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Macroeconomic functions of the Russian stock market
PublicationThe purpose of this article is to present the structure of the stock market in the Russian Federation and the significance of this part of national financial system for the whole economy, particularly the degree of main macroeconomic functions fulfillment. First part of the text includes an overview of the main theoretical concepts linked with the stock market roles as well as a brief description of results of selected studies...
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The (lack of) momentum effect in the UAE stock market
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A note on value investing in the UAE stock market
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Is there a low-risk anomaly in the UAE stock market?
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The transformation of the Chinese stock market between 1990 and 2012
PublicationThe 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...
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The Efficiency of Polish Stock Market: Ordinal Patterns Approach
PublicationZunino et al. analyzed the problem of discrimination of developed and emergent markets by the use of ordinal patterns methods: number of forbidden patterns and ordinal pattern probability distribution as a basis for entropy and statistical measure of complexity. In this paper we apply the same methodology for the analysis of Polish stock market (index WIG). The results indicate that Polish market belongs neither to developed, nor...
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The momentum effect in country-level stock market anomalies
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An Application of Factor Pricing Models to the Polish Stock Market
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Russian companies on foreign stock markets: alternative to domestic market?
PublicationFirst aim of this study is to present the main aspects of the Russian stock market, including obstacles for local companies and investors. Second aim is presentation of the Russian companies listed on foreign stock exchanges. In order to perform such analysis, descriptive statistics and information about qualitative features were used. Assessment of the Russian stock market’s development level covered 2003-2012 time period. According...
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The low price anomaly and the Intriguing Case of the Polish Stock Market
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Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies
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Paper profits or real money? Trading costs and stock market anomalies in country ETFs
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Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe
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Stock market reactions under the shadow of the COVID-19 pandemic: Evidence from China
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The impact of mega sports events on the stock markets
PublicationWpływ wielkoformatowych imprez sportowych na gospodarkę może być rozpatrywany na różnych płaszczyznach. Najczęściej przywołuje się zmiany w zakresie PKB kraju lub regionu goszczącego, zmiany na rynku pracy, rozbudowę bądź modernizację infrastruktury oraz tendencje w zakresie przepływu turystycznego. Kanały oddziaływania tak dużych wydarzeń są jednak dużo szersze i obejmują ponadto: życie publiczne, polityczne i kulturalne, informację,...
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Stock markets in BRIC: development levels and macroeconomic implications
PublicationThe main purpose of the article is the presentation of changes in the stock market development level and their implications for the real economy in BRIC, i.e. Brazil, Russia, India and China. Research method was case studies based on qualitative and quantitative data. First part of the text is devoted to presenting main concepts regarding theoretical linkages between the stock market and real economy. Empirical part begins with...
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Trade competitiveness and the aggregate returns in global stock markets
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Reverse splits in international stock markets: Reconciling the evidence on long-term returns
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MERGERS AND ACQUISITIONS: EVIDENCE ON POST-ANNOUNCEMENT PERFORMANCE FROM CEE STOCK MARKETS
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Machine learning goes global: Cross-sectional return predictability in international stock markets
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Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles
PublicationThis paper used the GSADF test to determine the periods defined in this paper as price bubbles in the three markets studied, i.e. the investment wine market, precious metal market and national stock market indices of G-7 countries. The results obtained enabled the calculation of the values of the phi correlation coefficients, which served the research objective of assessing the co-occurrence of price bubbles in the markets analysed....
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Stock Markets’ Reactions to the Announcement of the Hosts. An Event Study in the Analysis of Large Sporting Events in the Years 1976–2032
PublicationThis study attempts to estimate the impact of the announcements of hosts of large sporting events on domestic stock markets. The research problem is to establish a connection between the uniqueness of a sporting event and investors’ beliefs through stock price behavior. Using appropriate estimation windows, 13 different sporting events classified as large, including mega and major events, were tested. The obtained results show...
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Nexus between stock markets, economic strength, R&D and environmental deterioration: new evidence from EU-27 using PNARDL approach
PublicationThis research investigates the impact of stock market indices, economic strength, and research and development expenditures on environmental deterioration in the EU-27 countries for the period 2000–2020. This study utilized linear and non-linear panel ARDL to estimate the short- and long-run effect. According to the results, the stock market indices have negative effect on environmental deterioration in the symmetric form. However,...
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Accounting Quality and Audit Attributes on the Stock Price Crashes in an Emerging Market
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Value, Size, Momentum, and Unique Role of Microcaps in CEE Market Stock Returns
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Exploring Stock Traders’ Cognitive Biases: Research Design and Simulator Framework
PublicationCognitive bias is a phenomenon that has been extensively studied in stock trading and many other fields. This paper presents a framework for a Mobile Stock Trading Simulator (MSTS) that facilitates automatic investment in stocks with minimal human influence, by investigating the behavioral patterns and cognitive errors of stock market investors. The paper aims to determine whether investors’ investment strategies can be improved...
