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Wyświetlanie 1-15 z 78
Tytuł:
Intraday volatility modeling: the example of the Warsaw Stock Exchange
Autorzy:
Sokalska, Magdalena
Powiązania:
https://bibliotekanauki.pl/articles/452738.pdf
Data publikacji:
2010
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
Volatility
ARCH
Intra-day Returns.
Opis:
We present an intraday volatility model for equally spaced data and apply it for the WIG Index- a broad market index of the Warsaw Stock Exchange. The current study is an application and extension of the model proposed by Engle and Sokalska [2010]. We decompose the conditional variance of intraday returns into components that have a natural interpretation and can be easily estimated.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2010, 11, 1; 139-144
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The influence of variations in liquidity on expected stock returns
Autorzy:
Szutenberg, Aleksandra
Powiązania:
https://bibliotekanauki.pl/articles/518031.pdf
Data publikacji:
2011
Wydawca:
Uniwersytet Gdański. Wydział Ekonomiczny
Tematy:
investment
liquidity
risk
returns
asset pricing
Opis:
The paper has reflected upon the literature that studies the relationships between time variations in liquidity, innovations in aggregate liquidity and how they affect the present and expected returns. There are presented different measures of liquidity, illiquidity as well as liquidity risk. The liquidity measures were implemented into asset pricing model. The correlation found between liquidity risk and stock markets returns was greater than the one between liquidity risk and factors typically used in asset pricing studies. To summarize, liquidity risk is an important determinant of expected asset returns.
Opracowanie przedstawia, istniejące w literaturze światowej, rozmaite podejścia do zmienności płynności aktywów w czasie, jak też innowacje w pojęciu płynności zagregowanej oraz ich wpływ na rzeczywiste i oczekiwane wyniki z inwestycji. Przedstawione zostały różne miary płynności, a także ryzyka płynności. W opisywanej literaturze, miary płynności zostały wprowadzone przez autorów do modelu wyceny aktywów. Udowodniono, że korelacja między ryzykiem płynności i wynikami inwestycyjnymi jest wyższa niż w przypadku korelacji wyników z inwestycji z innymi czynnikami, często branymi pod uwagę w procesie wyceny wartości inwestycji. Ryzyko płynności jest więc istotną determinantą oczekiwanych wyników inwestycyjnych.
Źródło:
Zeszyty Studenckie Wydziału Ekonomicznego „Nasze Studia”; 2011, 5; 157-163
1731-6707
Pojawia się w:
Zeszyty Studenckie Wydziału Ekonomicznego „Nasze Studia”
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Comparison of intraday volatility forecasting models for polish equities
Autorzy:
Sokalska, Magdalena
Powiązania:
https://bibliotekanauki.pl/articles/452859.pdf
Data publikacji:
2012
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
forecasting volatility
ARCH
intraday equity returns
Opis:
Several competing intraday volatility forecasting models for equally spaced data have been proposed in the literature. This study reviews a number of models and compares their forecasting performance using data on the market index of the Warsaw Stock Exchange. We also discuss choice criteria and issues specific to volatility forecast evaluation.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2012, 13, 2; 107-124
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Ziemia niczyja. Zwroty badawcze w literaturoznawstwie i ich konsekwencje dla nauczania literatury
Returns on Literary Research and Their Consequences for Teaching Literature
Autorzy:
Koziołek, Krystyna
Powiązania:
https://bibliotekanauki.pl/articles/511529.pdf
Data publikacji:
2012
Wydawca:
Wydawnictwo Uniwersytetu Śląskiego
Tematy:
returns on research
didactics
ethics
theology
Opis:
The author of the article poses a question concerning adequacy of research proposals inspired by the circle called ‘the ethic of reading’ and ‘theological return’. She points out to the fact that questions concerning axiology of reading, that have been recently considered old- fashioned, are the classical problems of humanistics today. It results from the notion of interference between different disciplines, but above all from the fact that ethical response to the work of literature is an integral element of individual reading. Ethics appears in read-ers mind before poetics. It makes possible uniting a reader (that has been wrongly divided into an emotional and a suspicious kind) into one subject of multiple reading experience. Powerful institutions of a text are based after all on individual reading of a subject that ex-periences, understands and evaluates the text.
