Search results

1

SELECTION OF WORKING DATABASE FOR THE GENETIC ALGORITHM PROCESSING DATA OF EXCHANGE QUOTATIONS

100%

Wojarnik G.

Information Systems in Management

|

2016

|

vol. 5

|

issue 2

294-304

EN

The aim of this article is to carry out a comparative analysis of the performance of databases: SQLite, MS SQL Server 2014, Firebird 2.5 Server and Firebird 2.5 Embedded with the use of the object-relational mapping library ServiceStack.Ormlite and IDBCommand interface in Visual Studio with the use of C# programming language within the framework of .Net Framework 4.5 platform. The selected database will serve in the future as a data store for the operation of a genetic algorithm, which role will be processing of stock market data. Test data is daily data of stock quotations of the stock exchange downloaded from bossa.pl on 6.06.2015.

2

APPLICATION OF ARTIFICIAL NEURAL NETWORK SUPPORTING THE PROCESS OF PORTFOLIO MANAGEMENT IN TERMS OF TIME INVESTMENT ON THE WARSAW STOCK EXCHANGE

100%

Halicki M., Kwater T.

Metody Ilościowe w Badaniach Ekonomicznych

|

2014

|

vol. 15

|

issue 2

307-316

EN

The paper presents the use of artificial neural networks as a tool expert, which supports decision-making for the quarterly period investing on the stock exchange. The authors also proposed a set of 12 features of the economy and the stock market, which has a universal character so that the approach presented in the publication of this configuration data can be useful for any chosen market. Tests were carried out on the basis of actual data from WSE (GPW in Warsaw) and the Polish economy.

3

Operations of Deutsche Börse and the role of the German stock exchange in relation to several European stock exchanges

100%

Czupryn R.

Central European Review of Economics & Finance

|

2021

|

vol. 34

|

issue 3

13-32

EN

This article analyzes the operation of the German stock exchange on the basis of applicable national regulations, directives of the European Parliament and the adopted manner of operation of the entity in accordance with the information contained on the official website of the stock exchange. The following part of the article presents a comparative analysis of fifteen European stock exchanges. The comparative criterion was the achieved results concerning the offered financial instruments. The study was conducted on the basis of data from the Federation of European Stock Exchanges covering the state at the end of January 2021.

4

Konkurencyjność spółek notowanych na GPW w świetle koncepcji teoretycznych

100%

Niedźwiecki A.

Zeszyty Naukowe Ostrołęckiego Towarzystwa Naukowego

|

2011

|

vol. Zeszyt

|

issue XXV

513-526

EN

This article presents the theoretical concepts concerning the competitiveness of companies listed on the Stock Exchange in Warsaw. On the basis of the literature indicated such internal and external conditions for the competitiveness of the public entity. It was pointed out that “only very presence” on the WSE is not enough to achieve adequate competitive position.

PL

W niniejszym artykule zaprezentowano koncepcje teoretyczne dotyczące konkurencyjności spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie. Na podstawie badań literatury przedmiotu wskazano m.in. wewnętrzne i zewnętrzne przesłanki konkurencyjności podmiotu publicznego. Dowiedziono, iż „sama jedynie obecność” na GPW nie jest wystarczająca dla wypracowania odpowiedniej pozycji konkurencyjnej.

5

Modelling the Employment Structure in Public Companies for a Small Sample

100%

Tarczyński W., Gazińska M.

Folia Oeconomica Stetinensia

|

2008

|

vol. 7

|

issue 1

33-44

EN

The analysis of employment structure is a very important issue in the companies and it is connected with many factors in the company and on the market. An interesting issue is whether labour efficiency affects economic and financial performance of the company and the whole market. In the case of any statistical regularities concerning this issue it is necessary to allow for the variables related to employment, e.g. in the analyses of listed companies. It is a particularly important matter in Poland where the ownership transformations and transition to market economy have resulted in major changes in employment in individual companies. The main goal of the paper is an analysis of the structure of companies by their group labour productivity in homogenous groups of listed companies, the so called megasectors, in relation to their economic and financial condition. The study refers to the period of 2000-2003 and includes 73 companies listed on the Warsaw Stock Exchange.

6

Different Variants of Fundamental Portfolio

100%

Tarczyński W.

