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1

COVID-19 AND THE STOCK MARKETS: A GLANCE AT THE INITIAL EFFECTS OF THE PANDEMIC

100%
Sorić P.
Ekonomický časopis (Journal of Economics)
|
2021
|
vol. 69
|
issue 5
472 – 493
EN
The COVID-19 pandemic and consequent economic lockdown have triggered unprecedented economic uncertainty. The financial markets responded instantly, pricing in the uncertainty boom. This paper assesses the impact of anti-COVID social distancing measures on stock markets across the globe. Analysing 60 world economies in a panel vector auto-regression framework, we find that the stringency of social distancing interventions has a negative effect on market returns, but its character is strictly transitory and it fades away within 7 days. The magnitude of the pandemic in terms of recorded disease cases and deaths reveal a very similar pattern, causing a significant, but short-lived decline of stock prices. Our estimates reveal a considerable asymmetry in the identified interrelationships. Less developed markets seem to respond to the economic lockdown more intensively than highly developed economies.
2

NEWS ABOUT COVID-19: UNRAVELING THE MARKET REACTIONS AND INVESTOR SENTIMENT ACROSS DIFFERENT STOCK EXCHANGES

100%
Albrecht P., Maršálková L., Dorňák P.
Ekonomický časopis (Journal of Economics)
|
2023
|
vol. 71
|
issue 4-5
281 – 299
EN
This paper examines the impact of news regarding the spread of the coronavirus on stock market returns. We investigate this impact across different geographical regions and behavioural aspects through regression analysis. Specifically, we explore the relationship between stock returns and factors such as investors’ attention, the number of new positive COVID-19 cases and deaths, and government measures implemented during the pandemic. Our findings reveal that news concerning new deaths associated with the virus and attention towards the vaccine significantly affected stock markets in Europe, the United States, and globally. Notably, these effects were observed prior to the approval of the first vaccine. However, our analysis does not confirm these results for the Japanese and Chinese stock markets. As a result, we argue that the Japanese stock market presents an opportunity for diversification during similar shocks. These findings contribute to a deeper understanding of the dynamics between public health crises and financial markets.
3

Strukturno-funktsional'ni deformatsiyi na fondovomu rynku Ukrayiny: modelyuvannya metodom iyerarkhiy

100%
Kalach A. N., Mamonova A. V.
Mekhanizm Rehuluvannya Economiky
|
2014
|
vol. 1 (63)
99-109
EN
The stock market of Ukraine was formed as a result of inversion type of system transformation. Inversion type of transformation fundamentally changes the previous trajectory of development, characterized by ambiguity and contradiction. The complex interactions of old informal institutions that bear the signs of the past economic experience, with new formal institutional framework have led to internal structural and functional differences in the stock market. Those contradictions require in-depth consideration with a view to developing proposals for the further development of the stock market. By the methods of hierarchy identified causal links structural-functional imbalances in the stock market and defined the key factors that reduce the efficiency of the market.
4

BEHAVIOURAL BIASES AND STOCK MARKET REACTION: EVIDENCE FROM SIX POST-COMMUNIST COUNTRIES

100%
Trifan R.
Ekonomický časopis (Journal of Economics)
|
2020
|
vol. 68
|
issue 8
811 – 826
EN
This article investigates the relationship between several behavioural biases and stock market reactions. We analyse six post-communist countries (Romania, Poland, Hungary, Slovenia, the Slovak Republic and the Czech Republic) for the January 2012 – September 2019’ time period. We test for any effect of different measures used in behavioural finance literature (investors’ optimism, respectively pessimism, spontaneous behaviour and the anchoring effect) on stock market’s trading volume. Our empirical findings suggest that judgement and emotions is a significant driver of the stock market, not all market players acting rationally when investing. Investors are susceptible to behavioural biases which influence significantly their decision making process. Polish investors are pessimistic individuals, while in Romania, Hungary and the Czech Republic the optimistic sentiment exercises a greater influence on the trading activity. Spontaneous behaviour characterizes the Romanian, Hungarian and Slovak investors. Lastly, the anchoring effect is found significant in 5 out of 6 countries analysed, no effect being observed in the Czech Republic.
5

STOCK MARKET PRICE INDICES MODELLING BY A SMALL SCALE BAYESIAN VAR: THE CASE OF BRITISH FTSE AND GERMAN DAX INDEX

100%
Bikár M., Hodula M.
Ekonomický časopis (Journal of Economics)
|
2016
|
vol. 64
|
issue 8
737 – 750
EN
This article examines the behaviour and responses of stock market indices to various macroeconomic determinants by using small scale Bayesian VAR model. Our objective is to investigate the extent to which various macroeconomic shocks contribute to changes in stock market conditions. We focus on the German DAX 30 index and British FTSE 100 indices which serve as indicators for the development of the German and British economy as well as an illustration to evaluate the performance of the model. We have confirmed the general view that BVAR model outperforms a standard VAR model when the forecasting accuracy improved from 5% to 12%. We have also confirmed that any increase in risk-premium negatively influences stock markets in both case studies. However, the structure of the economies and capital also makes a difference, as found from different market reactions to supply shock.
6

WHAT DRIVES THE STOCK MARKET INTEGRATION IN THE CEE-3?