Źródło:
Postscriptum Polonistyczne; 2012, 2(10); 109-126
1898-1593
2353-9844
Pojawia się w:
Postscriptum Polonistyczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Proces logistyki zwrotnej w B2C e-commerce
Reverse logistics process in B2C e-commerce
Autorzy:
Pluta-Zaremba, A.
Cichosz, M.
Powiązania:
https://bibliotekanauki.pl/articles/1382273.pdf
Data publikacji:
2016
Wydawca:
Polskie Wydawnictwo Ekonomiczne
Tematy:
zwroty
zarządzanie zwrotami
logistyka zwrotna
B2C
handel elektroniczny
returns
returns management
reverse logistics
e-commerce
Opis:
Artykuł przedstawia proces logistyki zwrotnej w e-commerce w segmencie B2C ze szczególnym uwzględnieniem wyzwań w obsłudze logistyki „pierwszej mili” oraz kolejnych etapów procesu związanych z przyjęciem zwróconych towarów, ich oceną oraz ponownym wprowadzeniem do sprzedaży. Pokazuje znaczenie operatorów logistycznych dla efektywnej i sprawnej obsługi zwrotów. Ponadto zwraca uwagę na usługi, wprowadzane przez operatorów KEP i pocztowych na polskim rynku, które nie tylko usprawniają odbiór zwracanych produktów od indywidualnych klientów, lecz przede wszystkim zwiększają wybór i wygodę konsumentów.
Dynamic development of e-commerce in Poland induces increasing demand for efficient and effective reverse logistics. The article concentrates on the five stage process of reverse logistics in B2C e-commerce. The most challenging “first mile” logistics and other stages as: products quality control and reuse or disposal of returned goods are analyzed. Moreover the paper shows how increasing demand for product returns has forced, CEP service providers and postal companies to develop services dedicated to returns that enhance e-retailers’ efficiency and effectiveness as well increase consumers’ choice and convenience.
Źródło:
Gospodarka Materiałowa i Logistyka; 2016, 8; 9-16
1231-2037
Pojawia się w:
Gospodarka Materiałowa i Logistyka
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models
Autorzy:
Triacca, Umberto
Powiązania:
https://bibliotekanauki.pl/articles/483247.pdf
Data publikacji:
2009
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
GARCH Models
returns
time series
volatility persistence
Opis:
Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2009, 1, 3; 285-291
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
AN ANALYSIS OF RAMADAN EFFECT BY GJR-GARCH MODEL: CASE OF BORSA ISTANBUL
Autorzy:
Akbalik, Murat
Tunay, K. Batu
Powiązania:
https://bibliotekanauki.pl/articles/489121.pdf
Data publikacji:
2016
Wydawca:
Instytut Badań Gospodarczych
Tematy:
stock returns
anomalies
Ramadan effect
GJR-GARCH
Opis:
Although there are a lot of studies testing the calendar effect in BIST, there are limited numbers of studies testing the Ramadan effect. In this study, the period of 05 August 1997–24 October 2014 is tested by the GJR-GARCH(1,1) model on the basis of BIST 30, 100, all, second national, sectors and sub-sectors. In some of the models, the dummy variable of Ramadan did not have significant coefficients. In the models that provide significant value of the dummy variable of Ramadan, coefficients of this variable are negative. This shows that, in the Ramadan, return rates of the second national index, chemistry, and manifacturing, textile, trust companies sectors are affected negatively. Any significant result could not be found whether Ramadan has effect upon other sector indices. Findings are in the direction that even if the month of Ramadan generally doesn’t increase the average return, it makes a positive impact on the market by reducing the volatility of returns.
