Zastosowanie modelu logitowego i modelu regresji Coxa w analizie zmian cen akcji spółek giełdowych w wyniku kryzysu finansowego
The application of the logit model and the Cox regression model in the analysis of financial crisis related price changes of listed companies’ shares

Summary/Abstract: At the first stage the authors aim at evaluating risk of the financial crisis related fall of share prices of companies listed on the Warsaw Stock Exchange that took place at the end of 2008 and at the beginning of 2009. At the second stage the authors assess the odds of making up for the loss, that is the chance for the share prices to rise. On 7 February 2009 the WIG20 hit the deepest low in six years followed by WIG reaching on February 18 the lowest value since the beginning of the slump. The research objective is to determine the discrepancies both during the plunge and the growth of the share prices of companies operating in various industries. In the analysis the encoding of the explanatory variable –1;0;1 will be used which allows to compare the risk or odds of the analyzed industries with the average risk or odds for all the groups. The study covers the period of 2008−2009. In February 2009 the WIG fell by 60% in comparison to its value at the beginning of 2008 and after six months it grew by 80%. That is why the authors, using the logit model, examine the risk of individual companies’ share prices falling by 60% and the odds of an 80% rise of these prices in relation to their minimum value, whereas the interpretation of the Cox regression model parameters will help to find out in which industries the share prices recovered the soonest.

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