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Macroeconomic functions of the Russian stock market
PublikacjaThe 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
PublikacjaThe 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
PublikacjaZunino 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?
PublikacjaFirst 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
PublikacjaWpływ 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
PublikacjaThe 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
PublikacjaThis 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
PublikacjaThis 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
PublikacjaThis 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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Individual corporate reputation, perception of collective corporate reputation, stock market investments
Dane BadawczeThere are two ways of conceiving of corporate reputation: individual and collective. Although related, they are not driven by the same factors. Thus, each of them may have a distinct impact on investment decisions. The following dataset includes the data obtained in an incentivized economic experiment based on vignette studies. We induced the perception...
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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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WIG rate of return histogram and normal distribution curve
Dane BadawczeThe conducted market analysis covered the period of stock exchange quotations from the beginning of 2010 to the end of 2019 (04/01/2010 - 30/12/2019). Daily data was used, in the form of closing prices of indices operating on the Warsaw Stock Exchange. In order to obtain a complete and generalized picture of the market, the quotations of 4 indices were...
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Exploring Stock Traders’ Cognitive Biases: Research Design and Simulator Framework
PublikacjaCognitive 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
PublikacjaStock 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
PublikacjaThe 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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Ljung-Box test values of selected companies of the Warsaw Stock Exchange
Dane BadawczeThe following dataset includes the Warsaw Stock Exchange market analysis using the Ljung-Box test. Partial autocorrelations up to the 5th order were analyzed, because it will allow to observe the relationship within one week of stock exchange quotations. In the case of the WIG index, the 1st and 2nd order correlation turned out to be statistically significant....
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Share price and capitalization of selected banks in 2007-2012
Dane BadawczeThe crisis also caused the value as measured by the stock market indices of the 5 largest banks in the US to decline by as much as 18 times. The table below shows the stock exchange valuation of the 5 largest banks, taking into account the period 2007-2012. When analyzing the activities of banks through the prism of the value of their stock exchange...
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Olgun Aydin dr
OsobyOlgun Aydin finished his PhD by publishing a thesis about Deep Neural Networks. He works as a Principal Machine Learning Engineer in Nike, and works as Assistant Professor in Gdansk University of Technology in Poland. Dr. Aydin is part of editorial board of "Journal of Artificial Intelligence and Data Science" Dr. Aydin served as Vice-Chairman of Why R? Foundation and is member of Polish Artificial Intelligence Society. Olgun is...
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Exploring Cause-and-Effect Relationships Between Public Company Press Releases and Their Stock Prices
PublikacjaThe 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
PublikacjaAlthough 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
PublikacjaThe 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
PublikacjaIn 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?
PublikacjaThe 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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Anna Rzeczycka dr hab.
OsobyAnna Rzeczycka jest zastępcą kierownika Katedry Finansów na Wydziale Ekonomii i Zarządzania Politechniki Gdańskiej. Publikacje sytuują się w dziedzinie nauk społecznych w zakresie dyscypliny ekonomia i finanse. Obejmują one książki, monografie, artykuły, publikacje i redakcje naukowe monografii i zeszytów naukowych. Liczbowo obejmuje on następujące pozycje: 12 monografii i podręczników, 115 publikacji w czasopismach naukowych,...
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ESG investing during the Covid-19 crisis. Evidence from Central European Stock Exchanges
PublikacjaAs 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
PublikacjaThis 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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Błażej Prusak dr hab.
OsobyBłażej Prusak jest kierownikiem Katedry Finansów na Wydziale Zarządzania i Ekonomii Politechniki Gdańskiej oraz redaktorem naczelnym czasopisma Research on Enterprise in Modern Economy - theory and practice (REME)/Przedsiębiorstwo we współczesnej gospodarce - teoria i praktyka, a także członkiem komitetów redakcyjnych takich czasopism jak: Intellectual Economics; Przestrzeń. Ekonomia. Społeczeństwo; Akademia Zarządzania. Jest autorem...
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Are Pair Trading Strategies Profitable During COVID-19 Period?
PublikacjaPair 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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Economic significance of initial public offerings in China and India
PublikacjaRapid 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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Błażej Kochański dr
OsobyBłażej Kochański jest adiunktem w Katedrze Statystyki i Ekonometrii na Wydziale Zarządzania i Ekonomii Politechniki Gdańskiej, ekspertem ds. ryzyka bankowego. Pracował dla banków w Polsce i Europie jako specjalista ds. ryzyka, kierownik ds. planowania i analiz, członek zarządu ds. ryzyka, członek rady nadzorczej i konsultant ds. zarządzania. Zbudował liczne modele predykcyjne wspomagające zarządzanie ryzykiem, z sukcesem zarządzał...
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EXCHANGE TRADED COMMODITIES AS A CATEGORY OF INNOVATIVE PRODUCTS ON EUROPEAN FINANCIAL MARKETS
PublikacjaThe 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
PublikacjaOver 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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Michał Bernard Pietrzak dr hab.
OsobyMichał Bernard Pietrzak jest kierownikiem Katedry Statystyki i Ekonometrii na Wydziale Ekonomii i Zarządzania Politechniki Gdańskiej oraz zastępcą redaktora naczelnego ds. oceny pod względem poprawności statystycznej czasopism: Oeconomia Copernicana i Equilibrium. Quarterly Journal of Economics and Economic Policy. Do października 2021 pracował na stanowisku profesora nadzwyczajnego na Wydziale Nauk Ekonomicznych i Zarządzania,...
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Revenues to the state budget from the sale of shares in state-owned banks in 1994-2000
Dane BadawczeOn June 14, 1996, a special law was passed on the merger and grouping of certain banks in the form of joint-stock companies. Pursuant to these regulations, the PeKaO S.A. banking group was established, which was the only entity of this type established in this way. Additionally, by the end of 1996, four out of nine regional banks were sold, i.e. Wielkopolski...
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Exchange-traded products in Germany: development and substitution of exchange-traded funds, exchange-traded commodities and exchange-traded notes.
PublikacjaResearch 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...