The behaviour of stock markets in transition economies

In the paper we investigate the properties of the stock markets in six transition economies: Slovenia, Hungary, Poland, Russia, Slovakia and the Czech Republic. We try to find out, whether the transition has some effect on the stock markets in the sense of Efficient Market Hypothesis (EMH). According to the empirical work done in this field we suggest methodology, which will be based on a new approach for testing the validly of the EMH. In contrast to other studies, we will not only test the EMH for the whole transition process, but also investigate whether the result are stable over time. This will probably give us some additional information on the transition process in the observed countries

The behaviour of stock markets in transition economies : is there a transition effects?

In the paper we investigate the properties of the stock markets in six transition economies: Slovenia, Hungary, Poland, Russia, Slovakia and the Czech Republic. We try to find out, whether the transition has some effect on the stock markets in the sense of Efficient Market Hypothesis (EMH). According to the empirical work done in this field we suggest methodology, which will be based on a new approach for testing the validly of the EMH. In contrast to other studies, we will not only test the EMH for the whole transition process, but also investigate whether the result are stable over time. This will probably give us some additional information on the transition process in the observed countries

Vpliv likvidnostnega tveganja na izračun tvegane vrednosti

V članku uvajamo likvidnost v standardno analizo tvegane vrednosti. Osnovne VaR modele nadgradimo z informacijami o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Nadgrajene modele testiramo na podlagi domačega in tujih naborov delnic. Ugotavljamo, da likvidnostni VaR modeli ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja. Le-ti metodološko na eni strani predstavljajo napredek v okviru obravnave tržnih tveganj, vendar na drugi strani rezultati testiranj modelov kažejo pomanjkanje robustnosti. Glede primerjave rezultatov po naborih delnic pa ugotavljamo, da so rezultati za slovenski nabor kljub manjši globini trga primerljivi s tistimi iz tujine.In this article we implement liquidity in the standard value-at-risk framework. We incorporate bid-ask spread into basic VaR models. We then test these models on three foreign markets and on a domestic one. We conclude that liquidity VaR models adequately measure market risk. On one hand, the liquidity VaR methodology represents advancement in market risk analysis, but on the other hand, those models are not yet robust enough to pass all back tests. Comparing the results between markets we conclude that the results for the domestic market are comparable to those of foreign ones despite their size difference

Auditor’s going-concern opinion prediction: the case of Slovenia

In an audit of a firm’s financial statements, the auditor assesses whether there is material uncertainty about the firm’s ability to continue as a going concern. If the existence of material uncertainty is confirmed, the auditor considers the adequacy of the firm’s disclosures regarding its going concern in the firm’s annual report. Most commonly, if the firm’s disclosures are adequate, the auditor issues a going-concern opinion in the auditor’s report. The auditor modifies his opinion on firm’s financial statements because of auditor’s going-concern doubt on the firm’s ability to continue as a going-concern rarely in specific circumstances. In the present paper we provide an auditor’s going-concern prediction model using various combinations of a firm’s economic predictors. A sample data of 14,761 firm-year observations from Slovenia during the period 2005–2013 has been used for the model. The results reveal that firms with a going-concern qualification have a worse financial structure (i.e., lower equity financing rates), worse liquidity, worse efficiency, and worse profitability in comparison to firms without this qualification. Using a logistic regression prediction model for a going concern qualification in auditor’s report, qualification can be predicted with sufficient accuracy on a sample data of Slovenian firm

Identification of auditor’s report qualifications: an empirical analysis for Slovenia

An auditor’s report qualifies a company’s financial statements if the management’s representation of the company’s financial affairs is not in accordance with nationally generally accepted accounting pronouncements. The present research studies the qualification of auditors’ reports in relation to the circumstances in the company’s economic situation that lead to the qualification. Qualifications have been analysed on a sample of 293 large Slovenian companies. The results reveal that companies with qualified auditors’ reports have high indebtedness, low liquidity, low efficiency and poor profitability in comparison with companies with unqualified auditors’ reports. From a statistical viewpoint, a logistic model can distinguish between companies that received a qualified auditor’s report and companies that received an unqualified auditor’s report on a sample of Slovenian large companies

