All Outputs (7)

Systemic risk measures and regulatory challenges. (2021)
Journal Article
ELLIS, S., SHARMA, S., and BRZESZCZYŃSKI, J. 2022. Systemic risk measures and regulatory challenges. Journal of financial stability [online], 61, article 100960. Available from: https://doi.org/10.1016/j.jfs.2021.100960

This paper discusses different definitions of systemic risk and identifies the challenges, which regulators face in addressing this phenomenon. We conducted a systematic literature review of 4859 abstracts to categorize the various methodologies deve... Read More about Systemic risk measures and regulatory challenges..

Central bank's communication and markets' reactions: Polish evidence. (2021)
Journal Article
BRZESZCZYŃSKI, J., GAJDKA, J., SCHABEK, T., and KUTAN, A.M. 2023. Central bank's communication and markets' reactions: Polish evidence. International journal of emerging markets [online], 18(9), pages 2544-2580. Available from: https://doi.org/10.1108/IJOEM-09-2020-1061

This study contributes to the pool of knowledge about the impact of monetary policy communication of central banks on financial instruments' prices and assets' value in emerging markets. Empirical analysis is executed using the National Bank of Polan... Read More about Central bank's communication and markets' reactions: Polish evidence..

The impact and role of COVID-19 uncertainty: a global industry analysis. (2021)
Journal Article
SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2022. The impact and role of COVID-19 uncertainty: a global industry analysis. International review of financial analysis [online], 80, article 101837. Available from: https://doi.org/10.1016/j.irfa.2021.101837

The novel 2019 coronavirus (COVID-19) has resulted in uncertainty that permeates every aspect of life and business. In this study we undertake a comprehensive analysis of the impact of COVID-19 related uncertainty on global industry returns and volat... Read More about The impact and role of COVID-19 uncertainty: a global industry analysis..

How much do the central bank announcements matter on financial market? Application of the rule-based trading system approach. (2021)
Journal Article
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. Expert systems with applications [online], 182, article 115201. Available from: https://doi.org/10.1016/j.eswa.2021.115201

This paper proposes a rule-based trading system to investigate how much the central bank's announcements matter on a financial market. We design a novel investment strategy and we simulate trades in order to quantify their profitability in the out–of... Read More about How much do the central bank announcements matter on financial market? Application of the rule-based trading system approach..

The COVID-19 storm and the energy sector: the impact and role of uncertainty. (2021)
Journal Article
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. Energy economics [online], 109, article 105258. Available from: https://doi.org/10.1016/j.eneco.2021.105258

Prior research has shown that energy sector stock prices are impacted by uncertainty. The coronavirus (COVID-19) pandemic has given rise to widespread health and economic-related uncertainty. In this study, we investigate the magnitude and the timing... Read More about The COVID-19 storm and the energy sector: the impact and role of uncertainty..

The only certainty is uncertainty: an analysis of the impact of COVID-19 uncertainty on regional stock markets. (2021)
Journal Article
SZCZYGIELSKI, J.J., BWANYA, P.R., CHARTERIS, A. and BRZESZCZYŃSKI, J. 2021. The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets. Finance research letters [online], 43, article 101945. Available from: https://doi.org/10.1016/j.frl.2021.101945

Uncertainty surrounding COVID-19 is widespread. We investigate the timing and quantify the impact of COVID-19 related uncertainty on returns and volatility for regional market aggregates using ARCH/GARCH models. Drawing upon economic psychology, COVI... Read More about The only certainty is uncertainty: an analysis of the impact of COVID-19 uncertainty on regional stock markets..

How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies. (2021)
Journal Article
BRZESZCZYŃSKI, J., GAJDKA, J. and SCHABEK, T. 2021. How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies. Finance research letters [online], 42, article 101939. Available from: https://doi.org/10.1016/j.frl.2021.101939

We evaluate the risk of the socially responsible investment (SRI) stocks from the Central and Eastern European (CEE) markets. Our analysis covers the data from the first and oldest national sustainability stock market index introduced in the CEE coun... Read More about How risky are the socially responsible investment (SRI) stocks? Evidence from the Central and Eastern European (CEE) companies..