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1

Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

100%
Agić-Šabeta E.
Business Systems Research Journal
|
2016
|
vol. 7
|
issue 1
59-80
EN
Background: In today’s highly volatile and unpredictable market conditions, there are very few investment strategies that may offer a certain form of capital protection. The concept of portfolio insurance strategies presents an attractive investment opportunity. Objectives: The main objective of this article is to test the use of portfolio insurance strategies in Southeast European (SEE) markets. A special attention is given to modelling non-risky assets of the portfolio. Methods/Approach: Monte Carlo simulations are used to test the buy-and-hold, the constant-mix, and the constant proportion portfolio insurance (CPPI) investment strategies. A covariance discretization method is used for parameter estimation of bond returns. Results: According to the risk-adjusted return, a conservative constant mix was the best, the buy-and-hold was the second-best, and the CPPI the worst strategy in bull markets. In bear markets, the CPPI was the best in a high-volatility scenario, whereas the buy-and-hold had the same results in low- and medium-volatility conditions. In no-trend markets, the buy-and-hold was the first, the constant mix the second, and the CPPI the worst strategy. Higher transaction costs in SEE influence the efficiency of the CPPI strategy. Conclusions: Implementing the CPPI strategy in SEE could be done by combining stock markets from the region with government bond markets from Germany due to a lack of liquidity of the government bond market in SEE.
2

Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

100%
Škrinjarić T., Šego B.
Business Systems Research Journal
|
2016
|
vol. 7
|
issue 2
78-90
EN
Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time. Objectives: This study utilizes MGARCH methodology on Croatian financial markets in order to enhance portfolio selection on a daily basis. Methods/Approach: MGARCH methodology is applied to the stock market index CROBEX, the bond market index CROBIS and the kuna/euro exchange rate in order to model the co-movements of returns and risks on a daily basis. The estimation results are then used to form successful portfolios. Results: Results indicate that using MGARCH methodology (the CCC and the DCC model) as guidance when forming and rebalancing a portfolio contributes to less portfolio volatility and greater cumulated returns compared to strategies which do not take this methodology into account. Conclusions: It is advisable to use MGARCH methodology when forming and rebalancing portfolios in terms of portfolio selection.
3

The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM

100%
Urbański S., Jawor P., Urbański K.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 2
163-178
EN
Oryginality and objective – Research on the pricing of stocks listed on developed markets shows inexplicable deviation from the pricing that could be observed with CAPM validity. A similar anomaly is found on the Polish market. Reasons for inconsistent pricing with CAPM are unknown, and they are the main objective of this research. Method – The study is conducted using stocks listed on the Warsaw Stock Exchange in 1995–2012. Quintile stock portfolios are formed on the basis of strategies widely used by investors. The study is carried out in several modes. In the subsequent modes penny stocks with the market values below 0.5, 1.5, 5.0 and 15.0 PLN are eliminated. Results – It is conjectured that both penny stocks and improper procedures for the test portfolios forming contribute to inconsistent stock pricing in light of the CAPM. The studies show that results are in line with the extended conjectures. Also, study results indicate that speculative stocks are mostly penny stocks, however, it is not possible to explicitly state that penny stock are speculative.
4

Intuitionistic Assessment Of Behavioural Present Value*

100%
Piasecki K.
Folia Oeconomica Stetinensia
|
2014
|
vol. 13
|
issue 2
49-62
EN
The article discussesd the impact of chosen behavioural factors on the imprecision of present value assessment. The formal model of behavioural present value is offered as a result of this discussion. The behavioural present value is described here as an intuitionistic fuzzy set. The significance of the replacement of a fuzzy set by an intuitionistic fuzzy set is proved.
5
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Ocena atrakcyjności inwestycji w akcje spółek społecznie odpowiedzialnych na podstawie indeksu RECPECT

100%
Gołaszewska-Kaczan U., Kilon J., Marcinkiewicz J., University of Bialystok, Bialystok University of Technology, University of Bialystok, ulakaczan@o2.pl, jaroslaw.kilon@gmail.com, marcinkiewicz_j@o2.pl
Annales. Etyka w Życiu Gospodarczym
|
2016
|
vol. 19
|
issue 3
EN
In both theory and practice, it is emphasised that engaging in CSR actions brings many benefits to companies. One of the commonly listed advantages is more trust from investors, which enables the achievement of superior returns from securities issued by socially responsible firms. The paper endeavours to investigate whether this benefit can be also noticed among businesses in the Polish index of socially responsible companies RESPECT. The study involves firms included in the RESPECT index from its inception (November 2011) to the end of 2015. The authors compared the RESPECT index with selected Polish market indices between 2009 and 2015. Empirical studies, based on an analysis of returns, risk, dividend yields and shareholder structure, facilitated the assessment of the attractiveness of investments in the shares of socially responsible businesses against the background of other firms quoted on the Warsaw Stock Exchange.
6
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Rynek Neuer Markt: droga od sukcesu do porażki

84%
Woś S., Uniwersytet Ekonomiczny w Poznaniu
Ekonomia Międzynarodowa
|
2015
|
vol. 011
PL
Celem artykułu jest zaprezentowanie niemieckiego rynku NeuerMarkt, jego struktury, dynamicznego rozwoju w latach 1997–2003 oraz głównych przyczyn upadku. Analizie poddano ramy prawne funkcjonowania rynku, indeksy giełdowe, główne kryteria dopuszczania akcji do obrotu, a także wybrane obowiązki informacyjne ciążące na emitentach. Do źródeł porażki niemieckiego alternatywnego systemu obrotu zalicza się pęknięcie tzw. bańki internetowej, które doprowadziło do spadku cen akcji. Do upadku przyczyniły się również liczne skandale i bankructwa notowanych na giełdzie spółek, a także zaostrzenie przez Deutsche Börse AG kryteriów wejścia na rynek. Przeprowadzone obserwacje mogą zostać wykorzystane podczas analizy innych alternatywnych systemów obrotu, np. polskiego rynku NewConnect.
EN
The aim of the article is to show the functioning of NeuerMarkt and the main factors and reasons of the fall of the German NeuerMarkt. It characterizes the German stock exchange market during 1997–2003. The objective has been achieved with the analysis of the Neuer Markt legal framework, IPO emission requirements, selected (informational) statements demanded from issuers, delisting procedures, and a study of stock indexes. Furthermore Neuer Markt has been evaluated in cross reference with dynamic growth, downward phases and market structure. The main reason behind the termination of the Neuer Markt is theburst of the Internet bubble which contributed to the drastic drop in market share prices. Moreover, scandals around cited companies and tightened entry criteria implemented by the Deutsche Börse had a negative influence on the NeuerMarkt situation. Observations noted in the research can be used in analysis of the alternative markets’ current situation, e.g. the Polish alternative market NewConnect. The article presents the main errors and oversights made during the operation of the functioning which contributed to its fall in 2003. Research of foreign literature, press articles and the Frankfurt Stock Börse publications has been applied.
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