Search results - CEJSH

1

Направления решения проблемы конфликта интересов на фондовом рынке Украины

100%

Болдуева О.

Nierówności społeczne a wzrost gospodarczy

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2012

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vol. 26

147-155

EN

he article presents research trends in the stock market of Ukraine, identified the need to strengthen anti-corruption and, consequently, developed a number of proposals aimed at easing the manifestation of a conflict of interest of market participants

PL

W niniejszej pracy zbadano trendy na ukraińskim rynku funduszy inwestycyjnych, wskazując na potrzebę wzmocnienia walki z korupcją. Zaproponowano szereg rozwiązań mających na celu ograniczenie przejawów konfliktu interesów uczestników rynku.

2

Simulation of Particle Swarm Optimization for Investments on Stock Market

100%

Janowicz M., Zembrzuski A.

Metody Ilościowe w Badaniach Ekonomicznych

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2020

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vol. 21

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issue 4

235-241

EN

This work reports simulations performed using Particle Swarm Optimization (PSO) as applied to investments on the stock market. About 480 stocks belonging to the S&P500 index have been taken into account. A naive approach has been developed in which one simulation step corresponded to one trading period. As a second ingredient of the investment strategy, the relative strength of an asset has been employed. The results are analyzed with respect to the parameters of PSO.

3

Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

80%

Olbryś J., Majewska E.

Folia Oeconomica Stetinensia

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2015

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vol. 15

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issue 1

101-113

EN

The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE) stock markets during the 2007-2009 Global Financial Crisis (GFC). As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

4

Przemiany na chińskim rynku akcji w latach 1990–2012

80%

Marszk A.

International Business and Global Economy

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2014

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vol. Volume 33

340–351

EN

The main purpose of this paper is to examine the transformation of the stock market in the People’s Republic of China (i.e. concentrated on stock exchanges in Shanghai and Shenzhen; the stock exchange in Hong Kong was omitted) from its beginnings in the early 1990s, through rapid development over the next two decades, up to the financial crisis of 2008 (the period examined is 1990–2012). The paper presents a short history of the Chinese stock market before and after 1990. Other topics covered include unique stock classification system, comparison of the two stock exchanges, main market participants (including barriers for institutional and foreign investors), and legal/regulatory environment evolution. The next part of the paper consists of an analysis of the main stock market’s development indicators (in both absolute and relative terms). The findings conclude that, in the said period, Chinese stock market has undergone a deep transformation, especially when its size and liquidity are being considered. However, there are still many aspects in which it remains underdeveloped, particularly in the supervision system’s area.

5

Government expenditures in the support of technological innovations and impact on stock market and real economy: the empirical evidence from the US and Germany

80%

Kotlebova J., Arendas P., Chovancova B.

Equilibrium. Quarterly Journal of Economics and Economic Policy

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2020

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vol. 15

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issue 4

717-734

EN

Research background: The current changes in the global stock markets are related to the next wave of the industrial revolution ?Industry 4.0?. It is expected that the Industry 4.0 will lead to an acceleration of the innovation process and growth of volumes of tailor-made products. The stock markets started to react to the upcoming technological changes over the last decade, which are reflected by the changes in the composition of the major stock indices where the technological sector started to grow in importance. But innovations are not only connected with the specialized technological sector, but they are also of direct concern to the whole spectrum of economic entities. Besides the private investments that are usually allocated via the stock market, also the public sector investments play an important role. Purpose of the article: The aim of this paper is to investigate the relationship between government expenditures on research and development (R&D) and stock markets (and GDP) in the US and in Germany. Methods: We use the tools of descriptive analysis as well as correlation and regression methods of estimation. Findings & Value added: Our research confirms that the collection of data on R&D on annual basis for Germany and the US is insufficient for analytical and systemic management purposes. The real effects of investments in the R&D are time lagged. The regression analysis of annual data confirms only the statistical importance of patent applications as well as interest rate and stock index as independent variables in explanation of variability of real economy growth during the 1985?2017 period. Our model did not prove the significance of government expenditures. We can explain it, among others, by the fact that governments do not pay sufficient attention to the challenges yet, which are associated with the Industry 4.0, especially in the US, where the government expenditures in R&D gradually decrease. The governments in both economies try to increase their support, but fiscal sustainability is a limiting factor.

