Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective

With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated financial systems. The present study focuses on the contagion effects at Eastern European stock markets and changes in their interconnections after EU accession in 2004. Specifically, we investigate the relationship among the stock market sectors of Poland, Hungary and the Czech Republic during 19982009 and their exposure to on-shored financial risk. The evidence suggests direct linkages between different stock market sectors with respect to returns and volatilities with increased equity-shock transmission between markets after EU accession in 2004. Of particular note is the intra-industry contagion in emerging Europe. Our findings have implications for asset pricing and portfolio selection for international financial institutions and financial managers.GARCH-BEKK; international risk transfer; emerging Eastern Europe; spillovers; intra- and inter-industry contagion

Global and local sources of risk in Eastern European emerging stock markets

We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, Czech Republic, Hungary, Bulgaria, Slovenia and Russia. Most of these markets display considerable segmentation; the aggregate emerging market risk, as opposed to global market risk, is the significant driver for their stock market returns. It also appears that currency risk is priced into stock prices. The difference between local and global interest rates can be used to model the time-variation in the betas for both sources of risk.market integration; segmentation; asset pricing; emerging markets; Eastern Europe country risk

Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe

The purpose of this study is threefold. First, we look at the linkages between Eastern European emerging equity markets and Russia. Second, we investigate the relationships between the currency markets of Poland, Hungary, Russia, and the Czech Republic. Finally, we examine the interdependence between Emerging Eastern European and Russian equity and currency markets. We estimate a bivariate GARCH-BEKK model proposed by Engle and Kroner (1995) using weekly returns. We find evidence of direct linkages between the equity markets in terms of both returns and volatility, as well as in the currency markets. When analyzing the relationships between currency and stock markets we find unidirectional volatility spillovers from currency to stock markets. The results show clear evidence of integration of Eastern European markets within the region and with Russia as well.GARCH-BEKK, volatility spillovers, stock market, currency market, Emerging Eastern Europe, Russia

Global and Local Sources of Risk in Eastern European Emerging Stock Markets

We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, the Czech Republic, Hungary, Bulgaria, Slovenia, and Russia. Most of these markets display considerable segmentation; the aggregate emerging market risk, as opposed to global market risk, is the significant driver for their stock market returns. It also appears that currency risk is priced into stock prices. The difference between local and global interest rates can be used to model the time-variation in the betas for both sources of risk.market integration, segmentation, asset pricing, emerging markets, Eastern Europe country risk

Quantification of growth kinetics and adherence of oxide scales formed on Ni-based superalloys at high temperature

Cyclic and isothermal oxidation behaviors of first and fourth-generation superalloys AM1 and MCNG were investigated to evaluate the ability of the scratch test to quantify the adhesion of multi-layered oxide scales. Effects of sulfur content and of scale thickness were studied independently. Available models lead to large discrepancies in the calculated work of adhesion values with the evaluation of the residual stress being the largest source of error. Nevertheless, models can assess the effect of sulfur content and the scratch test can be used to correlate the long-term cyclic oxidation behavior and the adhesion of oxide scales

Evaluation of Cultural Impact on Regional Economic Development in Russia

Paper is devoted to Dependence of economic development of the Russian regions on their cultural level indicators. It determines and analyzes the influence degree of cultural components of the region development on its economic factors. The investigated statistical base consists of selected cultural and economic indices taken in the period of 2000-2015 years. The hypothesis of significant influence degree of the visits to museums and in particular, theatres number, on the amount of implemented innovational technologies was confirmed. A hypothesis about the close relationship between the volumes of expenditures of the Russian budget for culture and the level of research and development work, as well as directly the number of innovative industrial technologies introduced was confirmed. Hypotheses about the close interaction of cultural indices and such macroeconomic parameters as GDP growth, the volume of the capital investments have not been confirmed. A weak correlation between library holdings volume and the studied economic indicators was noted. The research can be used in design of the regional development programs, in forming budget priorities of budgets projects, or in taking other management decisions programming the basis for effective social and economic policy of the regions

Market reaction to firms’ investments in CSR projects

Purpose: The purpose of this paper is to determine the impact of corporate investments in corporate social responsibility (CSR), measured by the environmental, social and government (ESG) rating, on the market valuation of a firm's stocks and to explain the regional differences in the degree of this influence. Design/methodology/approach: The empirical study uses linear and non-linear panel regression models for a panel sample of 951 firms listed in Asia, North America and Europe operating in innovative industries. Findings: The CSR score was found to be significant in terms of stock excess return on the regional level. However, this finding cannot be extrapolated to the global scale. ESG rating is priced by the European and North American markets negatively, while in the Asian market, it is positive. This penalty (negative influence) is greater than the reward for one point increase in ESG rating. Practical implications: The results of this empirical study could be used by firms' managers to adjust strategies aimed at stock value growth and by investors to select an investment strategy to maximize return. Originality/value: The impact of investments in CSR on stock excess return over a defined benchmark is assessed. The study reveals regional differences in the impact of CSR investment using a sample of Asian, European and North American firms. The authors apply a more advanced lagged CSR performance (d.ESG) assessment based on the methodology of Zhang and Rajagopalan (2010).Objetivo: El propósito de este documento es determinar el impacto de las inversiones corporativas en responsabilidad social corporativa (RSC), medida por la calificación ambiental, social y gubernamental (ASG), en la valoración de mercado de las acciones de una empresa y explicar las diferencias regionales en el grado de esta influencia. Diseño/metodología/enfoque: El estudio empírico utiliza modelos de regresión de panel lineal y no lineal para una muestra de panel de 951 empresas cotizadas en Asia, América del Norte y Europa que operan en industrias innovadoras. Hallazgos: Se encontró que la puntuación de CSR era significativa en términos de exceso de rentabilidad de las acciones a nivel regional. Sin embargo, este hallazgo no se puede extrapolar a escala global. La calificación ASG tiene un precio negativo en los mercados europeo y norteamericano, mientras que en el mercado asiático es positivo. Esta penalización (influencia negativa) es mayor que la recompensa por un aumento de un punto en la calificación ASG. Implicaciones prácticas: Los resultados de este estudio empírico podrían ser utilizados por los gerentes de las empresas para ajustar estrategias dirigidas al crecimiento del valor de las acciones y por los inversores para seleccionar una estrategia de inversión para maximizar el rendimiento. Originalidad/valor: Se evalúa el impacto de las inversiones en RSC sobre el exceso de rentabilidad de las acciones sobre un punto de referencia definido. El estudio revela diferencias regionales en el impacto de la inversión en RSE utilizando una muestra de empresas asiáticas, europeas y norteamericanas. Los autores aplican una evaluación rezagada del desempeño de la RSE (d.ASG) más avanzada basada en la metodología de Zhang y Rajagopalan (2010)