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News that Moves the Market: DSEX-News Dataset for Forecasting DSE Using BERT
PublicationStock market is a complex and dynamic industry that has always presented challenges for stakeholders and investors due to its unpredictable nature. This unpredictability motivates the need for more accurate prediction models. Traditional prediction models have limitations in handling the dynamic nature of the stock market. Additionally, previous methods have used less relevant data, leading to suboptimal performance. This study...
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The accuracy of alternative stock valuation methods – the case of the Warsaw Stock Exchange
PublicationThe main aim of this article is to examine the accuracy of different methods of share valuation used by Polish analysts in reports prepared in order to issue recommendations for companies listed on the Warsaw Stock Exchange. In the literature on the subject, the view which prevails is that the more sophisticated methods, i.e. those taking into account the discounting process, are characterised by higher valuation accuracy. However,...
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Exploring Cause-and-Effect Relationships Between Public Company Press Releases and Their Stock Prices
PublicationThe aim of the work is to design and implement a method of exploring the cause-and-effect relationships between company announcements and the stock prices on NASDAQ stock exchange, followed by a brief discussion. For this purpose, it was necessary to download the stock quotes of selected companies from the NASDAQ market from public web sources. Additionally, media messages related to selected companies had to be downloaded, and...
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Analysing the Residential Market Using Self-Organizing Map
PublicationAlthough the residential property market has strong connections with various sectors, such as construction, logistics, and investment, it works through different dynamics than other markets; thus, it can be analysed from various perspectives. Researchers and investors are mostly interested in price trends, the impact of external factors on residential property prices, and price prediction. When analysing price trends, it is beneficial...
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Information and communication technologies versus diffusion and substitution of financial innovations. The case of exchange-traded funds in Japan and South Korea
PublicationThe substitution between financial innovations, exchange-traded funds (ETFs), and stock index derivatives (i.e. index financial instruments) is one of the relatively understudied topics of the financial sciences. The current study aims to verify empirically the diffusion and substitution of ETFs in the market for index financial instruments. It presents in-depth analysis of the development of index financial instruments traded...
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Methods of Artificial Intelligence for Prediction and Prevention Crisis Situations in Banking Systems
PublicationIn this paper, a support vector machine has been studied due to prediction of bank crisis. To prevent outcomes of crisis situations, artificial neural networks have been characterized as applied to stock market investments, as well as to test the credibility of the bank's customers. Finally, some numerical experiments have been presented.
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Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?
PublicationThe article investigates the existence of a price bubble in the artificial intelligence market, employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time warping methodology. It proposes a method to detect the end of the price bubble euphoria phase, generating an average profit of close to 7% over 5 days and over 10.5% over 20 days, with almost 90% effectiveness. The study found that the AI market experienced...
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ESG investing during the Covid-19 crisis. Evidence from Central European Stock Exchanges
PublicationAs COVID-19 turned into a global pandemic, world markets gradually began to recover after initial dynamic declines. Restrictions, and their subsequent loosening, were, and are, not without significance for the financial markets. These particular circumstances provide a unique opportunity to contribute to the literature by focusing on the potential resilience of ESG (environmental, social and governance) investing in an era of crisis....
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Intraday price reaction to filing bankruptcy and restructuring proceedings – the evidence from Poland
PublicationThis chapter presents the results of research on the price reaction of shares listed on the Warsaw Stock Exchange to filing bankruptcy and/or restructuring applications. Event study was adopted as the research method, and it was performed at 10, 5, and 1-minute intervals. It was found that the reaction is rapid, as it takes 1–2 minutes after the information on bankruptcy and restructuring applications was made public. Significantly...
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Economic significance of initial public offerings in China and India
PublicationRapid economic growth in China and India has attracted attention of many researchers, focusing on various social and economic factors underlying the success of these countries. One of the key components of country’s economy is financial system which consists of segments such as banking sector and equity market. The topic of initial public offerings (IPOs), one of the corporate financing sources, involving raising funds through...
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Are Pair Trading Strategies Profitable During COVID-19 Period?
PublicationPair trading strategy is a well-known profitable strategy in stock, forex, and commodity markets. As most of the world stock markets declined during COVID-19 period, therefore this study is going to observe whether this strategy is still profitable after COVID-19 pandemic. One of the powerful algorithms of DBSCAN under the umbrella of unsupervised machine learning is applied and three clusters were formed by using market and accounting...
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EXCHANGE TRADED COMMODITIES AS A CATEGORY OF INNOVATIVE PRODUCTS ON EUROPEAN FINANCIAL MARKETS
PublicationThe article presents the main features of one category of innovative financial products – exchange traded commodities (ETCs) and results of the analysis of the European market for ETCs. ETCs are products listed and traded on the stock exchanges and they offer investors returns based on various assets (commodities or currencies). In contrast with the most widely recognized exchange traded funds (ETFs), ETCs are structured as debt...
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Structure of the US investment company industry over the period 2000 to 2017: substitution analysis
PublicationOver the last years the investment company industry has undergone deep transformation in the majority of the most advanced economies, including the United States. Traditional investment companies, such as mutual funds, have lost their market share to innovative exchange-traded funds (ETFs). The main distinctive features of ETFs are listing and trading in their units on the stock exchanges as well as lower costs for investors. The...
