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    Wyświetlanie 1-4 z 4
    Tytuł:
    The logarithmic ACD model: The microstructure of the German and Polish stock markets
    Autorzy:
    Gurgul, H.
    Syrek, R.
    Powiązania:
    https://bibliotekanauki.pl/articles/108326.pdf
    Data publikacji:
    2016
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    intraday data
    microstructure
    duration
    ACM models
    Frankfurt Stock Exchange
    Warsaw Stock Exchange
    Opis:
    The main goal of this paper is to compare the microstructure of selected stocks listed on the Frankfurt and Warsaw Stock Exchanges. We focus on the properties of duration on both markets and on fitting the appropriate ACD models. Because of the quite different levels of capitalization of stocks on these markets, we observe essential discrepancies between these stocks. While for most German companies on the DAX30, the Burr distribution fits better than generalized gamma distribution, the latter distribution is superior in the case of the largest Polish companies. Analyzing series by hazard function, we note the similarity of hazard functions for companies on both markets, which tend to have a U-shaped pattern.
    Źródło:
    Managerial Economics; 2016, 17, 1; 77-92
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    How to define macroeconomic announcement surprises? An example of the impact of US macroeconomic news on stock prices on the Warsaw Stock Exchange
    Autorzy:
    Wójtowicz, Tomasz
    Powiązania:
    https://bibliotekanauki.pl/articles/2175391.pdf
    Data publikacji:
    2022
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    unexpected news
    macroeconomic announcements
    intraday data
    Warsaw Stock Exchange
    Opis:
    The definition of a news surprise plays a crucial role in the analysis of the impact of unexpected macroeconomic news announcements. In this paper, we study the properties of the most commonly used measure of news surprise, defined as the difference between the announced and expected value of the indicator. Due to the high vulnerability of this measure to outliers, we consider alternative definitions of macroeconomic surprises. Based on the analysis of announcements of 15 American macroeconomic indicators, we show that taking into account the heterogeneity of analysts’ forecasts or the variability of the previous surprises, noticeably improves the properties of the distribution of surprise measures. An additional study performed with the use of a dynamic model proves a strong linear relationship between surprise measures and WIG20 returns in the first five minutes after news announcements.
    Źródło:
    Managerial Economics; 2022, 23, 1; 77--98
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic
    Autorzy:
    Suliga, Milena
    Powiązania:
    https://bibliotekanauki.pl/articles/24201282.pdf
    Data publikacji:
    2023
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    COVID-19
    event study
    expiration day effects
    futures market
    high-frequency data
    stock market
    Warsaw Stock Exchange
    Opis:
    This paper examines the existence of expiration day effects of stock and index derivatives on the Warsaw Stock Exchange. Event study analysis is employed to high-frequency data to check the occurrence of four types of anomalies: abnormal increase in trading volume and in intraday volatility of underlying stocks, price reversal and price shock. The study confirms that on expiration days trading volume of underlying stocks increase unusually during the time when final settlement prices of expiring futures are being calculated. Intraday volatility of stock prices is also abnormally high on expiration days. However, before 2020 this price effect occurred on expiration days during triple withing hour, while in the initial phase of COVID-19 pandemic it has been visible on expiration days only at the close and additionally at the beginning of the next trading session. The analysis of price reversal and price shock effects revealed that only the second anomaly is a phenomenon which constantly appears after futures expiration, indicating the distortion of stock prices on expiration days and their return to normal levels at the beginning of the next trading session. Division of the research period (2018-2020) into two parts allow to find out that after the outbreak of the pandemic, when the importance of hedgers’ activity on the futures market have increased, some of the analyzed anomalies have weakened and their duration have been shortened. However, distortions of underlying stock prices have been still visible at the close of the trading session on expiration days. This suggests that as long as the final settlement prices of stock future are equal to closing prices of underlying stocks, expiration day effects will occur on the WSE.
    Źródło:
    Managerial Economics; 2023, 23, 1; 39--82
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Tightening tax policy and changes to tax efficiency on the example of companies listed on the Warsaw Stock Exchange
    Autorzy:
    Kowalski, Michał J.
    Nesterak, Janusz
    Powiązania:
    https://bibliotekanauki.pl/articles/24201273.pdf
    Data publikacji:
    2022
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    tax management
    tax efficiency
    tax policy
    tightening tax policy
    effective tax rate
    ETR
    current effective tax rate
    CERT
    Warsaw Stock Exchange
    Opis:
    The article presents an analysis of changes in the tax efficiency of companies listed on the Warsaw Stock Exchange. After 2017, some changes to the tax law aimed at tightening the regulations on an unprecedented scale were introduced. The research conducted showed that since 2018 there has been a decrease in tax efficiency measured with effective tax rate (ETR) and current effective tax rate (CETR). On average, in 2018–2019, the efficiency measured with CETR dropped by 17.7%, the median by 14.8% compared to the previous years. In 2018 and 2019, the value of the CETR was the highest in the entire analyzed period, i.e. from 2012 to 2019. At the same time, the propensity of companies to create deferred tax assets is declining, and the effective tax rate is also growing. The changes mainly concern companies with average tax efficiency, large entities forming capital groups, and companies implementing capital investments. The article presents a discussion on the observed trends and formulates directions for further research.
    Źródło:
    Managerial Economics; 2022, 23, 2; 153--170
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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