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Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets

100%
Boateng E., Asafo-Adjei E., Gatsi J. G., Gherghina Ş. C., Simionescu L. N.
Oeconomia Copernicana
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2022
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vol. 13
|
issue 3
699-743
EN
Research background: The contagious impact of the COVID-19 pandemic has heightened financial market's volatility, nonlinearity, asymmetric and nonstationary dynamics. Hence, the existing relationship among financial assets may have been altered. Moreover, the level of investor risk aversion and market opportunities could also alter in the pandemic. Predictably, investors in the heat of the moment are concerned about minimizing losses. In order to determine the level of hedge risks between implied volatilities in the COVID-19 pandemic through information flow, it is required to take into account the increased vagueness of economic projections as well as the increased uncertainty in asset values as a result of the pandemic. Purpose of the article: The study aims to examine the transmission of information between the VIX-implied volatility index for S&P 500 and fifteen other implied volatility indices in the COVID-19 pandemic. Methods: We relied on daily changes in the VIX and fifteen other implied volatility indices from commodities, currencies, and stocks. The study employed the improved complete ensemble empirical mode decomposition with adaptive noise which is in line with the heterogeneous expectations of market participants to denoise the data and extract intrinsic mode functions (IMFs). Subsequently, we clustered the IMFs based on common features into high, low, and medium frequencies. The analysis was carried out using Rényi transfer entropy (RTE), which allowed for the evaluation of both linear and non-linear, as well as varied distributions of the market dynamics. Findings & value added: Findings from the RTE revealed a bi-directional flow of negative information amid the VIX and each of the volatility indices, particularly in the long term. We found this behavior of the markets to be consistent at varying levels of investors' risk aversion. The findings help investors with their portfolio strategies in the time of the pandemic, which has resulted in fluctuating levels of risk aversion. Our findings characterize global financial markets to be "non-linear heterogeneous evolutionary systems". The results also lend support to the emerging delayed volatility of market competitiveness and external shocks hypothesis.
2
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Managing Resource-Saving Development of Agri-Food Enterprises in the Context of Food Security and Sustainability: Strategic Aspects

100%
Markina I., Somych N., Shkilniak M., Chykurkova A., Lopushynska O.
Central European Management Journal
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2021
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vol. 29(3)
114-135
EN
Purpose: The study’s purpose was to examine the management of agri-food enterprises’ resource-saving development to minimize potential imperfections in managing material and human resources and improve data quality. Materials and methods: A combined analysis was used to display the potential relationships between the agri-food sector achievements and basic indicators of natural resources’ sustainability and resilience to risks. The analysis covered Ukraine, Romania, and Poland. The analysis allowed for developing a general management scheme, including a management transformation comparative description in the economic growth context. Results: The study revealed that Ukraine is clearly not on the path to progress in manufacturing enterprises and agriculture, as most of its indicators do not meet global nutrition goals. At the same time, Ukraine remains an export-oriented country. Its agri-food enterprises’ activities focus on external markets, corresponding to the priorities of the country’s agricultural policy and sustainable development goals of the United Nations organization. Conclusion: The obtained results provide knowledge about and understanding of processes that occur in the agri-food enterprises’ organizational structure in countries with different development levels. The awareness of these processes is crucial for effective enterprise management in the resource conservation context.
3
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Uwarunkowania działalności jednostek turystycznych

58%
Nowakowska A.
Zeszyty Naukowe Małopolskiej Wyższej Szkoły Ekonomicznej w Tarnowie
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2009
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issue 3(14)
41-48
PL
W artykule omówiono uwarunkowania zewnętrzne działalności jednostek turystycznych, do których zostały zaliczone zmiany modelu życia i potrzeb społecznych oraz zjawiska i procesy charakteryzujące sferę gospodarki. Określone zostały również uwarunkowania wewnętrzne działalności, w których uwzględniono nowe tendencje w marketingowej koncepcji zarządzania, nowe zasady działania na rynku, innowacyjność, tworzenie wizerunku firmy i kształtowanie pozycji rynkowej.
EN
The article describes the external conditionings of tourist entities' operations, including changes in lifestyle and social needs as well as phenomena and processes characterising the sphere of economy. The article also identifies the internal conditionings of operations, taking into account new tendencies in the marketing management concept, new rules of acting on the market, innovativeness, crating the company image as well as shaping the market position.
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