The long-run relationship between the stock market and main macroeconomic variables in Poland

The long-run relationship between the stock market and main macroeconomic variables in Polan

Predicting the performance of equity anomalies in frontier emerging markets: a Markov switching model approach

Equity anomalies in frontier markets appear and disappear over time. This article aims to demonstrate the predictability of which of these transient anomalies will be profitable using a Markov switching model. To do so, we examine 140 equity anomalies identified in the literature using a unique sample of over 3,600 stocks from 23 frontier equity markets between 1997 and 2016. The application of a Markov switching model reveals that the time-series pattern of expected returns is dependent upon the type of anomaly; some anomalies become unprofitable over time whereas profitability increases in tandem with the development of a specific stock market for other types of anomalies. Results further indicate that forecasts of the next month’s return obtained from this model can translate into profitable investment strategies. We find that an anomaly selection strategy that relies on the model produces abnormal returns and outperforms a naïve benchmark that considers all the anomalies. We go onto demonstrate that our results are robust

Evidence for Charging Effects in CdTe/CdMgTe Quantum Point Contacts

Here we report on fabrication and low temperature magnetotransport measurements of quantum point contacts patterned from a novel two-dimensional electron system - CdTe/CdMgTe modulation doped heterostructure. From the temperature and bias dependence we ascribe the reported data to evidence for a weakly bound state which is naturally formed inside a CdTe quantum constrictions due to charging effects. We argue that the spontaneous introduction of an open dot is responsible for the replacement of flat conductance plateaus by quasi-periodic resonances with amplitude less than 2e^{2}/h, as found in our system. Additionally, below 1 K a pattern of weaker conductance peaks, superimposed upon wider resonances, is also observed.Comment: 4 pages, 4 figure

MAGNETIC PROPERTIES OF Fe NANOWIRES ELECTRODEPOSITED IN SELF-ORDERED ALUMINA MEMBRANE

The iron nanowire arrays (NWs) were fabricated by DC electrodeposition into hexagonally ordered alumina pores. With the use of X-ray diffraction analysis, the structure of iron wires was determined. The iron wires have the Body Centered Cubic structure. The influence of cathodic deposition potential and parameters of membrane on the magnetic properties of nanowire arrays was investigated. Magnetic properties analyzed by VSM measurements suggest that the easy axis of magnetization follows the nanowire axis, with coercivity increasing with a decrease of nanowire diameter and length. The dependence of the height of Fe wires on the electrodeposition potential was determined. The low cathodic potential and smaller pore diameter are the synthesis parameters most beneficial for large coercivity with easy axis along nanowires

Quantum effects in linear and non-linear transport of T-shaped ballistic junction

We report low-temperature transport measurements of three-terminal T-shaped device patterned from GaAs/AlGaAs heterostructure. We demonstrate the mode branching and bend resistance effects predicted by numerical modeling for linear conductance data. We show also that the backscattering at the junction area depends on the wave function parity. We find evidence that in a non-linear transport regime the voltage of floating electrode always increases as a function of push-pull polarization. Such anomalous effect occurs for the symmetric device, provided the applied voltage is less than the Fermi energy in equilibrium

Spatial contagion between stock markets in Central Europe

In this paper, we investigate contagion between three European stock markets: those in Frankfurt, Vienna, and Warsaw. Two of them are developed markets, while the last is an emerging market. Additionally, the stock exchanges in Vienna and Warsaw are competing markets in the CEE region. On the basis of daily and intraday returns, we analyze and compare the dependence between the major indices of these markets during calm and turbulent periods. A comparison of the dependence in the tail and in the central part of the joint distribution of returns (via a spatial contagion measure) indicates strong contagion among the analyzed markets. Additionally, the application of a conditional contagion measure indicates the importance of taking into account the situation on other markets when contagion between two markets is considered

The Errors-in-Variable Model in the Optimal Portfolio Construction

In the paper we consider a modification of Sharpe’s method used in classical portfolio analysis for optimal portfolio building. The conventional theory assumes there is a linear relationship between asset’s return and market portfolio return, while the influence of all the other factors is not included. We propose not to neglect them any more, but include them into a model. Since the factors in question are often hard to measure or even characterize, we treat them as a disturbances on random variables used by classical Sharpe’s method.The key idea of the paper is the modification of the classical approach by application of the errors-in-variable model. We assume that both independent (market portfolio return) as well as dependent (given asset’s return) variables are randomly distributed values related with each other by linear relationship and we build the model used for parameters’ estimation.To verify the model, we performed an analysis based on archival data from Warsaw Stock Exchange. The results are also included

Plasmonic terahertz detectors based on a high-electron mobility GaAs/AlGaAs heterostructure

In order to characterize magnetic-field (B) tunable THz plasmonic detectors, spectroscopy experiments were carried out at liquid helium temperatures and high magnetic fields on devices fabricated on a high electron mobility GaAs/AlGaAs heterostructure. The samples were either gated (the gate of a meander shape) or ungated. Spectra of a photovoltage generated by THz radiation were obtained as a function of B at a fixed THz excitation from a THz laser or as a function of THz photon frequency at a fixed B with a Fourier spectrometer. In the first type of measurements, the wave vector of magnetoplasmons excited was defined by geometrical features of samples. It was also found that the magnetoplasmon spectrum depended on the gate geometry which gives an additional parameter to control plasma excitations in THz detectors. Fourier spectra showed a strong dependence of the cyclotron resonance amplitude on the conduction-band electron filling factor which was explained within a model of the electron gas heating with the THz radiation. The study allows to define both the advantages and limitations of plasmonic devices based on high-mobility GaAs/AlGaAs heterostructures for THz detection at low temperatures and high magnetic fields.Comment: 8 pages, 11 figure

Selected Approaches for Testing Asset Pricing Models Using Polish Stock Market Data

Streszczenie. The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity are tested

Selected approaches for testing asset pricing models using Polish stock market data

The main objective of this paper was to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods were compared in a simulation study. The main stress was put on the behavior of the selected methods for small samples. The parameters used in the simulation study were obtained based on real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity of the model were tested