Folia Oeconomica Stetinensia

|

2014

|

vol. 14

|

issue 1

47-62

EN

The paper proposes the fundamental portfolio of securities. This portfolio is an alternative for the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI1 synthetic measure and, in limiting conditions, the use of risk and the portfolio’s rate of return in the objective function. Different variants of fundamental portfolio have been considered under an empirical study. The effectiveness of the proposed solutions has been related to the classic portfolio constructed with the help of the Markowitz model and the WIG20 market index’s rate of return. All portfolios were constructed with data on rates of return for 2005. Their effectiveness in 2006- 2013 was then evaluated. The studied period comprises the end of the bull market, the 2007-2009 crisis, the 2010 bull market and the 2011 crisis. This allows for the evaluation of the solutions’ flexibility in various extreme situations. For the construction of the fundamental portfolio’s objective function and the TMAI, the study made use of financial and economic data on selected indicators retrieved from Notoria Serwis for 2005.

7

Position of the warsaw stock exchange compared to the lse group and ceeseg (the first decade of the 21st century – selected parameters)

100%

Banaszczak-Soroka U.

Nauki o Finansach

|

2013

|

issue 3 (16)

51-63

EN

The beginning of the 21st century was a time of significant changes, which had an effect on stock exchanges in all regions of the world. Investors were under the influence of two slumps (2001 and 2007) on the one hand, and on the other they were optimistic because of the 2003-2007 bull market. Another characteristic trend were the numerous alliances and acquisitions of stock exchanges, including the creation of the CEESEG – a strong group of exchanges gathered around the Vienna Stock Exchange, which was the direct competitor of the WSE. The fusion of the stock exchanges in Vienna, Ljubljana, Prague and Budapest made the WSE’s struggle for supremacy in the region even harder. The analysis of parameters such as capitalization, value of turnover, liquidity ratio and concentration shows that the WSE is still behind the CEESEG.

8

Trends in the stock market and their price forecasting using artificial neural networks

100%

STRZELCZYK A., STRZELCZYK A.

Central and Eastern European Journal of Management and Economics (CEEJME)

|

2013

|

vol. 1

|

issue 2

155-164

EN

The article is devoted to the research of market trends in order to forecast stock prices on the basis of neuron networks. To demonstrate such a possibility the authors propose three networks for each considered trend. The article demonstrates that neuron networks can be an effective way to predict the market prices of shares.

9

Ukrainian Companies on the Warsaw Stock Exchange: Current State and Future Trends

100%

Perz P., Kaźmierkiewicz P., Dzyuma U., Harasym R., Bochenek P., Cebotari M.

Finansowy Kwartalnik Internetowy e-Finanse

|

2011

|

vol. 7

|

issue 4

100-147

EN

As a result of globalization trends many businesses are able to raise capital not only in their domestic market, but also abroad. Among the stock exchanges which have managed to attract foreign companies is the Warsaw Stock Exchange. Over the past few years many companies from Ukraine have chosen to be listed on the Warsaw Stock Exchange. This article provides an analysis of the conditions liked to raising capital for Ukrainian companies on the Polish Market.

10

Nasilenie zjawiska delistingu spółek na Giełdzie Papierów Wartościowych w Warszawie

89%

Rogowski W., Gemra K.

Kwartalnik Nauk o Przedsiębiorstwie

|

2019

|

vol. 53

|

issue 4

51-59

EN

The article was devoted to the phenomenon of delisting companies from the Warsaw Stock Exchange. The purpose of the article is to identify the reasons of leaving the Stock Exchange by issuers and to predict trends related to this phenomenon in the future. The article describes reasons found in the official materials of the WSE as well as other direct and indirect factors that influence withdrawal of companies from the stock exchange. In addition, the case study method was used, describing the tender offer for Prime Car Management shares and its regulatory consequences. Based on the analysis, it was found that the domestic Stock Exchange lost its attractiveness for companies from traditional industries and the phenomenon of deleting will continue to intensify with the simultaneous absence of new issuers debuting on the market. An opportunity for the WSE may be technology entities that obtain much higher pricing acceptable by investors.