6

Investigation of Stock Market Integration in the Baltic Countries

80%

Deltuvaitė V.

Economics and Business

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2016

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vol. 28

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issue 1

38-44

EN

Recent rapid development of the Baltic stock markets raises the question about stock market integration level in these countries. Some empirical aspects of the Baltic stock market integration have been analysed in the scientific literature, however, a comprehensive analysis on the Baltic stock market integration level is still missing. The aim of the paper is to assess the regional integration level of the Baltic stock markets. The research object is stock markets in the Baltic countries. The following research and statistical methods have been applied in this study: the systemic and comparative analysis of the scientific literature, Spearman’s correlation coefficient, dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model, Granger causality test, generalized impulse response analysis, Johansen cointegration test, autoregressive distributed lag model and error correction model. The main findings of this empirical study are (a) all three Baltic stock markets are closely related markets, (b) however, the Latvian stock market is more isolated at the regional level comparing to other two Baltic stock markets (c) whereas Estonian and Lithuanian stock markets are more interrelated.

7

The Impact of Monetary Policy Announcements on Stock Market Index in Poland

80%

Kołodziejczyk H. Z.

Research Papers in Economics and Finance

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2016

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vol. 1

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issue 1

7-16

EN

Financial market participants are influenced by the news reaching them from all manner of sources, including the country’s central bank. In this paper we model daily returns of WIG20 index with respect to announcements made by the National Bank of Poland (NBP) regarding the changes of the official interest rate of open market operations (the so-called reference rate) during the period of 2004-2016. The goal is to examine whether the NBP’s announcements have an impact on either stock returns or volatility and whether the content of such communiqué (either interest rate cut or raise) matters. The FIGARCH model is found to be an appropriate specification for the data. Moreover, the results suggest that, in fact, interest rate changes do have a significant impact on both returns and volatility. However, the reactions to news are different with respect to the type of announcement.

8

Predicting stock market by sentiment analysis and deep learning

80%

Özögür Akyüz S., Karadayı Ataş P., Benkhaldoun A.

Operations Research and Decisions

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2024

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vol. 34

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issue 2

85-107

EN

The stock market may be unpredictable; understanding when to purchase and sell can greatly assist businesses and individuals in maximizing profits and minimizing losses. Many companies have previously modified time-series analysis, a data mining technique, to forecast stock price movement. The idea of textual data mining has recently come up in debates about stock market forecasts. In this study, five of the largest firms’ historical stock prices were used to train two deep learning models-long short-term memory (LSTM) and one-dimensional convolutional neural network (1D CNN), then the results of all the models were compared. To connect price value fluctuations with the general public, sentiment scores were offered in addition to stock price values by employing natural language processing techniques (TextBlob) to tweets.

9

Does presidential debate bring optimism? A study of Indonesia’s 2024 pre-election year

80%

Fidiana F., Retnani E. D., Widyawati D.

Research Papers in Economics and Finance

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2025

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vol. 9

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issue 1

6-28

EN

The political future is inherently unpredictable, particularly in the run-up to elections. This article analyses whether such uncertainty matters. In this paper, we raise an interesting issue of the impact of political debate on the stock market of a developing country. Specifically, we investigate whether people’s economic expectations are conditional on their estimations of potential election outcomes. The subject of this study is the relationship between political events, including the 2024 presidential debate, and Indonesia’s financial markets. The authors analyse stock price movements of the 30 most actively traded issuers, as ranked by the Indonesia Stock Exchange, acknowledging that not all issuers trade daily in this emerging market. Using the Wilcoxon rank-sum test, we assess whether significant differences in investor responses exist before and after the debate periods (debates 1 to 5). According to the findings, investors believe that this event has no impact on their economic decisions, because candidate electability is dominated by incumbent candidates, so it is assumed that there will be no significant changes in financial policy. Therefore, investors appear relatively indifferent to the election dynamics during this period. Overall, the results show that Indonesian people anticipate election outcomes; in other words, pre-election economic expectations reflect both current political realities and projections of the future.

10

The long-run relationship between the stock market and main macroeconomic variables in Poland

80%

Czapkiewicz M., Stachowicz M.