Estimating marginal infrastructure cost in new infrastructure charging model

Konkurentnost željezničkog prijevoza u usporedbi s cestovnim se smanjuje, naročito na regionalnim željezničkim prugama. Kako bi se poboljšala ta situacija, EU je donijela razne direktive i pravila u svrhu povećanja učinkovitosti željezničkih poduzeća. U ovom radu predstavljamo organizacijski i ekonomski model koji se zasniva na europskoj politici vođenja lokalnog željezničkog sustava. Organizacijski model se temelji na analizi odluke o više kriterija. Za ekonomski smo model primijenili ekonometrijski pristup u procjeni funkcije troškova i marginalnih troškova na regionalnim prugama, koji predstavljaju osnovu troškova na željeznici. Primjenom takvog organizacijskog modela, poboljšat će se funkcioniranje željezničke mreže. Istraživanjem se ustanovilo da bi promjena postojećeg modela izračuna troškova korištenja infrastrukture donijela ekonomske koristi rukovodiocu željezničke infrastrukture i onima koji su zaduženi za promet. Primjenom predloženog modela također smo ustanovili da ima smisla povećati protok robe na nekorištenim željezničkim linijama jer su troškovi održavanja željezničke infrastrukture neelastični u odnosu na prevezene bruto tone.Competitiveness of rail transport compared to road transport has been reducing, especially on regional railway lines. To improve this situation, the EU adopted various directives and regulations to increase efficiency of railway undertakings. In this paper we present an organizational and economic model based on European policies for local railway system. The organizational model is based on multi-criteria decision analysis. For the economic model we used an econometric approach to estimate the cost function and marginal costs in regional lines, which constitute the basis for railway charges. By implementing such an organizational model, the functioning of the railway network will improve. The research found that a change in the existing model of calculating costs of infrastructure use would bring economic effects for the railway infrastructure manager and the providers of transport. Using the proposed model we also found that it is reasonable to increase the flow of goods on unused regional railway lines because the railway infrastructure maintenance costs are inelastic with regard to transported gross tons

Odvisnost vrzeli DDV in ukrepi finančne uprave

The paper examines the VAT gap estimated on the basis of VAT tax returns. The assessment of tax gap dependence is examined based on macroeconomic influences and the measures of the Slovenian fiscal administration. Regarding the latter, the number of audits being performed and the effects of audit activity (tax yield) have been considered. The results of the analysis support the thesis that the tax gap is reduced in conditions of economic growth. The fiscal administration measures showed the desired effect. An important factor lowering the gap was proven to be the number of (VAT) audits. A similar impact on the tax gap, although considerably smaller, was found to have effects of an audit. Audit planning might be considered as guidance for fiscal policies to lower the tax gap.Prispevek analizira DDV-vrzel, ki je bila ocenjena na osnovi izpolnjenih davčnih napovedi za DDV. Ocena odvisnosti davčne vrzeli je analizirana na osnovi makroekonomskih vplivov in ukrepov Finančne uprave RS. V zvezi s slednjimi je upoštevano število izvedenih pregledov ter učinki aktivnosti pregledov (pobrani davek). Rezultati analize podpirajo tezo, da se davčna vrzel zmanjšuje v pogojih ekonomske rasti. Ukrepi finančne uprave so pokazali želeni učinek. Izkazalo se je, da je pomemben dejavnik zmanjševanja vrzeli prav število (DDV) pregledov. Podoben, vendar pomembno manjši učinek imajo učinki pregledov. Načrtovanje pregledov bi se lahko štelo kot smernica za fiskalno politiko s ciljem zmanjševanja davčne vrzeli

Slovenian banking sector experiencing the implementation of capital requirements directive

Like all the member states of the European Union, Slovenia was also obligated to implement EU Directives 2006/48/EC and 2006/49/EC into national banking legislative. Basel II rules were implemented into Slovenian legislative in December 2006 and have been valid from 1st of January 2007. Before that, there have been some activities in order to perceive the consequences of Basel II on Slovenian banking sector and an attempt of the regulator to discuss possible changes in the regulation of Slovenian banks. The paper exploits the implications and consequences of Basel II for Slovenian banking sector. In order to gain an insight into Slovenian banks a survey was conducted just three months before the implementation of Basel II