100%
Výrost T., Baumöhl E., Lyócsa Š.
Ekonomický časopis (Journal of Economics)
|
2013
|
vol. 61
|
issue 1
67 – 81
EN
In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis has affected time-varying correlations between certain stock markets more substantially than the entry of the CEE-3 into the EU. The results of our analysis of the effects of these macroeconomic factors were inconclusive. Only our proxy of exchange rate risk was significant in all cases, with positive effects on integration, thus supporting the presence of contagion among different markets.
7

Efektywność wybranych funduszy inwestycyjnych rynku akcji w okresie hossy i bessy

88%
Jamróz P.
Optimum. Studia Ekonomiczne
|
2012
|
issue 6(60)
35-51
EN
The aim of the article is to evaluate the investment efficiency of stock market’s open-end mutual funds in bull and bear periods. The research was conducted using Sharpe, Treynor and Jensen's measures for 15 equity open-end mutual funds between January 2003 and December 2011. The ranking of funds for bull and bear periods at the Warsaw Stock Exchange was constructed on the basis of established ratios.
8

THE PROBLEMS OF UKRAINIAN STOCK MARKET DEVELOPMENT IN CONTEXT OF FINANCIAL GLOBALIZATION (Problemy rozvytku fondovoho rynku Ukrainy v umovakh finansovoi hlobalizatsii)

88%
Gritsenko L. L., Roienko V. V.
Mekhanizm Rehuluvannya Economiky
|
2010
|
vol. 2 (46)
168-175
EN
The contemporary problems of Ukrainian stock market in the context of its integration into the global stock market are conducted in the article. The author presents the main ways of development and effective functioning of the domestic stock market in financial globalization.
9

STOCK MARKET CORRELATIONS AND THE BUSINESS SENTIMENTS: EVIDENCE FROM THE US AND GERMANY

88%
Gao R., Zhang B., Liu H.
Ekonomický časopis (Journal of Economics)
|
2018
|
vol. 66
|
issue 4
396 – 415
EN
We analyse the correlations between the US and German stock markets and study the influences of the US and German business sentiments on the correlations. On the whole, high US business sentiment increases the correlations, while low US business sentiment decreases the correlations. However, the German business sentiment has virtually no influence on the correlations. The correlations are joint positive-type asymmetric, although the asymmetry is not statistically significant. Both the asymmetry in the correlations and the influences of the business sentiments on the correlations had structural breaks caused by the advent of the Euro and the recent financial crisis.
10

Stock Market Reactions to the Announcements and Executions of Stock-Splits and Reverse Stock-Splits

75%
Jamróz P., Koronkiewicz G.
Optimum. Studia Ekonomiczne
|
2013
|
issue 5(65)
34-50
EN
The aim of this paper is to analyze the stock market investors reactions to the events of announcement and execution of stock-splits and reverse stock-splits carried out on Warsaw Stock Exchange (WSE) during the period 2004-2012. The study puts the emphasis on the differences between market reactions to standard stocksplits and reverse stock-splits. The results presented in this paper are based on the methodology of event study. The studied data sample consists of 45 instances of stock-splits and 6 instances of reverse stock-splits that took place on WSE in the specified period of time. Results obtained suggest no statistically significant reaction to the events of: split announcement, split execution and reverse split execution and a statistically significant (mostly negative) reaction to the event of reverse split announcement. Although some anomalies can be observed on close inspection of the data, in general the obtained results can be interpreted as evidence of investors' rationality with regards to events connected with stock-splits on the WSE.
11

IS THE INCREASE ON SMES’ ACCESS TO FINANCE IN THE CAPITAL MARKETS UNION CONTEXT REAL? AN EMPIRICAL INVESTIGATION

75%
Barbu T. C., Bacur R. C., Cepoi C. O., Strǎchinaru A. I.
Ekonomický časopis (Journal of Economics)
|
2019
|
vol. 67
|
issue 3
245 – 263
EN
The aim of this paper is to identify whether small and medium enterprises, i.e. SMEs’ access to finance can increase given the context of Capital Markets Union (CMU) project. For this purpose, identifying the main drivers of SMEs’ access to different types of financing having the SMAF index as proxy is a matter of great importance. Based on a panel of sixteen European countries we have performed a threshold analysis via PSTR methodology that reveals some very interesting facts. First of all, we have found strong empirical evidence of a threshold effect with stock market capitalization as threshold variable when studying the dynamics of the SMAF index. When the capitalization is lower than 35.34%, a large series of macroeconomic variables like interest rate spreads, GDP per capita, inflation rate, unemployment or cost/revenues ratio generate a powerful influence when it comes to finance a SME. When stock market capitalization exceeds the threshold, a different story is narrated and the existence of other directions of influence is visible. Hence, our results suggest that the CMU project with all its initiatives and impact measures will not facilitate SMEs’ access to finance in developed capital markets with stock market capitalization below the threshold level of 35.34%.
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