PL

Artykuł dotyczy zjawiska delistingu spółek z Giełdy Papierów Wartościowych w Warszawie, a jego celem jest zidentyfikowanie przyczyn rezygnacji z giełdy przez emitentów. Została też podjęta próba przewidzenia tendencji dotyczących tego zjawiska w przyszłości. Scharakteryzowano przyczyny podawane w oficjalnych materiałach GPW, jak i zidentyfikowano inne czynniki, które bezpośrednio i pośrednio wpływają na wycofywanie spółek z giełdowego parkietu. Ponadto, zastosowano metodę case study opisującą wezwanie na akcje Prime Car Management i skutki regulacyjne, jakie wywołało to wezwanie. Na podstawie przeprowadzonej analizy stwierdzono, że warszawska giełda straciła swoją atrakcyjność dla spółek z tradycyjnych branż i zjawisko delistingu będzie nasilało się. Szansą dla GPW mogą być podmioty technologiczne, które uzyskują znacznie wyższe wyceny akceptowalne przez inwestorów.

11

Measuring of the Yield and Risk of Emerging Markets and Developed Stock Markets

88%

Radim G.

Littera Scripta

|

2013

|

vol. 1

30-39

EN

Financial analysts have recently paid more attention to so-called emerging markets that are slowly reaching the level of developed stock markets. The objective of this paper is to evaluate the level of yields and risk attributed to developed stock markets (USA, United Kingdom and Germany) and to emerging markets (Brazil is South America, Mexico in Central America, Hong Kong in Asia and Australia). These levels are set separately for the periods from 30 September 2004 to 30 September 2008 and from 30 September 2008 to 30 September 2012. The author compares the changes in levels between both periods and also development of the level of yields and risk within whole period of 12 months periodicity. The macroeconomic situation of these countries during selected period is monitored by means of GDP growth. The values of the stock indices are taken from major stock exchanges in these countries and bond yields are also used. Different standard deviations from the yield of the stock index, variation coefficients and Sharpe ratios are calculated. The author investigates to what extent it is true that higher yields can be achieved on emerging markets, but at the expense of a higher risk than on developed stock markets. Based on founded results it is clear that higher yields can be achieved on emerging markets at the expense of higher risk than on developed ones, but not in every case.

12

Wpływ popytu na akcje notowane na Giełdzie Papierów Wartościowych w Warszawie na płynność rynku

88%

Nawrot W.

Gospodarka Narodowa. The Polish Journal of Economics

|

2006

|

vol. 209

|

issue 7-8

59-81

EN

The author analyzes the demand for shares and attempts to determine its influence on the liquidity of the Warsaw Stock Exchange. The analysis was conducted by calculating and bringing together values of key importance to the liquidity of the market and investment activity on the Polish stock market. The analysis showed that the liquidity of the Polish stock market decreased in the analyzed period (1995-2005). First, there was a drop in the value of stock trades in relation to the market’s capitalization. Subsequently, there was a problem involving the substantial concentration of trade on the exchange. On the basis of this situation, attempts were made to check the demand side of the stock market, especially in the institutional investor segment. Analyses conducted by the author indicate that, as a result of a dynamic increase in pension and investment fund assets in 2000-2005, these institutions substantially increased the value of shares in their possession, withdrawing some of the stock from “active” turnover. Over the next few years, more than 40% of the assets invested by these institutions in stock were tied up in the portfolios of open-ended pension funds. However, in the years that followed, assets held by institutional investors were subject to decreased turnover. This seems to indicate that institutional investors could pose a threat to the market’s liquidity by channeling substantial assets to the domestic stock market in a situation in which the supply of shares was insufficient. However, a supplementary examination of the average turnover in WSE-listed shares, particularly those making up the market’s free float, revealed that the activity of institutional investors, though decreasing with each passing year, was several times higher than average investment activity on the stock market. In other words, transactions made by institutional investors were the key driving force behind the market’s liquidity in the analyzed period. Unfortunately, the positive influence of institutional investors decreased in 2003-2005, a period that saw a major increase in pension and investment fund assets. The insufficient-and continually decreasing-liquidity of the stock market, coupled with the dynamic development of the institutional investor segment, particularly pension funds, justifies worries over the liquidity and stable development of the Polish stock market.

13

The Effectiveness of the Transaction Systems on the Dax Index

88%

Trembiński M., Stawska J.

