SECTORAL DIFFERENTIATION OF THE INTERVAL EFFECT DURING THE COVID-19 PANDEMIC-THE CASE OF THE WSE

This study primarily aims to verifying whether the interval effect was evident in the beta coefficients (13) of the stock values of the companies listed on the Warsaw Stock Exchange (WSE) during the COVID-19 pandemic, and if so, whether this was due to the macrosectoral affiliation of these companies. The 13 coefficient is calculated using the ordinary least squares method (OLS) on a sample of issuers grouped in the following indices: WIG20, mWIG40 and sWIG80. When the 13 values are estimated for the above time horizons are analyzed for the COVID-19 pandemic years, the interval effect is ob- servable for the finance, industrial, construction and assembly production macrosectors. Interestingly, prior to the pandemic, the 13 values of the stock values in these industries did not significantly differ statistically when the time horizon was changed. The interval effect in the years preceding the COVID-19 pandemic is recorded for the health care and trade and services macrosectors. The research results show that the COVID-19 pandemic affected the sectoral differentiation of the interval effect. The statistical significance of the differences in 13 estimates affected other macrosectors more during the COVID-19 than it had in the years preceding it.