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A Comparison of Tail Behaviour of Stock Market Returns

100%
Echaust K.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 1
22-34
EN
Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. This paper focuses on the extreme behavior of stock market returns. The differences in the tails thickness of distribution are negligible. Its main result is that the differences between tails have been found in the clustering of extremes, especially during the crash of 2007-2009.
2

How Firms Can Hedge Against Market Risk

100%
Echaust K.
Studies in Logic, Grammar and Rhetoric
|
2014
|
vol. 37
|
issue 1
39-49
EN
The article presents a problem of proper hedging strategy in expected utility model when forward contracts and options strategies are available. We consider a case of hedging when an investor formulates his own expectation on future price of underlying asset. In this paper we propose the way to measure effectiveness of hedging strategy, based on optimal forward hedge ratio. All results are derived assuming a constant absolute risk aversion utility function and a Black-Scholes framework.
3
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Geometry of Crises on the Market of Stocks Listed on the Warsaw Stock Exchange

63%
Echaust K., Just M.
Studia Ekonomiczne
|
2014
|
vol. 207
51-66
PL
W pracy zdefiniowano i zinterpretowano zmiany zachodzące w przestrzeni rynku akcji. Analizie poddano 73 spółki notowane na Giełdzie Papierów Wartościowych w Warszawie w okresie od początku 2006 r. do końca września 2012 r. Jest to okres obejmujący w całości dwie odsłony kryzysu finansowego - od pierwszych objawów kryzysu do momentu, kiedy te badania zostały przeprowadzone. Zbadano dynamikę rynku akcji za pomocą wskaźnika, który mierzy zmiany efektu zniekształcenia kształtu przestrzeni rynku. Indeks ten opiera się na metodach geometrii euklidesowej. Pozwala on na właściwą identyfikację i interpretację najbardziej burzliwych okresów na rynku finansowym.
EN
This paper defines and interprets the changes in the stock market space. There are analyzed 73 companies listed on the Warsaw Stock Exchange in the period from beginning 2006 to the end of September 2012. This is a period, covering entirely the last two financial crises from their first symptoms to the moment when these researches have been carried out. The dynamics of the stock market space was investigated using an index, which measures the evolution of the distortion effect in the shape of the market space. This index is based on geometry technique and it proved to be useful in the Polish capital market. It allows for proper identification and interpretation of the most turbulent periods in financial markets.
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