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1

An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

100%
Okičić J.
South East European Journal of Economics and Business
|
2015
|
vol. 9
|
issue 1
7-15
EN
The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE), focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.
2

Risk Diversification Between Stock Markets In Germany And Bosnia And Herzegovina

100%
Zaimović A., Arnaut Berilo A.
South East European Journal of Economics and Business
|
2015
|
vol. 9
|
issue 1
30-36
EN
The integration of global equity markets has been a well-studied topic in the last few decades, particularly after stock market crashes. Most studies have focused on developed markets such as the US, Western Europe and Japan. The findings were that the degree of international co-movements among stock prices has substantially increased in the post-crash regime. In this paper we research the co-movements of German and Bosnian stock markets during and after the recent economic and financial crisis. International market integration means that assets of equal risk provide the same expected returns across integrated markets. This means fewer opportunities for risk diversification if the markets are integrated. It is also believed that stock market indices of integrated markets move together over the long run with the possibility of short-run divergence. There is considerable academic research on the benefits of international diversification. Investors who buy stocks in domestic as well in foreign markets seek to reduce risk through international diversification. The risk reduction takes place if the various markets are not perfectly correlated. The increasing correlation among markets during and after the crises has restricted the scope for international diversification. International stock market linkages are the subject of extensive research due to rapid capital flows between countries because of financial deregulation, lower transaction and information costs, and the potential benefits from international diversification. Most stock markets in the world tend to move together, in the same direction, implying positive correlation. In and after crises they tend to move together even more strongly. Thus, this paper aims to research if there are any diversification opportunities by spreading out investments across developed and underdeveloped capital markets. This research attempts to examine the scope of international diversification between German and Bosnian equity markets during the 6-year period from 2006 to 2011. We test the hypothesis of whether there are any risk diversification possibilities by spreading out the investments between German and Bosnian equity markets. In order to determine the mean-variance efficiency of portfolios we use the method of convex (quadratic and linear) programming. The hypothesis is tested with the Markowitz portfolio optimization method using our own software. The results of this research might enhance the efficiency of portfolio management for both types of capital market under analysis, and prove especially useful for institutional investors such as investment funds.
3

Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE

100%
Dębski W., Feder-Sempach E., Świderski B.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 2
270-286
EN
In the modern portfolio theory investment risk plays a crucial role. It is the subject of numerous studies and publications, in particular in relation to the management of investment portfolios. Commonly used measure of investment management in equities is a beta parameter, which is used to estimate individual stock risk and portfolio risk. In particular, numerous studies the subject of which are the beta parameter properties such as stability in the context of the stock market cycle phases, intervalling effect, length estimation sample etc. The main objective of this paper is to investigate the intervalling effect on the beta parameter. The empirical analysis is carried out for the 33 largest companies of the Warsaw Stock Exchange (WSE) on a sample from the years 2005 to 2012 on the basis of daily, weekly and monthly rates of return. Statistical verification of the hypothesis of the importance of the frequency measuring the return of shares will be based on the single-index Sharpe’s model.
4
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Monety próbne dwudziestolecia międzywojennego jako forma inwestycji alternatywnych

87%
Chołody A., Szyszko M.
Ruch Prawniczy, Ekonomiczny i Socjologiczny
|
2019
|
vol. 81
|
issue 1
171-190
EN
In this article we describe the pattern coins of the Second Polish Republic, which are a form of alternative (emotional) investment in historical coins. Our motivation to cover this subject is related to an increasing interest in non-standard forms of investment. Moreover, the literature does not provide valuable analysis of this issue. We decided to focus on one collection and follow the development of its market. The time period ranges from the mid-1990s and to the end of 2017. We distinguish five subperiods of analysis. The prices of coins were driven by different demand-side and supply-side factors in these subperiods. We explain the specifics of the coin market and the drivers of coin prices, also highlighting the difficulties that arise when examining this market.
PL
W artykule przedstawiono charakterystykę rynku monet próbnych dwudziestolecia międzywojennego, które stanowią formę inwestycji alternatywnej (emocjonalnej). O podjęciu tej tematyki zdecydowało wzrastające zainteresowanie niestandardowymi formami lokowania kapitału oraz rzadkość problematyki inwestycji emocjonalnych w polskim piśmiennictwie. Autorzy przeanalizowali rynek wybranej kolekcji, śledząc aukcje przeprowadzane przez domy aukcyjne od połowy lat dziewięćdziesiątych XX w. do 2017 r. Analiza cen transakcyjnych dokonana została w podziale na pięć podokresów. W każdym z tych podokresów na ceny transakcyjne wpływ miały inne czynniki popytowe i podażowe. Autorzy wskazali na specyfikę rynku, w szczególności czynników kształtujących ceny monet i trudność badania tendencji na nim.
5

Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison

86%
Perez K.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 2
179-197
EN
In this paper I focus on analyzing whether Polish absolute return funds, which I call quasi-hedge funds, add value to a portfolio of an individual investor by reaching higher returns than Polish stock funds. I use a sample of 25 Polish absolute return investment funds to contrast their short and long term performance, measured by Sharpe, Sortino and Jensen ratios, to the short and long term performance of 20 biggest Polish stock funds and build rankings based on that performance. Later I build funds of funds (with a different number of stock funds and/or quasi-hedge funds) and check which of them is the most efficient. I find out that in both short and long term Polish quasi-hedge funds have better returns than stock funds and they add much value to the investors’ portfolios. It can be explained by the fact that they are much smaller and younger than traditional funds, so they have much higher potential to grow and reach abnormal returns.
6

