Key Sector Analysis: A Case of the Transited Polish Economy

The transition process from a centrally planned economy to a market economy started in Poland at the beginning of the 1990s. In this paper we try to answer the question in which direction has the structure of Polish economy changed, if indeed it has. By means of the key sector analysis applied to the Polish input-output tables that come from the period 1990–2000, we find that the structure of the Polish economy still remains characteristic of a centrally planned economy rather than a market economy. Although, in the last year of the period under study, the first improvement symptoms could be observed (the increased significance of services in the Polish economy) but there is still a lot of work to be done. An inefficient operation in the case of some sectors reaches a considerable level. This is reflected by the structure of the most important input-output coefficients, of which, the most important inputs are located on the diagonal of the sensitive matrix.input-output tables, transition, key sector analysis

Stock Prices and Resignation of Members of the Board: The Case of the Warsaw Stock Exchange

In this paper we provide an empirical analysis of announcements of resignation of board members using data which comes from the Warsaw Stock Exchange. The market reaction to this information is tested at different time horizons by means of event study methodology. The results show that market reaction is rather positive immediately before the announcement release and negative over the following six-day-period starting on the event day. A possible explanation for this phenomenon is suggested. Besides the traditional examination of abnormal return behaviour, we also check whether or not resignation announcements induce increases in the variance of stock returns over the period under consideration. It turns out that a tendency towards increased stock return volatility can be observed in the whole period prior to the announcement release.managerial resignations, abnormal returns, event-induced variance, emerging stock market

Long Memory on the German Stock Exchange

In this study, the contributors present the results of their investigations into the long-memory properties of trading volume and the volatility of stock returns (given by absolute returns and alternatively by square returns). Their database is daily stock data of German companies in the DAX segment of the German Stock Exchange. The purpose of these investigations is the calculation of memory parameters and to determine whether there exists the same degree of long memory for trading-volume and return-volatility data. Calculations are performed on daily results from January 1994 to November 2005 and in three sub-periods: January 1994 to December 1997, January 1998 to December 2001, and January 2002 to November 2005.DAX 30; trading volume; univariate and bivariate long memory

The impact of institutional investors on risk and stock return autocorrelation in the context of the polish pension reform

The main aim of this paper is to examine the relationship between the increasing share of institutional investors resulting from the pension reform in Poland and stock return autocorrelation as well as risk level on the Warsaw Stock Exchange. The problem under consideration is investigated by applying the M–GARCH model for the individual stocks included in the investment portfolios of the pension funds operating in Poland.stock return autocorrelation, risk, institutional investors, pension reform

Long memory of volatility measures in time series

The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1) models for selected parameters. Simulation results suggest, that estimates of the conditional variance long memory and the long memory in squared residuals can considerable differ. Moreover, only for small d positive relationship between the long memory estimates of squared residuals and the fractional integration parameter d of FIGARCH model can be observed.FIGARCH, long memory, simulations

The Modified Diagonalization Method for Analysing Clusters within Economies

In this paper a modification of the diagonalization method, originally put forward by Hoen (2002), is suggested which is aimed at uncovering clusters of sectors within an input-output framework. Our interest in this subject was largely motivated by the fact that the preceding method appears to be incapable of providing us with an accurate representation of the real cluster structure that exists in an economy, as a consequence of missing the position at which a given inter-sectoral flow stands in the hierarchy of the purchasing industry and the supplying industry. By making a distinction between an internal and external relationship, when it comes up at the moment of deciding whether each pair of industries is categorized as belonging to the same or different clusters, the proposed alternative, which will be referred to as the modified diagonalization method, seems to be superior to its predecessor. Such a conclusion is supported by the results of comparison of the relative performance of the rival methods (i.e. the original and modified diagonalization method) which show, among other things, that the average value of flows between industries grouped into clusters is higher in the case of the proposed method.internal and external interindustrial relationships, diagonalization method, clusters

Polish stock market and some foreign markets – dependence analysis by copulas

By applying copulas the examination was carried out to find out whether trading volume, stock return and return volatility are pairwise dependent. In the investigations it was shown that there exists a close relationship between these variables on the domestic market and between Polish stock returns and the returns of foreign stock market indexes. A similar significant relationship concerns also trading volumes. In addition, stock returns (returns volatility) of the Austrian and especially of the German stock market influence Polish trading volume. The lack of significant DJIA returns impact on the trading volume on WSE on the same day is probably caused by the fact that changes of DJIA lead changes on the European stock markets.Copulas, dependences, stock returns, trading volume

The relationship between budgetary expenditure and economic growth in Poland

Abstract This paper investigates the association between different kinds of budgetary expenditure and economic growth of Poland. The empirical analysis makes use of linear and nonlinear Granger causality tests to evaluate the applicability of Wagner’s Law and that of the contrasting Keynesian theory.We employ aggregate and disaggregate data with the sub-categories of most important budgetary expenditure, including health care and social security, education and science, national defence and public security expenditure and government administration expenditure for the period Q1 2000 to Q3 2008. This causality analysis indicates that total relation between budgetary expenditure and economic growth is consistent with Keynesian theory. The results of our computations have important policy implications. In case of Poland the health care expenditure was found to be as important for economic growth as expenditures on education and science. Furthermore, in order to stimulate economic growth, Polish government should consider reallocating some of national defence, public security and government administration expenditure to health care, social security, education and science expenditure.Government expenditure · Linear and nonlinear causality · Bootstrap techniques

Joint Dynamics of Prices and Trading Volume on the Polish Stock Market

This paper concerns the relationship between stock returns and trading volume. We use daily stock data of the Polish companies included in the WIG20 segment (the twenty most liquid companies quoted on the primary market of the Warsaw Stock Exchange). The sample covers the period from January 1995 to April 2005. We find that there is no empirical support for a relationship between stock return levels and trading volume. On the other hand, our calculations provide evidence for a significant contemporaneous interaction between return volatility and trading volume. Our investigations reveal empirical evidence for the importance of volume data as an indicator of the flow of information into the market. These results are in line with suggestions from the Mixture of Distribution Hypothesis. By means of the Granger causality test, we establish causality from both stock returns and return volatility to trading volume. Our results indicate that series on trading activities have little additional explanatory power for subsequent price changes over that already contained in the price series.abnormal stock returns, return volatility, abnormal trading volume, GARCH-cum-volume, causal relations

Implications of Dividend Announcements for the Stock Prices and Trading Volumes of DAX Companies (in English)

This paper deals with market reactions to dividend announcements on the German stock market. Our study is based on a model of expected dividends with regard to the reluctance-to-change-dividends hypothesis. State-of-the-art models are used to detect price and volume reactions to dividend news. Empirical results provide evidence that announced dividend changes convey new information to the market. On average, stock prices move in the same direction as dividends. One can observe an increase in stock-return volatility in anticipation of expected news. For the entire sample, we find that trading volumes exhibit significant increases around dividend announcement dates. This supports the hypothesis that dividend change in either direction causes an increase in investors’ propensity to revise their portfolios.abnormal stock returns; dividend announcements; GARCH modeling; trading volume