Źródło:
Oeconomia Copernicana; 2016, 7, 4; 593-612
2083-1277
Pojawia się w:
Oeconomia Copernicana
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Does the change in the company’s name affect the share price? The case study of the Polish capital market
Autorzy:
Asyngier, Roman
Powiązania:
https://bibliotekanauki.pl/articles/522186.pdf
Data publikacji:
2018
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Abnormal returns
Name changes
Warsaw Stock Exchange
Opis:
Aim/purpose – The paper was aimed to find out if abnormal returns occur before and after changes in the names of companies listed on the Warsaw Stock Exchange. Design/methodology/approach – Due to the fact that this was an early stage of the research, an appropriate methodology was used in the research which took into account indexes of relative force of quotations of some selected companies in relation to the wide Warsaw Stock Exchange WIG index. Findings – The research findings proved the existence of positive abnormal returns before the name changes and negative trends after the name changes in companies in the long term. Comparing the average volume of share trading before and after the name changes in companies, no positive effect was noticed in this scope. Research implications/limitations – The clear and unambiguous results appear to be significant for investors while taking investment decisions. Therefore, the conclusions from the findings of the pilot research need to be confirmed and verified in further studies on the problem, with the use of a more advanced methods. Originality/value/contribution – The paper represents one of the few empirical studies on the impact of the name changes of listed companies on the share prices in relation to the emerging markets, and the first ones concerning the Polish share market. The findings of the study may give grounds to discuss and identify practical causes of market behaviors as a result of changes in companies’ names.
Źródło:
Journal of Economics and Management; 2018, 32; 18-29
1732-1948
Pojawia się w:
Journal of Economics and Management
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Should we rely on forecasts of prices or returns? The short term approach
Autorzy:
Majerowska, Ewa
Powiązania:
https://bibliotekanauki.pl/articles/582777.pdf
Data publikacji:
2017
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
modelling returns
CAPM with GARCH
moving average
Opis:
Investors make their decisions on the basis of the information coming from the market. The main features of assets are prices and investment risk. The rates of return are calculated based on the prices. For modelling the returns, capital asset pricing models can be applied; for the prices, methods of technical analysis could be taken into account. The purpose of this paper is to evaluate both approaches. First – financial modelling of the assets’ returns, and the second – the analysis of the assets’ prices. In order to verify the effectiveness of the forecasting processes, forecasts and ex-post type forecasting errors were calculated. The empirical analysis is based on the stock prices of ten food companies traded on the Warsaw Stock Exchange. The traditional CAPM and the extension of the CAPM by the GARCH(1,1) process are in use. As the technical analysis tool for price modelling, three period moving averages are calculated. The obtained results allow indicating the superiority of modelling the returns, in terms of short-term forecasting. Unfortunately, the hypothesis about the advantage of the application of GARCH for modelling, and then for forecasting, must be rejected.
Źródło:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2017, 482; 187-200
1899-3192
Pojawia się w:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Trading volume and volatility of stock returns: Evidence from some European and Asian stock markets
Autorzy:
Chocholatá, Michaela
Powiązania:
https://bibliotekanauki.pl/articles/453499.pdf
Data publikacji:
2011
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
volatility
TGARCH model
trading volume
stock returns
Opis:
This paper analyses the relationship between the daily volatility of stock returns and the trading volume using the TGARCH models for selected European and Asian stock markets. The leverage effect has been proved in all analysed cases. The logarithm of the trading volume was included into the conditional volatility equation as a proxy for information arrival time. Although in case of all analysed Asian stock returns the inclusion of the trading volume led to the moderate decline of the conditional volatility persistence, the results in case of European stock returns were not so unambiguous.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2011, 12, 1; 27-36
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Regional variation in the effect of schooling on peoples incomes in Poland
Autorzy:
Domański, Henryk
Pokropek, Artur
Powiązania:
https://bibliotekanauki.pl/articles/1036026.pdf
Data publikacji:
2015
Wydawca:
Uniwersytet Warszawski. Wydział Geografii i Studiów Regionalnych
Tematy:
Incomes
returns from education
PISA
regional variation
meritocracy
Opis:
The analysis, based on a Polish national sample from 2006, aims to cast light on the regional variation in the effect of education on incomes. Building on the conceptual framework developed in the theory of human capital we investigate to what extent pay-offs for human capital differ across detailed administrative districts in Poland. By incorporating contextual characteristics, we examine how micro- and macro-level factors shape labour market outcomes. Our findings provide further support for the hypothesis that there is much regional variation in the influence of education on incomes, which suggests that there are better and worse places for the development of a meritocratic distribution of incomes. It appears that education pays more highly in more economically-developed regions, marked by a higher rate of occupational activity.