The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM

86%
Urbański S., Jawor P., Urbański K.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 2
163-178
EN
Oryginality and objective – Research on the pricing of stocks listed on developed markets shows inexplicable deviation from the pricing that could be observed with CAPM validity. A similar anomaly is found on the Polish market. Reasons for inconsistent pricing with CAPM are unknown, and they are the main objective of this research. Method – The study is conducted using stocks listed on the Warsaw Stock Exchange in 1995–2012. Quintile stock portfolios are formed on the basis of strategies widely used by investors. The study is carried out in several modes. In the subsequent modes penny stocks with the market values below 0.5, 1.5, 5.0 and 15.0 PLN are eliminated. Results – It is conjectured that both penny stocks and improper procedures for the test portfolios forming contribute to inconsistent stock pricing in light of the CAPM. The studies show that results are in line with the extended conjectures. Also, study results indicate that speculative stocks are mostly penny stocks, however, it is not possible to explicitly state that penny stock are speculative.
7

Microscale Evaluation of The Diagnosis Stability

86%
Wawrzyniak K.
Folia Oeconomica Stetinensia
|
2014
|
vol. 13
|
issue 2
109-119
EN
In the paper the author makes a classification of the Construction Sector companies that are listed on the Warsaw Stock Exchange. The classification is made with a view to identify those companies whose financial standing in the years of study (2007, 2009 and 2011) was good or bad from the point of view of several selected ratios. The classification is based on the inquiry into the stability of final diagnoses of the companies’ financial standing. The final diagnoses were founded on the median from partial diagnoses which had been created in the course of a two-element diagnostic process where the real values of the companies’ financial indices were compared with theoretical and empirical norms.
8
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Badanie efektywności wybranych funduszy inwestycyjnych lokujących aktywa na polskim rynku nieruchomości

72%
Tomal M., Uniwersytet Ekonomiczny w Krakowie W. E. i. S. M.
Finanse i Prawo Finansowe
|
2017
|
vol. 1
PL
Badanie efektywności funduszy inwestycyjnych jest zjawiskiem dość często obserwowanym. Jednak tego typu analizy w zdecydowanej większości dotyczą funduszy akcji czy obligacji. Wydaje się, że fundusze nieruchomościowe z uwagi na to, że są stosunkowo młodym produktem na polskim rynku finansowym oraz z powodu diametralnie innego celu inwestycji powinny być przedmiotem szerokich badań. Celem prezentowanego opracowania było zbadanie efektywności wybranych funduszy inwestycyjnych lokujących swoje aktywa na polskim rynku nieruchomości w latach 2014–2016. W trakcie badań empirycznych przeanalizowano cztery wybrane fundusze inwestycyjne za pomocą relatywnych oraz bezwzględnych miar efektywności. Wyniki analizy ukazały, że większość funduszy inwestycyjnych działających na rynku nieruchomości osiągały słabe rezultaty, co może wynikać z braku umiejętności i wiedzy zarządzającego funduszem oraz złej polityki inwestycyjnej.
EN
The examination of the effectiveness of investment funds is a frequently observed phenomenon. However, such analyses largely concern stock and bond funds. It appears that due to their relatively young age as products on the Polish financial market and the radically different objective of investment real estate funds should be subject to extensive research. The aim of the presented study was to investigate the effectiveness of selected investment funds with assets in the Polish real estate market in 2014–2016. Throughout the course of empirical research four selected investment funds were examined using relative and absolute measurements of effectiveness. Analysis of data showed that the majority of investment funds operating on the real estate market actually achieved poor results. This may be due to a lack of prior knowledge and expertise of manager presiding over the fund, but also due to bad investment policies.
9

Eurusd Intraday Price Reversal

72%
Wiśniewska M.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 2
152-162
EN
The study investigates the mean reversion in 1-minute EURUSD. Intraday patters in FX seem of particular interest as more and more trades in the FX market are automated high frequency trades (HFT). The study reveals that the mean reversion is present in the intraday EURUSD. ADF test rejects unit root. The average of the deviation of EURUSD from its (moving) mean is close to zero. Furthermore when short and long positions are simultaneously open, the average maximum return achieved through 24 hour period is similar, providing yet another evidence for mean reversion and lack of weak form of market efficiency.
10

The TMAI Model – Performance Of Portfolios Constructed On The Base Of Correlated And Uncorrelated Financial Ratios

72%
Węgrzyn T.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 2
125-139
EN
The author studies portfolio performance. Companies are chosen to portfolios due to their position in the ranking that is constructed on the base of the chosen financial ratios. There are three rankings constructed on different number of financial ratios. Each ranking is constructed on the base of synthetic measure of development. The TMAI ranking is constructed on the base of 48 financial ratios, the TMAI_gr1 ranking is constructed on the base of 14 financial ratios that can be correlated and the TMAI_gr2 ranking is constructed on the base of 8 uncorrelated financial ratios. The author uses data of companies listed on the Warsaw Stock Exchange between 2005 and 2011. The rankings and portfolios are built separately for each year. As a result, it can be stated that the Portfolio 3 in the TMAI_gr1 ranking is the best portfolio for investors who are maximizing the Sharpe ratio.
11

A Comparison OfK-Means And FuzzyC-Means Clustering Methods For A Sample Of Gulf Cooperation Council Stock Markets

72%
Al-Augby S., Majewski S., Majewska A., Nermend K.
Folia Oeconomica Stetinensia
|
2014
|
vol. 14
|
issue 2
19-36
EN
The main goal of this article is to compare data-mining clustering methods (k-means and fuzzy c-means) based on a sample of banking and energy companies on the Gulf Cooperation Council (GCC) stock markets. We examined these companies for a pattern that reflected the effect of news on the bank sector’s stocks throughout October, November, and December 2012. Correlation coefficients and t-statistics for the good news indicator (GNI) and the bad news indicator (BNI) and financial factors, such as PER, PBV, DY and rate of return, were used as diagnostic variables for the clustering methods.
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