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Poland’s Trade with East Asia: An Outlier Approach

100%

Tseng S.-M.

Folia Oeconomica Stetinensia

2015

vol. 15

issue 2

81-100

Poland achieved an excellent reputation for economic transformation during the recent global recession. The European debt crisis, however, quickly forced the reorientation of Poland’s trade outside of the European Union (EU), especially toward the dynamic region of East Asia. This study analyzes time series data from 1999 to 2013 to detect outliers in order to determine the bilateral trade paths between Poland and each East Asian country during the events of Poland’s accession to the EU in 2004, the global financial crisis from 2008 to 2009, and the European debt crisis from 2010 to 2013. From the Polish standpoint, the results showed significantly clustering outliers in the above periods and in the general trade paths from dependence through distancing and improvement to the chance of approaching East Asian partners. This study also shows that not only China but also several other countries present an excellent opportunity for boosting bilateral trade, especially with regard to Poland’s exports.

Impact Of Financial Crisis On Hedging Effectiveness Of Futures Contracts: Evidence From The National Stock Exchange Of India

80%

Gupta K., Kaur M.

South East European Journal of Economics and Business

2015

vol. 10

issue 2

69-88

The present study examines the impact of the 2008 financial crisis on the hedging effectiveness of three index futures contracts traded on the National Stock Exchange of India for near, next and far month contracts over the sample period of January 2000 – June 2014. The hedge ratios were calculated using eight methods; Naive hedging, Ederington’s Model, Autoregressive Integrated Moving Average, Vector Autoregressive, Vector Error Correction Methodology, Generalized Autoregressive Conditional Heteroskedasticity, Exponential Generalized Autoregressive Conditional Heteroscedasticity and Threshold Generalized Autoregressive Conditional Heteroskedasticity. The study finds an improvement in hedging effectiveness during the post-crisis period, which implies that during the high-volatility period hedging effectiveness also improves. It was also found that near month futures contracts are a more effective tool for hedging as compared to next and far month contracts, which imply that liquidity is a more important determinant of hedging effectiveness than hedge horizons. The study also finds that a time-invariant hedge ratio is more efficient than time-variant hedging. Therefore, knowledge of sophisticated econometrical tools does not help to improve hedge effectiveness.

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1 Folia Oeconomica Stetinensia

1 South East European Journal of Economics and Business

1 Gupta K.

1 Kaur M.

1 Tseng S.-M.

2 2015

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Poland’s Trade with East Asia: An Outlier Approach

Impact Of Financial Crisis On Hedging Effectiveness Of Futures Contracts: Evidence From The National Stock Exchange Of India