Finanse i Prawo Finansowe

|

2020

|

vol. 4

|

issue 28

149-174

EN

The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation.Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio).Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.

14

Badanie wpływu indeksów zmienności na zmiany współzależności pomiędzy wybranymi rynkami finansowymi

88%

Czapkiewicz A., Jamer P.

Econometrics. Ekonometria. Advances in Applied Data Analytics

|

2016

|

issue 3 (53)

87-101

EN

The study of interdependence and the strength of the relationship between finan-cial time series is a quite important area in the financial literature. Hence we discussed the relationships between the main stock indices. The multivariate distributions of returns we modelled basing on copula functions approach. In order to obtain some dynamics of multi-variate distributions we applied the hidden Markov chain. Additionally we assumed that the transition matrix of the Markov chain was dependent on some exogenous variables. The study shows that the volatility indices VIX and VSTOXX which were taken as exogenous variables improved model efficiency.

15

Exchange-traded products in Germany: development and substitution of exchange-traded funds, exchange-traded commodities and exchange-traded notes

88%

Marszk A.

Equilibrium. Quarterly Journal of Economics and Economic Policy

|

2018

|

vol. 13

|

issue 4

643-665

EN

Research background: Exchange-traded products (ETPs) are one of the most rapidly growing categories of financial products. Their fast development has been boosted by innovative features. Three main categories of ETPs are exchange-traded funds (ETFs), exchange-traded commodities (ETCs) and exchange-traded notes (ETNs). ETCs and ETNs remain least known, even though their number on some stock exchanges is high. In Europe, Germany is one of the largest and most active ETPs markets. ETCs and ETNs are debt instruments, in contrast with the most popular ETFs, which are equity securities. Therefore, they offer investors different advantages, but also expose them to other types of risks. Purpose of the article: The key aim of the article is to present the features of ETPs and to provide in-depth insight into the issues linked with the development of ETPs market in Germany, with the special emphasis on the ETCs and ETNs. Methods: In the main empirical part of the article, German ETPs market is analyzed using descriptive statistics and technological substitution framework (employed for the analysis of innovations in order to evaluate the changing market shares of, first, ETFs versus ETCs and ETNs, as well as, second, ETFs versus other types of investment funds). The period of the analysis is 2010?2016 in the former case and 2007?2016 in the latter. Findings & Value added: Share of ETPs other than ETFs in the total market in Germany remains low. Even though the market position of the leading products, i.e. ETFs, is still very strong, some substitution has been observed, especially after 2015. Predictions indicate that this trend will continue in the upcoming years. The results of the analysis of the investment funds? market confirm the substitution between ETFs and traditional investment funds over 2007?2017, in particular in the first years of this time period.

16

Capital Structure of Companies Listed at the Warsaw Stock Exchange and the COVID-19 Pandemic Effect on Their Risk

88%

Gajdka J., Szymański M.

Finanse i Prawo Finansowe

|

2021

|

vol. 4

|

issue 32

153-166

EN

Subject: The financial management of companies is examined in the context of the COVID-19 pandemic. Specifically, the relationship between their capital structure and risk changes during the pandemic is scrutinised. The purpose of the article: To determine how companies’ total, systematic and idiosyncratic risks changed during the COVID-19 pandemic depending on their capital structure based on a sample of organisations listed at the Warsaw Stock Exchange. Methodology: The study involves the use of a panel data regression model. Results of the research: The COVID-19 pandemic had an impact on the risk of overleveraged companies and underleveraged ones alike. Its influence on their total risk was weaker among the underleveraged organisations. Regarding systematic risk, its levels did not generally change significantly in the wake of the pandemic, but idiosyncratic risk, only in the case of the overleveraged companies increased statistically significantly.

17

Identification of global systemically important stock exchanges

88%

Karkowska R., Kravchuk I.