Źródło:
Miscellanea Geographica. Regional Studies on Development; 2015, 19, 1; 12-18
0867-6046
2084-6118
Pojawia się w:
Miscellanea Geographica. Regional Studies on Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
No Spearman’s Law of Diminishing Returns for the working memory and intelligence relationship
Autorzy:
Kroczek, Bartłomiej
Ociepka, Michał
Chuderski, Adam
Powiązania:
https://bibliotekanauki.pl/articles/430610.pdf
Data publikacji:
2016-04-01
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
working memory
fluid intelligence
Law of Diminishing Returns
Opis:
Spearman’s Law of Diminishing Returns (SLODR) holds that correlation between general (g)/fluid (Gf) intelligence factor and other cognitive abilities weakens with increasing ability level. Thus, cognitive processing in low ability people is most strongly saturated by g/Gf, whereas processing in high ability people depends less on g/Gf. Numerous studies demonstrated that low g is more strongly correlated with crystallized intelligence/creativity/processing speed than is high g, however no study tested an analogous effect in the case of working memory (WM). Our aim was to investigate SLODR for the relationship between Gf and WM capacity, using a large data set from our own previous studies. We tested alternative regression models separately for three types of WM tasks that tapped short-term memory storage, attention control, and relational integration, respectively. No significant SLODR effect was found for any of these tasks. Each task shared with Gf virtually the same amount of variance in the case of low- and high-ability people. This result suggests that Gf and WM rely on one and the same (neuro)cognitive mechanism.
Źródło:
Polish Psychological Bulletin; 2016, 47, 1; 73-80
0079-2993
Pojawia się w:
Polish Psychological Bulletin
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Comovements of stock markets in Visegrad countries in years 2004-2017
Autorzy:
Grabowski, Wojciech
Powiązania:
https://bibliotekanauki.pl/articles/580717.pdf
Data publikacji:
2018
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
stock returns
comovements
VEC-GARCH-BEKK model
contagion
Opis:
In this paper comovements of stock markets in the Visegrad countries in years 2004-2017 are analysed. Parameters of the VEC-GARCH-BEKK model are estimated. Results of the empirical study indicate that stock returns in Poland, the Czech Republic and Hungary were sensitive to stock returns of DAX. Moreover, investors analysed performance of stock markets in the whole group of Visegrad countries, when deciding to buy or sell stocks from one market (in Warsaw, Prague or Budapest). Results of the analysis of the shocks’ transmission mechanism and the volatility transmission mechanism indicate that especially shocks coming from the German stock market strongly affected volatilities of the rates of return in the Visegrad countries.
Źródło:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2018, 519; 88-98
1899-3192
Pojawia się w:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Macroeconomic News Effects on the Stock Markets in Intraday Data
Autorzy:
Będowska-Sójka, Barbara
Powiązania:
https://bibliotekanauki.pl/articles/483253.pdf
Data publikacji:
2013
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
intraday returns
macro surprises
news effect
periodicity
volatility
Opis:
The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The reaction to the American macroeconomic surprises is stronger than to the German ones.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2013, 5, 4; 249-269
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Mandatory Electronic Communication with a Tax Administrator
Autorzy:
Vavříková, Martina
Powiązania:
https://bibliotekanauki.pl/articles/1368129.pdf
Data publikacji:
2021-02-01
Wydawca:
Uniwersytet Gdański. Centrum Prawa Samorządowego i Prawa Finansów Lokalnych
Tematy:
Tax law
tax procedure
digitalization
electronic tax returns
Opis:
The purpose of this text is to present an overview of the evolution of digital communication in tax law and highlight major changes which recently occurred in the process of digitalization regarding the communication between a tax administrator and taxpayers when submitting a tax document. The first part of the article will point out leading elements of digital submissions and provide theoretical and functional perspective on characteristics of electronic communication. The second part of the text aspires to analyse sanctions resulting from breaching rules regarding the mandatory electronic submission of tax documents. This article will then discuss the varieties of sanctions as an outcome of enforcing the tax procedural rules regarding the mandatory electronic document submission.
Źródło:
Financial Law Review; 2021, 21, 1; 80-93
2299-6834
Pojawia się w:
Financial Law Review
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 78

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