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Optimal Portfolio of Chosen Stocks of the Prague Stock Exchange

100%
Radim G.
Littera Scripta
|
2014
|
vol. 1
12-24
EN
The aim of the article is to assemble an optimal portfolio of chosen stocks of the Prague Stock Exchange. The Markowitz portfolio model is used. At rst, Pearson correlation coecients and covariance are calculated for the stocks ČEZ, KOMERČNÍ BANKA, TELEFÓNICA, UNIPETROL, NWR and PX Index in order to nd the dependence measure from 2003{ 2012. These values are presented in a correlation matrix and covariance matrix. Yield, risk and yield to risk ratios are calculated for stocks and PX Index. The dependence between yield and risk of stocks as well as yield and risk of portfolios are found. Stocks have di erent weights in a portfolio. A set of possible portfolios and a set of ecient portfolios are assembled for various combinations of ve-component stock portfolios. Based on that, an optimal portfolio is assembled. This article brings a method that can be used by investors and other subjects of the nancial market while deciding to what stocks to invest in.
2
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THE IMPORTANCE OF THE US AND POLISH MACROECONOMIC VARIABLES FOR INVESTORS ON THE WARSAW STOCK EXCHANGE

100%
Paluszak G., Popławska M.
International Journal of Emerging and Transition Economies (IJETE)
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2010
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vol. 3
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issue 1
59-70
EN
This study investigates the impact of the scheduled US and Poland macroeconomic news releases on investment decisions on the Warsaw Stock Exchange (WSE). Our real time macroeconomic data cover the period between July 2006 and June 2009. The macroeconomic variables used include three groups of indexes: the general situation in the economy (GDP and unemployment rate for Poland, GDP and Nonfarm Payrolls for US), customers’ situation (CPI and Retail Sales Dynamics for Poland and US) and situation in enterprises sector (PPI and Industrial Production Dynamics for Poland and US). We find evidence that to a larger extent the investment decisions on the WSE are driven by the US macroeconomic variables rather than the Polish ones. Specifically, we find significant effects of the general situation in the US economy on the investment decisions. Of the macroeconomic news releases, the US GDP has the largest impact on the WSE.
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The impact of the january effect on the IPO underpricing in Poland

100%
Wołoszyn A., Zarzecki D.
Folia Oeconomica Stetinensia
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2014
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vol. 13
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issue 1
121-135
EN
We examine the initial public offering (IPO) underpricing phenomenon in Poland using data from the Warsaw Stock Exchange (the main market). In the article we survey historical average IPO underpricing in Europe and outside Europe. We discuss the determinants of the IPO underpricing which is based on asymmetry of information, ownership and control, institutional explanations and behavioural explanations. We discuss the calendar effect and we examine the influence of the January effect on the IPO underpricing. On the Warsaw Stock Exchange in 2005-2011, the IPO underpricing was bigger for companies that debuted in January than for companies that debuted in other months. The empirical results are not statistically significant.
4
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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models

75%
Kuryłek W.
Journal of Banking and Financial Economics
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2023
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issue 1(19)
26-43
EN
The proper forecasting of listed companies’ earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of 2008–2009 and the pandemic shock of 2020. The best model is the seasonal random walk (SRW) model across all quarters, which describes quite well the behavior of the Polish market compared to other analyzed models. Contrary to the findings regarding the US market, this time-series behavior is well described by the naive seasonal random walk model, whereas in the US the most adequate models are of a more sophisticated ARIMA type. Therefore, the paper demonstrates that conclusions drawn for the US might not hold for emerging economies because of the much simpler behavior of these markets that results in the absence of autoregressive and moving average parts.
5
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Covid-19 cases influencing the Stock Exchange indices on the example of BIST100 in Turkey, NASDAQ in the USA and WIG in Poland