Equilibrium. Quarterly Journal of Economics and Economic Policy

|

2019

|

vol. 14

|

issue 1

31-51

EN

Research background: Increased regulations reducing systemic risk are essentially underpinned by the understanding of the global nature and sources of instability of the financial system. In the economic literature, there are many arguments presented by critical supporters and opponents of measuring and reporting global systemically important entities. Purpose of the article: In response to the requirements of regulators, the article seeks to identify systematically important regulated stock markets for selected global stock exchanges by developing a composite ratio. Additionally, it provides empirical evidence concerning their risk exploration. Methods: The proposed method uses weighted average values of indicators grouped in four categories: (1) market size, (2) cross-jurisdictional activity and interconnectedness, (3) substitutability, (4) complexity. The research covers stock exchanges, reported to WFE, spanning the period 2008?2017. Findings & Value added: The study finds that the problem of systemic risk on global stock exchanges is growing despite numerous prudential regulations. In order to obtain a more complete assessment of market systemic sensitivity, regulators should take into account a wider range of indicators and calculations such as cross-jurisdictional activity and market complexity.

18

The Effectiveness of the Transaction Systems on the Dax Index

88%

Trembiński M., Stawska J.

Finanse i Prawo Finansowe

|

2021

|

issue Numer Specjalny

159-184

EN

The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation. Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio). Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.

19

Dynamika współzależności warszawskiej Giełdy Papierów Wartościowych z innymi rynkami finansowymi

88%

Czapkiewicz A., Jamer P.

Econometrics. Ekonometria. Advances in Applied Data Analytics

|

2015

|

issue 2 (48)

100-113

EN

The aim of this article was the search of the dynamic of dependencies between WSE and other countries coming from Europe, America and Asia. The two-dimensional time series has been modeled by multidimensional GARCH process with dynamic condi-tional correlation or by Markov-switching Copula-GARCH model. The analysis confirms the claim that dependences between financial markets are higher in a period of crisis than during the prosperity time. The dynamic of relationships between Polish market and Euro-pean markets is bigger than the dynamic of relationships between Polish market and Ameri-can or Asian markets.

20

CONTEMPORARY NATURE OF STOCK EXCHANGE IN VIEW OF THE PROCESS OF DEMUTUALIZATION

88%

Rydzewska A.

Oeconomia Copernicana

|

2016

|

vol. 7

|

issue 1

49-62

EN

As part of the demutualization process, stock exchanges are transformed into the traditional membership structure (mutual) for entrepreneurial structure. The aim of the article is to analyze changes in the functioning of the stock exchanges due to the organizational and legal form and the consequences of these changes. As a research hypothesis, it is assumed that the process of demutualization determined the changes in the rules of functioning of the stock exchanges and created threats from point of view of socio-economic functions. In order to verify the hypothesis, we use: analysis of causes, logical analysis and analysis of statistical data about the 57 stock exchanges- members of WFE. The conducted analysis allows to verify the hypothesis that demutualization process determined the changes in the rules of functioning of stock exchanges, as well as created a threat from the point of view of socio-economic functions. The contribution (value added) of this article is the conducted analysis verifying the essence of stock exchanges from the perspective of the processes of demutualization.

Refine search results

SELECTION OF WORKING DATABASE FOR THE GENETIC ALGORITHM PROCESSING DATA OF EXCHANGE QUOTATIONS

APPLICATION OF ARTIFICIAL NEURAL NETWORK SUPPORTING THE PROCESS OF PORTFOLIO MANAGEMENT IN TERMS OF TIME INVESTMENT ON THE WARSAW STOCK EXCHANGE

Operations of Deutsche Börse and the role of the German stock exchange in relation to several European stock exchanges

Konkurencyjność spółek notowanych na GPW w świetle koncepcji teoretycznych

Modelling the Employment Structure in Public Companies for a Small Sample

Different Variants of Fundamental Portfolio

Position of the warsaw stock exchange compared to the lse group and ceeseg (the first decade of the 21st century – selected parameters)

Trends in the stock market and their price forecasting using artificial neural networks

Ukrainian Companies on the Warsaw Stock Exchange: Current State and Future Trends

Nasilenie zjawiska delistingu spółek na Giełdzie Papierów Wartościowych w Warszawie

Measuring of the Yield and Risk of Emerging Markets and Developed Stock Markets

Wpływ popytu na akcje notowane na Giełdzie Papierów Wartościowych w Warszawie na płynność rynku

The Effectiveness of the Transaction Systems on the Dax Index

Badanie wpływu indeksów zmienności na zmiany współzależności pomiędzy wybranymi rynkami finansowymi

Exchange-traded products in Germany: development and substitution of exchange-traded funds, exchange-traded commodities and exchange-traded notes