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Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland. (2023)
Journal Article
WOLSKI, R., BOLEK, M., GAJDKA, J., BRZESZCZYŃSKI, J. and KUTAN, A.M. 2023. Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland. Qualitative research in financial markets [online], 15(5), pages 757-794. Available from: https://doi.org/10.1108/QRFM-07-2021-0124

This study aims to answer the question whether investment funds managers exhibit behavioural biases in their investment decisions. Furthermore, it investigates if fund managers, as a group of institutional investors, make decisions in response to cen... Read More about Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland..

Google search trends and stock markets: sentiment, attention or uncertainty? (2023)
Journal Article
SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2024. Google search trends and stock markets: sentiment, attention or uncertainty? International review of financial analysis [online], 91, article 102549. Available from: https://doi.org/10.1016/j.irfa.2023.102549

Keyword based measures purporting to reflect investor sentiment attention or uncertainty have been increasingly used to model stock market behaviour. We investigate and shed light on the narrative reflected by Google search trends (GST) by constructi... Read More about Google search trends and stock markets: sentiment, attention or uncertainty?.

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].

Which COVID-19 information really impacts stock markets? (2022)
Journal Article
SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2023. Which COVID-19 information really impacts stock markets? 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?.

Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic. (2022)
Journal Article
YAROVAYA, L, BRZESZCZYŃSKI, J., GOODBELL, J., LUCEY, B. and LAU, C.K.M. 2022. Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic. Journal of international financial markets, institutions and money [online], 80, article 101589. Available from: https://doi.org/10.1016/j.intfin.2022.101589

Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to... Read More about Rethinking financial contagion: information transmission mechanism during the COVID-19 pandemic..

Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence. (2022)
Journal Article
BRZESZCZYŃSKI, J., GAJDKA, J., PIETRASZEWSKI, P. and SCHABEK, T. 2022. Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence. Finance research letters [online], 49, article 102986. Available from: https://doi.org/10.1016/j.frl.2022.102986

In this study, we investigate changes in risk of socially responsible investments (SRI) companies in the periods before and during the COVID-19 pandemic relying on a broad dataset covering SRI indices from 35 markets analyzed between 2016 and 2021. O... Read More about Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence..

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..

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].

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..

Bitcoin as a new currency. (2020)
Journal Article
BRZESZCZYŃSKI, J., GAJDKA, J. and SCHABEK, T. 2020. Bitcoin as a new currency. Folia oeconomica stetinensia [online], 20(2), 49-65. Available from: https://doi.org/10.2478/foli-2020-0035

Bitcoin is the most popular financial instrument within the new cryptocurrencies class, which emerged in the wake of the financial crisis of 2007/2008. The purpose of this paper is to provide an analysis of Bitcoin from the perspective of the Polish... Read More about Bitcoin as a new currency..

Socially responsible investment and market performance: the case of energy and resource companies. (2019)
Journal Article
BRZESZCZYŃSKI, J., GHIMIRE, B., JAMASB, T. and MCINTOSH, G. 2019. Socially responsible investment and market performance: the case of energy and resource companies. Energy journal [online], 40(5), pages 17-72. Available from: https://doi.org/10.5547/01956574.40.5.jbrz

Do financial markets reward the energy and resource companies for adopting socially responsible practices? In this study, we investigate the stock market performance of major international energy and resource firms, classified within the socially res... Read More about Socially responsible investment and market performance: the case of energy and resource companies..

A stock market trading system based on foreign and domestic information. (2018)
Journal Article
BRZESZCZYNSKI, J. and IBRAHIM, B.M. 2019. A stock market trading system based on foreign and domestic information. Expert systems with applications [online], 118, pages 381-399. Available from: https://doi.org/10.1016/j.eswa.2018.08.005

This paper investigates whether a particular magnitude and direction of inter-regional return signal transmission dominates the performance of domestic trading in American, European and Australasian stock markets. A trading system design, based on fu... Read More about A stock market trading system based on foreign and domestic information..

Pension funds, large capital inflows and stock returns in a thin market. (2018)
Journal Article
BRZESZCZYŃSKI, J., BOHL, M.T. and SERWA, D. 2019. Pension funds, large capital inflows and stock returns in a thin market. Journal of pension economics and finance [online], 18(3), pages 347-387. Available from: https://doi.org/10.1017/S147474721800001X

Using unique data about capital flows from the public social security institute ZUS (Zakład Ubezpieczeń Społecznych) to private pension funds OFEs (Otwarte Fundusze Emerytalne) in Poland, we find that their impact, as a group of large institutional i... Read More about Pension funds, large capital inflows and stock returns in a thin market..