Managerial Economics

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2016

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vol. 17

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issue 1

7-20

EN

The investigation concerns the problem of whether some macroeconomic variables and the EUR/PLN exchange rate might affect the performance of the Warsaw Stock Exchange. The answer to this question can be obtained from a cointegration analysis. The advantage of testing for cointegration is the identification of a stable long-run relationship between the stock price index, some macroeconomic variables, and the EUR/PLN exchange rate, which can be implemented using various cointegration methodologies. Analysis of the response of one variable to an impulse of another variable is also performed to show the importance of a given variable in a system.

11

Spatial and economic distance influence on the European stock market connections changing in crisis 2007-2009

80%

Suchecka J., Łaszkiewicz E.

Acta Universitatis Lodziensis. Folia Oeconomica

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2011

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vol. 252

EN

The influence of the spatial relation on the stock market is becoming more frequently the subject of a discussion. Efforts to pinpoint the relation between the dis- tance and the investors choices are relevant to both the intra- and intermarket connec- tions. With the latter one, spatial dependencies may function as a shock transmission channel, resulting with the contagion effect. The object of this paper is to present the results of the research on the influence of spatial and economic distance on the correlation of selected European stock markets during the 2007–2009 crisis period. In order to verify the hypothesis regarding the influ- ence of the spatial relations on the stock market correlation DCC GARCH model was used among with spatial analysis tools.

12

Rynek akcji a wzrost gospodarczy – analiza przekrojowa

80%

Kalinowski M.

Ekonomista

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2015

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issue 6

760-778

PL

Artykuł dotyczy wzajemnej zależności pomiędzy rozwojem rynków kapitałowych i rozwojem realnej sfery gospodarki. Pierwsza część artykułu zawiera obszerny przegląd teoretycznej i empirycznej literatury na ten temat. Druga część przedstawia wyniki empirycznego badania zależności statystycznej między wielkością i dynamiką rynku akcji (mierzoną jego kapitalizacją) a wielkością i dynamiką gospodarki (mierzoną wartością PKB). Analiza została oparta na danych rocznych z okresu 1995–2010, obejmujących 65 krajów. Zarówno analiza przekrojowa wolumenów kapitału akcyjnego i wielkości produkcji, jak i dynamiczna analiza stóp wzrostu obu tych wielkości pokazuje ścisłą korelację między rozwojem rynków kapitałowych a rozwojem gospodarki. Chociaż zależność ta jest z pewnością obustronna, wyniki tego badania dostarczają dodatkowego dowodu na wpływ ewolucji rynków kapitałowych na poziom aktywności gospodarczej i wzrost gospodarczy.

EN

The article deals with the mutual dependence between the development of the capital market and the development of the real sphere of the economy. The fi rst part of the paper includes a comprehensive review of the theoretical and empirical literature on the subject. The second part brings an empirical examination of the statistical dependence between the size and growth of the stock market (measured by its capitalization) and the size and growth of the economy (measured by the value of GDP). The analysis is based on yearly data for 65 countries for the period of 1995–2010. Both a cross-section study of the stock and output volumes and a dynamic examination of the growth rates of the stock market and total output shows a close correlation between the development of the capital market and the development of the economy. Even if this relationship is presumably mutual, the results of the examination bring an additional evidence of the impact of capital market developments on the level of economic activity and economic growth.

RU

В статье рассматривается взаимозависимость между развитием фондовых рынков и развитием реальной сферы экономики. Первая часть статьи содержит обширный обзор теоретической и эмпирической литературы на эту тему. Вторая часть представляет результаты эмпирического исследования статистической зависимости между величиной и динамикой рынка акций (измеряемого его капитализацией) и величиной и динамикой экономики (измеряемой объемом ВВП). Анализ опирается на годичные данные за период 1995–2010, охватывающий 65 стран. Многоаспектный анализ величины акционерного капитала и объемов производства и динамический анализ норм роста обеих этих величин указывает на тесную корреляцию между развитием фондовых рынков и развитием экономики. Эта зависимость несомненно имеет и обратный характер, но результаты исследования дают дополнительное доказательство влияния именно эволюции фондовых рынков на уровень экономической активности и экономический рост.

13

Use of the volume profile in making investment decisions on the stock market

80%

Jóźwicki R., Trippner P.

