Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 7

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  Equity market
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

The degree of integration of equity markets in Central Europe (new member EU countries) with the US and UK equity markets

100%
Bukowski S. I., Gowers R.
Central European Review of Economics & Finance
|
2016
|
issue Vol. 11, No 1
5-26
EN
The aims of paper are to analyze how closely Central European stock markets are integrated with the stock markets in the US,UK and the euro area and to investigate the correlation of changes in the US S&P500, UK FTSE100, DJ EUROSTOXX 50 yields on the yields of the Polish and other main Central European stock exchange markets. The authors has formulated following hypothesis: Czech, Hungarian and Polish equity markets are more integrated with the US and UK equity markets then with the euro area market. What are the implications of such close integration. What are the implications of such close integration. The econometric methods are applied in analysis. The analysis has confirmed hypothesis.(original abstract)
2
Publication available in full text mode
Content available

Geometry of Crises on the Market of Stocks Listed on the Warsaw Stock Exchange

100%
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.
3
Publication available in full text mode
Content available

Development of equity market and its significance in the Slovak economy

84%
Bukowski S. I.
Central European Review of Economics & Finance
|
2014
|
issue Vol. 4, No 1
5-20
EN
The aim of the paper is to present results of the empirical research into the equity market development and its significance in the Slovak economy and especially to answer the following questions: * What is the significance of the equity market in Slovak economy and its impact on economic growth? * What is the degree of the Slovak equity market integration with the euro area equity market? The following methods have been applied in the research: statistical analysis of the Slovak equity market significance in economy, analysis of the relationship between equity market development and economic growth based on the econometric model, analysis of the Slovak equity market integration with the Eurozone equity market based on the "news-based measure" and GARCH (1.1) model. The significance of the equity market is relatively smaller in Slovak economy than in other small- and medium-sized economies in the euro area. Yet, a statistically significant correlation between equity market development and economic growth exists in the Slovak economy. Slovak equity market was more integrated with the global market in the period 1999-2004, whereas in the years 2005-2011 it revealed a higher integration degree with the euro area equity market than with the global equity market. (original abstract)
4
Publication available in full text mode
Content available

Integration of Greek and Polish Equity Markets with the Euro Area Equity Market. Comparative Analysis

84%
Bukowski S. I., Hyz A.
Central European Review of Economics & Finance
|
2015
|
issue Vol. 9, No 3
5-23
EN
The aim of this article is to present the comparative analysis of integration of Greek and Polish equity markets with the Euro area equity market. The authors explain and analyze theoretical aspects and measures of international equity market integration and main tendencies in the development of Greek and Polish equity markets. Econometric analysis of Greek and Polish equity markets integration with the equity market in euro area is based on the "news-based" measures and econometric model GARCH (1.1). We use monthly statistical data for the period from 1999 till 2014 in the analysis. The results show tendencies of integration degree in euro area equity market for the analyzed period of time. In the paper authors formulate conclusions concerning present and future of Greek equity market integration with euro area equity market and future prospects for Polish membership in European Monetary Union. (original abstract)
5
Publication available in full text mode
Content available

Rozwój alternatywnego rynku akcji w Niemczech - studium przypadku Neuer Markt

84%
Sobański K.
Studia Ekonomiczne
|
2014
|
vol. 186 cz 2
224-237
EN
The paper presents an analysis of alternative stock market development in Germany in the years 1997-2003 on the example of Neuer Markt at Deutsche Börse. Special focus have been placed on depicting factors leading to formation of Neuer Markt and its position within the German capital market. The author presents consequences of establishing Neuer Markt for development of the German stock market. Lastly, reasons for ultimate failure of Neuer Markt project are discussed.
6
Publication available in full text mode
Content available

Model wyceny aktywów oparty na długoterminowych reakcjach cenowych po IPO na przykładzie rynku polskiego

84%
Zaremba A., Szyszka A.
Studia Ekonomiczne
|
2015
|
vol. 238
180-192
PL
W niniejszym artykule zaproponowano nowy przekrojowy model wyceny aktywów, który uwzględnia wpływ zjawiska długoterminowych ujemnych anormalnych stóp zwrotu po pierwszej emisji publicznej. Skuteczność modelu w objaśnianiu ponadprzeciętnych stóp zwrotu z portfeli podwójnie sortowanych według wieku i wielkości przedsiębiorstw zostaje skonfrontowana z tradycyjnymi modelami CAPM trójczynnikowym modelem Famy-Frencha. Badanie bazuje na notowaniach 885 spółek z polskiego rynku akcji w latach 2001-2014. Nowy model dobrze radzi sobie z objaśnieniem stóp zwrotu, podczas gdy tradycyjne modele zostają odrzucone. Dodatkowo badanie dostarcza świeżych dowodów na długoterminowe ujemne anormalne stopy następujące po IPO w Polsce. Anomalia jest szczególnie silna wśród małych spółek giełdowych.
EN
In this paper we propose a new cross-sectional asset pricing model employing a Young-minus-Old (OMY) factor, which accounts for long-run post-IPO underperformance. We test the model using stock returns from the Warsaw Stock Exchange, second most active IPO market in Europe after London, in the period from April 2001 to January 2014. We form portfolios double-sorted on size and age and attempt to explain their returns with the new model and also the traditional, well-established models such as CAPM and the Fama-French three-factor model. The CAPM and F-F models are rejected, while our model explains the returns well. Additionally, wedeliver fresh out-ofsample evidence for the long-term underperformance of initial public offerings in Poland. The anomaly is particularly strong among the small companies.
7
Publication available in full text mode
Content available

Implementacja i ocena systemu eksperckiego sieci neuronowych w analizie rynku akcji

84%
Karczyński T., Radosiński E.
Studia Ekonomiczne
|
2013
|
vol. 154
32-44
EN
The application of neural network system for multi-dimensional stock market data analysis is presented in the paper. Developed system predicts stock price movements based on daily quotation data like: volume, minimum and maximum session price, opening and closing price. Several studies were carried out, to compare systems investment decisions, with decisions that were made on the basis of some commonly used methods of stock market analysis. These methods are: MACD, Bootstrap, Markowitz Portfolio. For valuation purpose, the real stock market data of the four largest Polish companies were used. All companies are quoted on the Warsaw Stock Exchange and belong to the WIG 20 index. For the benchmarking, only stock data from the year 2009 were used. In order to enrich the benchmarking tests, three investment scenarios were added. First known as the skeptical assume that only incorrect investment decisions were made. Second known as the optimistic assume that only correct investment decisions were made. Last one known as passive assume that no investment decision were made - it is so called "buy and hold" conception. The benchmarking results confirmed, that the neural network system is able to make investment decisions, that significantly increase the profitability of the investment portfolio. Neural network system provide investment suggestions, that can be considered as an alternative to other commonly used methods of stock market analysis. However statistical tests proved a high correlation between quality of systems investment decisions and market trend and lack of correlation to the "optimistic" scenario. Neural network systems may help in investment process, but cannot be considered as fully reliable way of investment process automation.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.