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Exchange-traded products in Germany: development and substitution of exchange-traded funds, exchange-traded commodities and exchange-traded notes.
PublicationResearch background: Exchange-traded products (ETPs) are one of the most rapidly growing categories of financial products. Their fast development has been boosted by innovative features. Three main categories of ETPs are exchange-traded funds (ETFs), exchange-traded commodities (ETCs) and exchange-traded notes (ETNs). ETCs and ETNs remain least known, even though their number on some stock exchanges is high. In Europe, Germany...
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The role of investments in economic development
PublicationIn the modern world, one may observe diversification of economies of given countries. Many of them, considered to be less developed,are aspiring to diminish the gap between them and well developed countries, one of such countries is Poland, which is trying hard to boots its competitive position in the worldwide market and achieve the constant and well-balanced development. It can be attained by building knowledge economy. Therefore,...
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CSR – A FASHION OR REAL COMMITMENT? THE CASE OF POLISH LISTED COMPANIES
PublicationThis article, without claiming to be the ultimate reference, aims at assessing the social commitment of the large and solid financially, listed on the Warsaw Stock Exchange (WSE), Polish companies, on the eve of the implementation of the EU directive on disclosure of non-financial and diversity information (2014/95/EU). The selected companies seem perfect to form a vanguard of CSR in Poland, but the results of the analysis indicate...
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Investor confidence and high financial literacy jointly shape investments in risky assets
PublicationHouseholds consistently invest less in equities and bonds than predicted by economic theory. We explain this from a behavioral economics perspective and distributional analysis using rich US survey microdata. We find that higher investor self-confidence in her financial abilities and financial literacy jointly increase the probability of investing in equities. Conditional on participation, confidence in the macroeconomy additionally...
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Short-term Price Reaction to Involuntary Bankruptcies Filed in Bad Faith: Empirical Evidence from Poland
PublicationPurpose: Assessing the reaction of the prices of shares of companies listed in the Warsaw Stock Exchange to the public disclosure of information about the filing a bankruptcy petition in bad faith by creditors. Design/Methodology/Approach: Event study analysis. Findings: It can therefore be assumed that the filing of an unfounded bankruptcy petition does not, in the short term, have a statistically significant negative impact on...
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The Impact of Covid-19 on the Performance of Exchange Traded Funds on Developed and Emerging Markets
PublicationIn this paper an endeavour was made to evaluate the impact of Covid-19 on the achievement of the investment objectives by selected ETFs in developed and emerging markets. For this purpose, the tracking errors calculated for 18 different ETFs operating on the basis of American, Asian and European stock indexes were analyzed. The time range of the research was selected in such a way as to compare the period before the pandemic(pre-Covid)...
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Corporate Governance and Ownership Structure in the Top 30 Listed Non Financial Companies in Poland
PublicationThis paper offers a first analysis of the relationships between corporate governance models and rules and ownership structure of the top 30 Polish firms listed at the WSE (not considering foreign firms and/or the Polish branches of foreign firms listed at the same stock exchange, nor the financial companies and the banks). The general picture depicted by this analysis is putting into evidence the increasing importance of institutional...
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New technologies and diffusion of innovative financial products: Evidence on exchange-traded funds in selected emerging and developed economies
PublicationExchange-traded funds (ETFs) are one of the most rapidly-expanding categories of innovative financial products that have been introduced on many financial markets, in both emerging and developed economies. Our research contributes to the present state of knowledge by examining factors, including information and communication technologies (ICTs), influencing the diffusion of ETFs. In our research, we consider also the impact of...
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Investor confidence and high financial literacy jointly shape investments in risky assets
PublicationHouseholds consistently invest less in equities and bonds than predicted by economic theory. We explain this from a behavioral economics perspective and distributional analysis using rich US survey microdata. We find that higher investor self-confidence in her financial abilities and financial literacy jointly increase the probability of investing in equities. Conditional on participation, confidence in the macroeconomy additionally...
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Inwestycje w surowce w połączeniu z polskim rynkiem kapitałowym, analiza ryzyka i efektywności
PublicationW artykule przedstawiono główne kategorie i rodzaje inwestycji w surowce. Cel opracowania to zbadanie czy inwestycja w Warszawski Indeks Giełdowy stanowi główny składnik optymalnego tj. cechującego się minimalnym ryzykiem portfela inwestycyjnego. Ponadto ustalono czy wspomniana inwestycja tradycyjna stanowi najważniejszy element portfela inwestycyjnego odznaczającego się najwyższą efektywnością. Stwierdzono, że wszystkie z 29 analizowanych...
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Reshaping financial systems: The role of ICT in the diffusion of financial innovations – Recent evidence from European countries
PublicationExchange-traded funds (ETFs) are among the fastest-growing types of innovative financial products. The emergence and spread of these instruments have been facilitated by the digital revolution. Information and communication technology (ICT) is profoundly reshaping the global economic landscape, laying solid foundations for unrestricted and unbounded flows of information and knowledge, eliminating information asymmetries, and furthering...