Finanse i Prawo Finansowe

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2025

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vol. 4

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issue 48

87-98

EN

The purpose of the article. In order to effectively multiply money on the capital market, it is necessary to use effective analytical methods to select the right financial instruments for an investment portfolio. This article focuses on the issue of the possibility to use the so-called volume profile to make investment decisions, which in its essence differs from classic indicators using turnover. In the article, the authors hypothesize that the volume profile makes it possible to identify the turning points of a listed instrument and thus can be an effective means for making investment decisions. On the basis of the assumptions made and in the light of the calculations performed, the research hypothesis presented in the introduction of the paper was positively verified. This indicates that the volume profile can be an important decision-making tool for investors and can thus be usefully applied in investment decision-making.Methodology. Overall, this study focuses on determining the reaction of the WIG20 index in relation to the volume profile of the session immediately preceding the day under analysis. The study used the WIG20 index from January to June 2024.Results of the research. According to the conducted analyses and calculations, a noticeable reaction of the WIG20 index value to the POC of the preceding session took place in approximately 90% of cases, which clearly indicates that this level determined during a given trading session is of significant importance for the course of quotations in the following day’s session.

14

Differences in results of ranking depending on the frequency of the data used in multidemensional comparatine analysis. Example of the stock exchanges in Central-Eastern Europe

80%

Chrzanowska M.

Metody Ilościowe w Badaniach Ekonomicznych

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2012

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vol. 13

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issue 2

22-30

EN

Advancing globalization provides access to more information. It also affects the frequency of data. Some events are listed on a monthly, daily and even minute basis. Thus, during the time-space study selecting appropriate and relevant information becomes a problem. The paper presents a suggested solution to this problem based on the example of stock exchanges in Central and Eastern Europe.

15

THE PROFITABILITY OF FOLLOWING ANALYST RECOMMENDATIONS ON THE POLISH STOCK MARKET

80%

Zaremba A., Konieczka P.

Finansowy Kwartalnik Internetowy e-Finanse

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2015

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vol. 11

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issue 1

22-31

EN

The profitability of analysts’ recommendations is documented in numerous studies from all over the world. However, the evidence from the Polish market is relatively modest. The primary aim of this study is to fill this gap. The paper contributes to the economic literature in four ways. First, it provides fresh out-of-sample evidence on return patterns following analysts’ recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated companies. Finally, it investigates whether it is possible to design profitable strategies based on the discovered patterns. We use monthly stock level data from Poland and the sample period is 2004-2013. In order to examine the profitability of analysts’ reports, we build market-neutral portfolios and test their performance against CAPM, Fama-French three-factor and Carhart fourfactor models. The principal findings can be summarized as follows. First, we document that the top rated companies deliver better returns than the bottom rated companies. Second, we find that the profitability is particularly impressive among the small companies. Third, the abnormal returns are partially explained by momentum and value based factors. Finally, we provide evidence that strategies based on information in recommendations deliver statistically significant positive abnormal rates of return.

16

KORELACJA INDEKSÓW CEN AKCJI NA GLOBALNYCH RYNKACH FINANSOWYCH

80%

Hołubowicz K.

Nauki o Finansach

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2014

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issue 2(19)

71-81

EN

The main objective of the paper was to study connections between the financial markets including the Polish stock exchange market. The author wanted to respond to the following questions: • How strong are correlations among the main stock exchanges in the world? • What is the time (bear market or bull market) with stronger interdependencies among global financial markets? • What markets are most related to Polish WIG 20 Index? The author gathered data from 1999 till 2011. Correlation is calculated for the main global stock exchanges but it also contains Polish market. We can see that the longer period of calculation the weaker connections among stocks all over the world. Furthermore in crisis time interdependencies are stronger what leads us to support a hypothesis that diversification among stock markets does not work properly because of global economy. Next research in this area should focus on the fundamental determinants of international correlation across equity markets. Studies have to take into consideration industry specifications of each national market as well as the correlation of the countries’ business cycles.

17

Causality analysis between stock market indices

80%

Sekuła P.

