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1

Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE

100%
Dębski W., Feder-Sempach E., Świderski B.
Folia Oeconomica Stetinensia
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2014
|
vol. 14
|
issue 2
270-286
EN
In the modern portfolio theory investment risk plays a crucial role. It is the subject of numerous studies and publications, in particular in relation to the management of investment portfolios. Commonly used measure of investment management in equities is a beta parameter, which is used to estimate individual stock risk and portfolio risk. In particular, numerous studies the subject of which are the beta parameter properties such as stability in the context of the stock market cycle phases, intervalling effect, length estimation sample etc. The main objective of this paper is to investigate the intervalling effect on the beta parameter. The empirical analysis is carried out for the 33 largest companies of the Warsaw Stock Exchange (WSE) on a sample from the years 2005 to 2012 on the basis of daily, weekly and monthly rates of return. Statistical verification of the hypothesis of the importance of the frequency measuring the return of shares will be based on the single-index Sharpe’s model.
2

Two Effects of the European Financial Crisis

72%
Saucedo Acosta E. J., Rullán Rosanis S.
Business Systems Research Journal
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2014
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vol. 5
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issue 2
46-60
EN
Background: The European financial crisis has affected most of the EU member states, and European institutions have had to create new financial instruments to counter the impact. Most effects in the economic and political spheres can be attributed to high unemployment and changes in governments in peripheral countries (Greece, Ireland, Portugal, Spain and Romania). Objectives: The aim of this paper is to demonstrate the economic and political effects of the European financial crisis in some peripheral countries that have implemented austerity policies. Methods/Approach: The methodology used is mixed: an analysis of the primary economic variables of the selected countries in comparison to those of countries with low-risk premium was performed, and the relation between the bailouts and elections was presented. Results: The exacerbation of the crisis in the Eurozone is mainly due to the high political costs of austerity measures and not the high level of public spending and/or the alternations in the governments of peripheral countries. Conclusions: The European financial crisis is primarily a result of weak economic governance, and its effects are differentiated. The peripheral countries possess the highest rates of unemployment, and there is a higher tendency towards political instability in rescued countries.
3

What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure

72%
Karkowska R.
Folia Oeconomica Stetinensia
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2014
|
vol. 14
|
issue 2
114-124
EN
We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank’s capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes.
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