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    Wyświetlanie 1-6 z 6
    Tytuł:
    Comparison of capital markets in Bulgaria, Romania and Slovakia in years 2001-2009
    Autorzy:
    Kompa, Krzysztof
    Powiązania:
    https://bibliotekanauki.pl/articles/452985.pdf
    Data publikacji:
    2012
    Wydawca:
    Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
    Tematy:
    emerging capital markets
    stock index
    time series analysis
    Opis:
    The aim of research is evaluation of the development of stock exchanges in Sofia, Bucharest and Bratislava in the years 2000-2009. The analysis is provided for the logarithmic rates of return of main stock indexes quoted in the investigated countries, employing central tendency, dispersion and skewness measures as well as statistical inference. The research is provided for the whole period and for the sub-periods that are distinguished due to the general tendency at capital markets.
    Źródło:
    Metody Ilościowe w Badaniach Ekonomicznych; 2012, 13, 2; 48-59
    2082-792X
    Pojawia się w:
    Metody Ilościowe w Badaniach Ekonomicznych
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Index of Central and East European securities quoted at Warsaw Stock Exchange - WIG-CEE
    Autorzy:
    Kompa, Krzysztof
    Powiązania:
    https://bibliotekanauki.pl/articles/453055.pdf
    Data publikacji:
    2012
    Wydawca:
    Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
    Tematy:
    emerging capital markets
    stock index
    WSE
    Opis:
    After 20 years of transition in Central and Eastern Europe (CEE) the capital markets are considered to be emerging markets and they are still developing. In the last few years, the Warsaw Stock Exchange achieved the first position in the CEE region by the number of listed companies, the value of shares turnover and by the value of market capitalization. Because of the growing number of listed foreign companies from the CEE countries the Warsaw Stock Exchange decided to launch the first regional index. The aim of this paper is to describe the index construction and to investigate its properties through the application of statistical methods.
    Źródło:
    Metody Ilościowe w Badaniach Ekonomicznych; 2012, 13, 2; 60-72
    2082-792X
    Pojawia się w:
    Metody Ilościowe w Badaniach Ekonomicznych
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries
    Autorzy:
    Kouretas, Georgios
    Syllignakis, Manolis
    Powiązania:
    https://bibliotekanauki.pl/articles/483237.pdf
    Data publikacji:
    2012
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    emerging European stock markets
    stock return volatility
    Markov switching
    financial crises
    Opis:
    In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed since the opening of their capital markets. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and what the degree of correlation across these markets is. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that two or three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crises as well as over the 2007-2009 financial turmoil, while there is a transition to the low volatility regime as they approach the accession to the EU in 2004. It is also shown that the capital flows liberalization process has resulted in an increase in volatility of stock returns in most cases.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2012, 4, 2; 65-93
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Do managers really care about shareholders’ expectations? Evidence on dividend smoothing on Latin American emerging stock markets
    Czy menedżerowie spółek starają się uwzględniać oczekiwania akcjonariuszy? Analiza zjawiska wygładzania dywidend na wybranych giełdowych rynkach Ameryki Łacińskiej.
    Autorzy:
    Mosionek-Schweda, Magdalena
    Mrzygłód, Urszula
    Nowak, Sabina
    Powiązania:
    https://bibliotekanauki.pl/articles/424937.pdf
    Data publikacji:
    2017
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    payout policy
    dividend smoothing
    emerging markets
    Latin American stock markets
    Opis:
    The main goal of the paper is to examine dividend smoothing behaviour among companies listed on the stock markets in Brazil, Chile, Colombia, Mexico and Peru in the period of 1994-2015. The research sample consisted of 227 companies and 4968 observations. On the basis of Lintner’s dividend partial adjustment model, we calculated the speed of dividend adjustment (SOA) in response to the change in earnings. We found many companies with low SOA values, which on the grounds of the classic Linter’s approach implies the existence of dividend smoothing. However, the obtained average SOA values varied in four out of five analyzed stock markets from 0.731 for Chile to 0.914 for Brazil.This means that on selected emerging stock markets of Latin America – except Peru – the dividend smoothing has not been confirmed. Moreover, the obtained SOA levels varied among the selected stock markets, which implies that the differences in the speed of dividend adjustment may be driven by either national or stock markets characteristics.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2017, 2 (56); 67-91
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Is Bitcoin an emerging market? A market efficiency perspective
    Autorzy:
    Skwarek, Mateusz
    Powiązania:
    https://bibliotekanauki.pl/articles/22443141.pdf
    Data publikacji:
    2023-09-04
    Wydawca:
    Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
    Tematy:
    long-range dependence
    bitcoin
    market efficiency
    emerging stock markets
    Hurst exponent
    Opis:
    Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study indicates whether the dynamics of Bitcoin market efficiency mimic those of emerging stock markets. Thus, the paper’s contribution emerges from the combination of Bitcoin and emerging markets in the field of dynamics of market efficiency. The dynamics of market efficiency are measured using the Hurst exponent in the rolling window. The study uses daily data for the MSCI Emerging Markets Index and the Bitcoin market over the period 2011–2022. Our results show that there is at most a moderate correlation between the dynamics of Bitcoin and emerging stock markets’ efficiency over the entire study period. The strongest correlations occur mainly in periods of high economic policy uncertainty in the largest Bitcoin mining countries. Therefore, the association between Bitcoin market efficiency and emerging stock markets’ efficiency may strengthen with an increase in economic policy uncertainty. These findings may be useful for investors and portfolio managers in constructing better investment strategies.
    Źródło:
    Central European Economic Journal; 2023, 10, 57; 219-236
    2543-6821
    Pojawia się w:
    Central European Economic Journal
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Intraday patterns in time-varying correlations among Central European stock markets
    Autorzy:
    Wójtowicz, T.
    Powiązania:
    https://bibliotekanauki.pl/articles/108424.pdf
    Data publikacji:
    2016
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    CEE stock markets
    DCC-GARCH model
    emerging markets
    intraday data
    Opis:
    In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare time-varying conditional correlations of intraday returns of the main indices of the stock exchanges. We study the impact of important public information, US macroeconomic news announcements, on the strength of interrelationships between the markets. Additionally, we analyze diurnal patterns in time-varying correlations on different days of the week.
    Źródło:
    Managerial Economics; 2016, 17, 1; 149-162
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-6 z 6

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