Nauki o Finansach

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2019

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vol. 24

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issue 1

74-93

EN

The paper examines relationships between selected stock market indices in Western Europe, Central Europe, and the United States. The study focuses on two periods, from January 1998 to August 2006 and from September 2006 to December 2016. The first one includes stock quotes from before the financial crisis while the second one covers the crisis and changes in the economic situation in post-crisis years. Relationships between stock market indices in developed economies were more frequent and durable than in Central Europe, although they were subject to changes. In our investigation into Granger causality relationships we observed changes in these relationships and in their direction for stock markets in Central Europe, while bidirectional relationships between indices in developed economies remained stable over time. Changes in relationships between indices, in particular long- -term interdependences, may result from the impact of the 2008 financial crisis. The increased number of causality relationships for the markets in Central Europe may testify to the advancing integration of the EU common market.

18

The impact of macroeconomic measures on the valuation of listed equity in the US. Insights from high inflation periods

80%

Novak D.

Managerial Economics

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2025

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vol. 26

|

issue 1

23-76

EN

While the relationship between stock prices and macroeconomic indicators in the US has been widely examined, conflicting findings in the empirical literature suggest the presence of nonlinear dynamics that remain insufficiently explored. Following the work of A. López-Villavicencio and V. Mignon (2011), and A. Brick and D. Nautz (2008), inflation rates above a threshold level of 3% to 5% are associated with significant adverse effects on economic stability and stock market volatility. Therefore, there is a notable gap in the literature regarding the interactions between macroeconomic measures and stock prices during periods of elevated inflation, focusing on potential threshold effects. This study examines these relationships using monthly data from August 1973 to August 1982, representing High-Inflation Period 1, and from January 2021 to June 2024, representing High-Inflation Period 2. The analysis compares the direction and magnitude of the relationships across both periods. The results confirm that hedging against price level increases is a stronger determinant than withdrawal from capital markets due to heightened uncertainty caused by rising inflation rates, which would otherwise lead to declining stock prices. Additionally, the results highlight a strategic shift in US monetary policy, leading to better-anchored inflation expectations. The analysis also indicates that industrial production has become a less reliable proxy for economic activity in recent years, reflecting the US economy’s transition towards a service-oriented structure. Overall, the observed cointegration between stock prices and macroeconomic variables challenges the assumptions of the Efficient Market Hypothesis.

19

Application of ensemble of recurrent neural networks for forecasting of stock market sentiments

70%

Maknickiene N., Lapinskaite I., Maknickas A.

Equilibrium. Quarterly Journal of Economics and Economic Policy

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2018

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vol. 13

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issue 1

7-27

EN

Research background: Research and measurement of sentiments, and the integration of methods for sentiment analysis in forecasting models or trading strategies for financial markets are gaining increasing attention at present. The theories that claim it is difficult to predict the individual investor's decision also claim that individual investors cause market instability due to their irrationality. The existing instability increases the need for scientific research. Purpose of the article: This paper is dedicated to establishing a link between the individual investors' behavior, which is expressed as sentiments, and the market dynamic, and is evaluated in the stock market. This article hypothesizes that the dynamics in the market is unequivocally related to the individual investor's sentiments, and that this relationship occurs when the sentiments are expressed strongly and are unlimited. Methods: The research was carried out invoking the method of Evolino RNN-based prediction model. The data for the research from AAII (American Association of Individual Investors), an investor sentiment survey, were used. Stock indices and sentiments are forecasted separately before being combined as a single composition of distributions. Findings & Value added: The novelty of this paper is the prediction of sentiments of individual investors using an Evolino RNN-based prediction model. The results of this paper should be seen not only as the prediction of the connection and composition of investors' sentiments and stock indices, but also as the research of the dynamic of individual investors' sentiments and indices.

20

Publiczna oferta akcji jako forma pozyskania kapitału przez przedsiębiorstwo – pozytywne i negatywne aspekty pierwszej oferty publicznej

70%

Michorowski M.

Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie

|

2013

|

issue 901

97-112

EN

The key decisions made by a managing director should always be based on the analysis of the enterprise’s requirements and financial possibilities. Without this knowledge, some investments could face the serious risk of failure. Many forms of raising capital allow investment aims to be tailored so as to be adequately implemented. Moreover, the selected method should coincide with the company’s economic situation. Thanks to today’s constant development of the capital markets and global free cash flow, the stock exchange has become one of the best alternative ways of raising capital. The paper presents the numerous positive and negative aspects of the IPO with consideration of the cost of raising capital and corporate policy. It is based on data on IPOs from the Warsaw Stock Exchange in the years 2005–2010.

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