Influence of institutional quality on economic growth in Russia: Strategy 2020 case study

本文关注于俄罗斯体制对其本国经济的大致影响，具体而言，自2008年起，政府 倡议体制质量改善的种种举措。 本研究的主要目的是了解经济发展和体制结构之间的相关性，总结近十年在世界 上的主要趋势，评估俄罗斯的近情况，并预测不久的将来。我们指出并建议，体制差 导致将经济增长放缓，并也可能影响进一步发展的国家。而俄罗斯现阶段只是刚刚意 识到并评估这个问题。 在第一，二章中基于一个必要的调查，进行了一个简短的文献回顾的简要和解释 的理论基础的解释。在第3章中，我们介绍了调查方法，并获得所需的数据，然后将 其在第4和第5章分析。This paper investigates on the influence of the institutional quality on economic growth with special attention to Russian case, taking into account government initiatives for institutional quality improvement since year 2008. The main goal of this research is to understand correlation between economic growth and institutional quality, summarize main trends in the world for the recent decade, ...学位：经济学硕士院系专业：王亚南经济研究院_金融学(含保险学)学号：2772011115439

Петербургские типы в прозе Н.А. Некрасова и в романе Ф.М. Достоевского «Преступление и наказание»

Predecessors of the heroes of the novel F.M. Dostoevsky`s Crime and Punishment - Rodion Raskolnikov and Sonya Marmeladova - you can consider the heroes of the novel Notes from the Underground - Paradoxalist and Lisa. In turn, these images were created under the influence of the Petersburg types N.A. Nekrasov, like Semen Zakharovich Marmeladov. In the stories of the 1840s-50s N.A. Nekrasov, creating his Petersburg heroes, is looking for new techniques of characterization under the influence of the “natural school”. The main feature of the heroes of Nekrasov and Dostoevsky is the lack of integrity, internal splitting. The heroines of Nekrasov, combining childishness and pride, are the predecessors of Dostoevsky’s heroines - Katerina Ivanovna and Sonya Marmeladova. But, if Nekrasov’s social problematic comes to the fore, Dostoevsky pays more attention to psychology and the spiritual and spiritual state of the characters.Предшественниками героев романа Ф.М. Достоевского «Преступление и наказание» - Родиона Раскольникова и Сони Мармеладовой – можно считать героев повести «Записки из подполья» - Парадоксалиста и Лизу. В свою очередь, эти образы создавались под влиянием петербургских типов Н.А.Некрасова, как и Семен Захарович и Катерина Ивановна Мармеладовы. В повестях 1840-50-х годов Н.А. Некрасов, создавая своих петербургских героев, ищет новые приемы характеристики под влиянием «натуральной школы». Главная особенность героев Некрасова и Достоевского – отсутствие цельности, внутренняя расколотость. Героини Некрасова, соединяя в себе детскость и гордость, являются предшественницами героинь Достоевского, - Катерины Ивановны и Сони Мармеладовой. Но, если у Некрасова на первый план выходит социальная проблематика произведения, то Достоевский больше внимание уделяет психологии и душевно-духовному состоянию героев

The long-term trends on Russian electricity market: comparison of empirical mode and wavelet decompositions

The problem of trend-cyclic component filtering from price time-series arises in many commodity market studies, including those of wholesale electricity market. The long-term component filtering is an important part of price analysis since incorrect determination of this component may result in substantial risk underestimation, distorted expectations of both consumers and power generating companies, as well as financial losses. A great strand of literature on this topic proposes quite a lot of approaches and procedures for solving this problem, but all of them suffer from two principal flaws: (1) inability to deal with non-stationary and nonlinear processes; (2) assumption of an "a priori", knowledge of the phenomenon being studied. The complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) allows to effectively overcome these flaws and is expected to produce more adequate results as compared to other methods. In order to check this, we compare the performance of CEEMDAN with the ordinary EMD and yet another well-known approach - the wavelet-decomposition, with an example of the Russian day-ahead electricity market (price zones Europe-Ural and Siberia). Our results shows that the CEEMDAN is much more effective than the standard EMD and is comparable with the wavelet-decomposition (in terms of trend estimation error). At the same time, we found that there are some real data problems with the criterion of the number of low-frequency modes that are included into trend