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Cross Market Dependencies. The Analysys of Selected Investment Strategies

100%
Wojciechowski L.
Studia Prawno-Ekonomiczne
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2017
|
vol. 102
323-336
EN
The relationship between capital markets is important topic both from a theoretical and practical point of view. This problem is usually considered on the basis of market efficiency theory and ability to predict future price of financial instruments basing on historical data. In this article we verify the hypothesis states the higher susceptibility and predictability of capital markets in emerging economies compared with developed countries against the situation on the world’s largest stock exchanges. The impact of changes on American Stock Exchange (DJIA) and Japanese (NIKKEI) on the German (DAX) as well as Polish (WIG) stock exchange is investigated. Empirical research in the period 2012–2014 includes, among others, correlation, Granger causality analysis and co-integration in order to determine short-term and long-term relationship between individual time series. We proposed 6 investment strategies based on interdependencies between these markets and rated them in terms of effectiveness in predictive ability meaning.
PL
Zależności między rynkami kapitałowymi stanowią ważny zarówno z teoretycznego, jak i praktycznego punktu widzenia obszar badawczy. Zagadnienie to rozpatrywane jest najczęściej na gruncie teorii efektywności rynku, możliwości skutecznej predykcji przyszłych cen instrumentów finansowych na podstawie danych historycznych. W artykule postanowiono zweryfikować hipotezę zakładającą wyższą podatność i przewidywalność rynków kapitałowych w krajach rozwijających się jak Polska w porównaniu z krajami rozwiniętymi na tle sytuacji na największych światowych giełdach. Rozważaniu poddano wpływowość giełdy amerykańskiej (indeks DJIA) oraz japońskiej (indeks NIKKEI) na giełdę niemiecką (indeks DAX) oraz polską (indeks WIG). Badanie empiryczne za okres 2012–2014 obejmowało m.in. analizę korelacji, przyczynowości w sensie Grangera i kointegracji w celu określenia zależności krótkookresowych i długookresowych. Zaproponowano 6 strategii inwestycyjnych bazujących na współzależnościach międzyrynkowych i oceniono je efektywność pod kątem zdolności predykcyjnej, co stanowiło cel niniejszego artykułu.
2
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Empirical Verification of Dynamic Dependences Between Productivity and Economy Openness. The Case of Visegrad Countries

100%
Wojciechowski L.
Przedsiębiorczość - Edukacja
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2016
|
vol. 12. Przedsiębiorczość jako czynnik rozwoju układów lokalnych
149-162
EN
This study analyses one of the main postulates of the Endogenous Growth Theory, that suggests that international trade openness is capable to speed up growth-impacting productivity. ADF stationary tests, Johansen co-integration test and Vector Error Correction Model (VECM) procedures are applied on a yearly data set covering the period 1995–2014. Data for individual V4 countries were also compared with EU-15 benchmark. The main finding of the paper is that for all V4 countries there exists a long term relationship between economy openness and labour productivity and in case of Hungarian economy in the Granger sense – causality is one-directional and runs only from productivity to openness. It suggest, that the Endogenous Growth Theory in this case is no longer supported nevertheless further and deeper investigation is needed. Although huge differences in case of openness between V4 countries exist, strong positive linear correlation with productivity is observed. Also disturbing secondary result of conducted research is that however convergence in case of productivity between V4 and EU-15 is observed, assuming the current rate of catching-up (apart from existence of saturation level of productivity), EU-15 and V4 average productivity would equal in 6 decades.
3
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Determinants of inward FDI into Visegrad countries: empirical evidence based on panel data for the years 2000–2012

63%
Wach K., Wojciechowski L.
Economics and Business Review
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2016
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vol. 2(16)
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issue 1
34-52
EN
The purpose of this article is to explain which factors are important determinants for allocating FDI in the Visegrad Group countries (the Czech Republic, Hungary, Poland, Slovakia) by investors from the “old” EU member states. The article is divided into three main sections, except for the introduction and the final conclusions. First, we discuss the literature on the determinants of FDI. In Section 2 we introduce the applied research methodology. Finally in (Section 3), we present and discuss the empirical results. We selected 13 variables which were used in the estimation of the panel models, they include core gravity model variables such as the economy size (home and host nominal GDP per capita), geographical distance as well as augmented gravity model variables such as access to the sea and/or a common border. We also selected five efficiency-seeking variables (labour productivity, unemployment rate, minimum wage, corporate tax rate, investor protection index) as well as two membership variables (EU, EMU). Adding such variables as “common V4 border”, “EMU membership” or “protection index” seems to offer a novel approach. FDI from EU-15 countries are allocated in V4 countries more because of the home and host market potential measured by GDP so they can be classified as pure mark-seeking horizontal FDI. Currently investors from the mature EU-15 countries, whilst allocating FDI in V4 countries rather do not seek efficiency (as before), but the short distance is more important for them (than it used to be before the accession).
4
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Inward FDI and entrepreneurship rate: Empirical evidence on selected effects of FDI in Visegrad countries

63%
Wach K., Wojciechowski L.
Journal of Economics and Management
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2016
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vol. 24
42-54
EN
The main objective of the article is to verify the impact of inward FDI on domestic entrepreneurship in four Visegrad countries in the years 2000-2012. The reliable sources of data were used, among them statistical data of Eurostat, and UNDP. The relationship between FDI and entrepreneurship can be confirmed as basing on the OLS regression there is a statistically significant positive correlation between the stock FDI and the entrepreneurship rate, however the impact of FDI was different in different analysed countries – the strongest in Slovakia, while the weakest in Hungary.
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