75%
Bolek C., Bolek M.
Finanse i Prawo Finansowe
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2022
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vol. 2
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issue 34
7-25
PL
Cel artykułu/hipoteza: Celem niniejszego artykułu jest analiza wpływu wykrytych nowych przypadków Covid 19 na rynki giełdowe w Turcji, USA i Polsce w ciągu pierwszego roku trwania pandemii. Testowana hipoteza brzmi: istnieją istotne różnice między reakcją badanych rynków na informacje o liczbie nowych przypadków Covid-19. Metodyka: Do analizy korelacji i regresji na danych panelowych wzięto pod uwagę indeksy reprezentujące giełdy: BIST100 z Istanbul Stock Exchange w Turcji, NASDAQ Composite z NASDAQ w USA oraz WIG z Warszawskiej Giełdy Papierów Wartościowych w Polsce. Wyniki/Rezultaty badania: Wyniki wskazują na bezpośredni negatywny wpływ względnej zmiany liczby przypadków na stopy zwrotu indeksów giełdowych na rozpatrywanych rynkach, chociaż istnieją pewne różnice i podobieństwa między współczynnikami korelacji, zwłaszcza gdy uwzględni się opóźnienia reakcji rynków. Giełda turecka natychmiast reagowała na ogłaszaną liczbę nowych przypadków Covid-19, giełda amerykańska potrzebowała więcej czasu na reakcję, podczas gdy w Polsce korekta była konieczna po nadmiernej reakcji na informację o nowych przypadkach. Wykazano, że istnieje istotna różnica między współczynnikami korelacji między badanymi zjawiskami na rynkach w Polsce I USA.
EN
The purpose of the article/hypothesis: The goal of this paper is to show differences between markets’ reactions to a number of Covid-19 new cases. Stock exchanges and their indices from Turkey, the USA and Poland are analyzed during the first year of the global pandemic. The hypothesis that there are significant differences between markets regarding the reaction to new Covid-19 cases is tested in this research paper. Methodology: BIST100 Index representing the Istanbul Stock Exchange in Turkey, NASDAQ Composite representing NASDAQ Exchange in the USA and WIG Index representing the Warsaw Stock Exchange in Poland are analyzed in relation to Covid-19 new cases. The correlation analysis with delays of markets’ reactions and panel data OLS regression models are tested with rates of return as dependent variables. Results of the research: The findings show the immediate negative influence of new cases rates of change on the stock indices rates of return, although there are some differences and similarities between correlation coefficients, especially when the delays in reactions are taken into consideration. The Turkish exchange was reacting immediately to the rates of change of new Covid-19 cases, the US exchange needed more time to adjust, while in Poland the correction was detected after investors’ over-reaction in the first two weeks. The significant difference between the Polish and US markets regarding the correlation is confirmed indicating that the reactions on the global market were not identical. What the findings add to the literature is the evidence of differences and similarities between markets representing different religions, continents, and cultures.
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Motywy zawierania transakcji terminowych

51%
Grodecki A.
Kwartalnik Naukowy Uczelni Vistula
|
2013
|
issue 4(38)
116-124
PL
W dobie kryzysu, który rozgościł się na dobre na europejskich rynkach finansowych w ostatnich latach, mogłoby się wydawać, że w chwili, gdy spadają ceny niemal wszystkich aktywów, jedyną alternatywą na drodze do pomnożenie pieniędzy jest standardowa lokata bankowa. Bezpieczeństwo wiążące się z taką formą lokowania zaoszczędzonego kapitału finansowego jest zdecydowanie zaletą. Nie można jednak w przypadku lokat liczyć na zyski w niebotycznych wysokościach. W artykule ukazano motywy pchające przeciętnego „Kowalskiego” do inwestowania na Giełdzie Papierów Wartościowych w rynek terminowy. Od wielu lat rynek terminowy porównywany jest do gier hazardowych w kasynie. Dzieje się to za sprawą jednej cechy, która łączy obie te gry. Jedna jak i druga, jest grą o stałej sumie, co oznacza, że aby jedna strona wygrała określoną wielkość środków pieniężnych, druga, przeciwna, strona, w tym wypadku rynku, musi stracić dokładnie tę samą wielkość środków. Dzieje się to za sprawą równowagi, która na rynku musi zostać zachowana. Na rynkach terminowych prym wiodą dwie grupy inwestorów. Są nimi spekulanci oraz inwestorzy dokonujący transakcji zabezpieczających. Po za tymi dwiema grupami na rynku możemy wyodrębnić jeszcze arbitrażystów, stanowiących swego rodzaju łącznik między tymi dwoma najważniejszymi „siłami” rynku.
EN
In the epoch of crisis, which has firmly made itself at home in the European financial markets in recent years, it might have seemed that at the moment, when prices for almost all assets have been dropping, the only alternative on the way of money augmentation is the standard bank deposit. The security connected with such a form of placement of the saved financial capital is definitely a value. However, one cannot, in the case of deposits, count on profits in extortionate amounts. In his article, the author presented the motives pushing the average Mr Smith to invest on the stock exchange in the futures market. For many years, the forwards market is compared with gambling in the casino. This happens so due to one feature which joins both games. One and the other is the zero-sum game what means that if one side won a definite amount of money, the other, opposite, side, in this case of the market, must loose exactly the same amount of means. This happens thanks to the equilibrium which must be retained in the market. In the futures markets, the leaders are two groups of investors. They are speculators and investors making hedging transactions. Besides these two groups, we can yet single out in the market arbitrageurs being a specific link between these two major ‘powers’ of the market.
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