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    Wyświetlanie 1-7 z 7
    Tytuł:
    The adaptive market hypothesis and the return predictability in the cryptocurrency markets
    Autorzy:
    Karasiński, Jacek
    Powiązania:
    https://bibliotekanauki.pl/articles/2192168.pdf
    Data publikacji:
    2023-04-27
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    cryptocurrency markets
    adaptive market hypothesis
    efficient market hypothesis
    cryptocurrency return predictability
    weak-form efficiency of cryptocurrency markets
    martingale difference hypothesis
    Opis:
    This study employs robust martingale diefrence hypothe sis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis. The tests were applied to daily returns using the rolling window method in the research period from May 1, 2013 to September 30, 2022. The results of this study suggest that the returns of the majority of the examined cryptocurrencies were unpredictable most of the time. However, a great part of them also suefred some short periods of weak-form ineficien cy. The results obtained validate the adaptive market hy pothesis. Additionally, this study allowed the observation of some diefrences in return predictability between the examined cryptocurrencies. Also some historical trends in weak-form eficiency were identifed. The results suggest that the predictability of cryptocurrency returns might have decreased in recent years also no significant relation ship between market cap and predictability was observed. JEL codes: G14
    Źródło:
    Economics and Business Review; 2023, 9, 1; 94-118
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Stock price volatility and fundamental value: evidence from Central and Eastern European countries
    Autorzy:
    Gajdka, Jerzy
    Pietraszewski, Piotr
    Powiązania:
    https://bibliotekanauki.pl/articles/943131.pdf
    Data publikacji:
    2017-12-20
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    present value model
    fundamental value
    efficient market hypothesis
    CEE
    countries
    Opis:
    The paper deals with the problem of the discrepancy between fundamental values of shares in the stock market and their market prices. In particular it discusses the problem of the excessive volatility of stock prices compared with changes in their fundamental value determined as the present value of dividends paid by the company. The results of research on this issue for the US market initiated and popularized by Robert Shiller provided strong arguments against the hypothesis of capital market efficiency stating that stock prices immediately account for any new information affecting the fundamental value of assets. This problem has been studied neither for the Polish stock market nor for other post-communist countries in Central and Eastern Europe. The paper presents preliminary results of research into these stock markets.
    Źródło:
    Economics and Business Review; 2017, 3(17), 4; 28-46
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Choosing the exchange rate regime–a case for intermediate regimes for emerging and developing economies
    Autorzy:
    Jurek, Michał
    Powiązania:
    https://bibliotekanauki.pl/articles/943175.pdf
    Data publikacji:
    2018-11-14
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    bipolar view
    exchange rate regimes
    monetary policy
    vanishing interim
    regime hypothesis
    Opis:
    The main objective of the paper is to verify the vanishing interim regime hypothesis (so-called bipolar view) and to analyse factors that may influence the probability of use of intermediate exchange rate regimes, especially in emerging and developing economies. In order to accomplish the research objectives the evolution of exchange rate regimes is presented with the special consideration of decisions of IMF member states in this respect. Next a logistic regression model that estimates the probability of use of an intermediate regime is applied. The results achieved allow a challenge to the vanishing interim regime hypothesis. Empirical observations support this hypothesis only in advanced countries and not in their emerging and developing peers.
    Źródło:
    Economics and Business Review; 2018, 4(18), 4; 46-63
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Testing the weak-form efficiency of agriculture’s capital markets
    Autorzy:
    Ghmire, Binam
    Annussek, Kolja
    Harvey, Jackie
    Sharma, Satish
    Powiązania:
    https://bibliotekanauki.pl/articles/557680.pdf
    Data publikacji:
    2016-06-30
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    agriculture, efficient market hypothesis [EMH], autocorrelation, runs test, unit root test, random walk.
    Opis:
    This paper investigates the empirical validity of the weak-form Efficient Market Hypothesis [EMH] in global equity markets for agriculture. We examine whether developed agriculture markets are more efficient than emerging agriculture markets. We test six agriculture and food chain indices over the period of time between 2010 and 2013. The weak EMH was tested using the parametric Augmented Dickey-Fuller test as well as the non-parametric Runs test and Autocorrelation function test. The parametric test suggested some evidence for the existence of the weak-form EMH for all six indices in at least some of the five tested periods. However the non-parametric tests clearly proved the inefficiency of all indexes during all periods. Thus we finally rejected the null hypothesis for all indices in all periods. Accordingly agriculture’s developed markets are equally inefficient and predictable as its emerging markets. The results of this work suggest that investors can achieve superior returns by investing in agricultural equity markets following a technical analysis and active portfolio approach. Thus this work is in great interest of investors and portfolio managers following an agriculture strategy. The study adds value to current research of market efficiency in developed as well as emerging markets.
