Dataset
BRZESZCZYŃSKI, J., GAJDKA, J., SCHABEK, T. and KUTAN, A.M. 2021. How much do the central bank announcements matter on financial market? Application of the rule-based trading system approach. [Dataset]. Hosted on Mendeley [online]. Available from: https://doi.org/10.17632/3ysyh9vkwp.1

Trading systems constructed on financial markets, which are designed for prediction of financial instruments prices and investing in financial assets, can be classified according to the following two broad principles: the first group concerns entirel... Read More about How much do the central bank announcements matter on financial market? Application of the rule-based trading system approach. [Dataset].

The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset] (2021)
Dataset
SZCZYGIELSKI, J.J., BRZESZCZYŃSKI, J., CHARTERIS, A. and BWANYA, P.A. 2022. The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset]. Energy economics [online], 109, article 105258. Available from: https://doi.org/10.1016/j.eneco.2021.105258

In this study, the authors investigate the impact and the timing of the impact of COVID-19 related uncertainty on returns and volatility for 20 national energy indices and a global energy index using ARCH/GARCH models. The data sample spans the perio... Read More about The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset].