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HenrykGurgul,RobertSyrek
aconsequence,thebenefitsofdiversificationbecomelower.Financialmarketsthrough-
outtheworldbecomesystemicallymoreunstable.
Investorsactinginemergingstockmarketsobservenotonlyreturns,butalsothe
riskcharacteristicsofstockpricesinthesemarkets.Moreover
,inordertomakelarger
profits,investorstrytodetectsignsofinformationalinefficiencyinthesemarkets.In
existingcontributionsresearchersareconvincedthatemergingmarketsaresomewhat
specificandtheirbehaviorisrathercomplex.Thiscomplexityisdeterminedbyanum-
beroffactors.Empiricalinvestigationsallowforbetterunderstandingofthefactors
thatimpactonreturnsandriskinthesemarkets,whichgrewquicklybeforethepan-
demic.Stockindexesandsubindexesareusedintestingformarketefficiency.Thisis
veryimportantincasesofhighmarketconcentration.
Moststudiesthatexaminetherelationshipbetweenindexesuseindexesacross
countries.Theresultsofthiskindofanalysismayappearmisleading.Thereasonisthat
thestockmarketindexesofdifferentcountriesmaybeimpactedbymonetaryandfiscal
policyshocks.Theirsourcesmaybethedifferingpolicyoftherespectivegovernments.
Moreover
,thespecificstructuralproblemsofeachcountrydeterminethedomesticin-
dexes.Thus,usingdata(subindexes)fromasinglecountryallowstheeffectsofdifferent
policiesandstructuralshocksonstockmarketindexes(subindexes)tobeeliminated.
Therefore,itispossibletoanalyzethedevelopmentofstockmarketsubindexesover
time.Researcherscanassesstheroleoffundamentalsinvarioussectors.
Inouropiniontheanalysisofthebehaviorandinterrelationbetweenthesubin-
dexesinatimeofpandemicwillessentiallyhelptofindtheroleofthemajorsectorsof
thePolisheconomyindeterminingthebehaviorandleveloftheefficiencyoftheWSE.
TheresultsofaninvestigationoftheinterrelationbetweenthemajorWIGsubindexes
areimportantforindividualandinstitutionalinvestors.Thisknowledgeisaprecondi-
tionfortheproperdiversificationoftheirportfolioswhilemakinganinvestmentonthe
WarsawStockExchange.Thelackornegligiblecorrelationbetweenthesesubindexes
isaverydesirableproperty.Inthiscasebenefits,especiallyriskreduction,resultfrom
portfoliodiversificationbetweentheseindexedassets.
Theempiricalresultswillhelptorespondtosomequestionsconcerningdifferent
problems.Thefirstquestionissimilarityversusdissimilarityinthebehaviorofsubin-
dexesbeforeandaftertheoutbreakoftheCOVID-19pandemic.Thesecondquestionis
possibleinterreactionbetweentheminthetimeperiodunderinvestigation.Thethird
questionconcernscheckingtheapplicabilityofthemethodologyΔCoVaR.Inthenext
sectionofthispaperweshallprovideanoverviewofthechosencontributionsthatdeal
withthedependenceofsubindexesandapplicationsofthemethodologyΔCoVaRand
DCC-copulasinordertoassesstherelationsshipsbetweenstocksubindexes.
2.Literaturereview
ThepaperbyHiggins(1988)wasoneofthefirstconcerningthedependencebe-
tweenstockmarketindexes.Theauthorprovedthatananalysisoftheseinterrelations