    Źródło:
    Economics and Business Review; 2016, 2(16), 2; 3-17
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    ‘Dark matter’ in the external sector of the United States
    Autorzy:
    Sobański, Konrad
    Powiązania:
    https://bibliotekanauki.pl/articles/557758.pdf
    Data publikacji:
    2019-06-28
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    international finance
    balance of payments
    income account
    international
    investment position
    ‘dark matter’ hypothesis
    Opis:
    The aim of this paper is to examine the ‘dark matter’ assets in the external sector of the United States in the period 1999:Q1-2018:Q3. The paper investigates data on the balance of payments and international investment position for the US and a group of 18 economies. The research reveals that the US is a privileged economy with respect to foreign income on international investments. The rates of return on its foreign assets are relatively higher, and the costs incurred on its foreign liabilities relatively lower, as compared with the benchmark group. This special privilege of the US relates to equity investments, especially foreign direct investments. Based on prevailing income differentials substantial ‘dark matter’ assets of the US are estimated. Recognising such ‘dark matter’ leads to the conclusion that the US is a foreign creditor, not debtor. The findings shed light on the puzzle as to why the US has a continuing ability to sustain its external position despite mounting foreign liabilities. Keywords : international finance, balance of payments, income account, international investment position, ‘dark matter’ hypothesis.
    Źródło:
    Economics and Business Review; 2019, 5 (19), 2
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    An analysis of the Pollution Haven Hypothesis in the context of Turkey: A nonlinear approach
    Autorzy:
    Temurlenk, M. Sinan
    Lögün, Anıl
    Powiązania:
    https://bibliotekanauki.pl/articles/2034007.pdf
    Data publikacji:
    2022-04-15
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    Pollution Haven Hypothesis
    foreign direct investments (FDI)
    emissions
    nonlinear autoregressive distributed lag model
    Turkey
    Opis:
    Foreign direct investment (FDI) is an important driver of countries' economic development. Factors such as looser environmental regulations may cause dirty FDI to flow mainly to developing countries. This is explained by the Pollution Haven Hypothesis. eTh paper aims to investigate whether the Pollution Haven Hypothesis is valid in Turkey using the nonlinear autoregressive distributed lag (NARDL) approach for the period 1974-2017. eTh results show that FDI inflows and carbon emissions have asymmetric eefcts in both the short and long term for Turkey, supporting the Pollution Haven Hypothesis. Furthermore, there is a link between carbon emissions and trade openness, manufacturing and economic growth. Policymakers should develop the policies necessary to transfer clean technologies to Turkey by providing improvements and technical advances for a more eficient energy use.
    Źródło:
    Economics and Business Review; 2022, 8, 1; 5-23
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Refleksje o dylematach wpływu handlu zagranicznego na rozwój gospodarczy krajów słabo zaawansowanych ekonomicznie
    Some thoughts on the dilemas regarding the influence of foreign trade on the economic development of less economically advanced contries
    Autorzy:
    Rynarzewski, Tomasz
    Powiązania:
    https://bibliotekanauki.pl/articles/539831.pdf
    Data publikacji:
    2013
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    wolny handel
    polityka handlowa
    polityka przemysłowa
    kraje rozwijające się
    niestabilność dochodów eksportowych
    statyczne i dynamiczne ujęcie przewagi komparatywnej
    hipoteza Prebischa-Singera
    free trade
    trade policy
    industry policy
    developing countries
    export revenues instability
    static and dynamic approach to comparative advantage
    Prebisch-Singer hypothesis.
    Opis:
    Współczesny handel międzynarodowy rozwija się szybciej aniżeli produkcja światowa, wywierając wpływ na rozwój gospodarczy krajów. Korzyści wynikające z udziału w międzynarodowym podziale pracy są jednak istotnie większe w krajach rozwiniętych aniżeli krajach rozwijających się. Kraje mniej zaawansowane ekonomicznie, które specjalizują się w produkcji i eksporcie surowców, są narażone na szczególnie wysoką niestabilność dochodów eksportowych oraz niekorzystnie kształtujące się w długim okresie terms of trade. Tym samym handel zagraniczny tych krajów w warunkach petryfikacji ich struktury gospodarczej nie może podobnie pozytywnie jak w krajach rozwiniętych wpływać na ich rozwój gospodarczy. Autor przedstawia w artykule rozważania w postaci ogólnych refleksji odnoszących się do roli liberalizacji handlu przeprowadzanej w krajach rozwijających się w ramach ich strategii rozwojowej. Formułowane w artykule wnioski wskazują na konieczność odejścia od jednolitych i uniwersalnych zasad polityki rozwojowej dla całej grupy tych krajów oraz uwzględnienia ich indywidualnych etapów rozwoju i specyfiki sytuacji gospodarczej, a także na potrzebę zaakceptowania adekwatności dynamicznego ujęcia zasad przewagi komparatywnej w kształtowaniu ich perspektywicznej struktury gospodarczej.
    Modern international trade is developing faster than global production, which affects the economic development of countries. The benefits of participation in the international division of labour, however, are significantly higher in developed countries than in developing countries. Less economically advanced countries which specialise in the production and export of raw materials are subjected to particularly high volatility in export earnings as well as adverse terms of trade over the long term. Thus, the foreign trade of those countries, given the petrification of their economic structure, cannot exert such a favourable influence on their economic development as it does in the case of developed economies. In this article the author considers in general terms the role of trade liberalisation which is being implemented in developing countries as part of their development strategy. The conclusions formulated in this paper indicate the necessity of moving away from the uniform and universal principles of a development policy designed for a whole group of these countries and instead taking into account their individual stages of development and their specific economic situation. The findings also point to the need for accepting the adequacy of the principles of dynamic comparative advantage in shaping the outlook of their economic structures.
    Źródło:
    Studia Oeconomica Posnaniensia; 2013, 1, 1(250)
    2300-5254
    Pojawia się w:
    Studia Oeconomica Posnaniensia
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-7 z 7

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