Modelling and Forecasting the Volatility of Thin Emerging Stock Markets: the Case of Bulgaria

The result of this research shows that the SOFIX index has basic characteristics that are observed in most of the emerging stock markets, namely: high risk, significant autocorrelation, non-normality and volatility clustering. Three models have been applied to assess and estimate the Bulgarian stock market risk: RiskMetrics, EWMA with t-distributed innovations and EWMA with GED distributed innovations. The results revealed that the EWMA with t-distributed innovations and the EWMA with GED distributed innovations evaluate the risk of the Bulgarian stock market adequately.Przeprowadzone analizy wskazują, że indeks giełdowy SOFIX charakteryzuje się typowymi cechami: wysokim ryzykiem autokorelacji i nienormalnym rozczłonkowaniem. W celu oszacowania i oceny ryzyka giełdy w Bułgarii wykorzystano trzy modele: RiskMetrics, EWMA oraz zmodyfikowany model EWMA. Z analiz wynika, że dwa ostatnie modele dosyć dokładnie szacują ryzyko na bułgarskiej giełdzie papierów wartościowyc

Do Intangibles Influence the Market Rate of Return? Panel Data Analysis of the Newconnect Market in Warsaw

Financial markets in most countries are changing by opening new sections of exchange for companies in early stage of development. Nowadays young companies are looking for capital from investors who are interested in financing innovative and risky projects, expecting higher rate of return. Alternative systems of trading are becoming more and more popular. This sector is growing rapidly, mostly supporting the commercialization of innovations by small and medium companies. Based on the above, we can state that innovativeness influences the rate of return of young and fast growing companies. The innovativeness is associated with the intellectual capital of a company which can be proxied and measured by its intangible assets listed on the balance sheet. Hence, we form our research question and main testable hypothesis that the level of a firm’s intangible assets affects positively the rate of return on the market. We applied panel data regression analysis in various forms and we found that the cash flow is correlated positively and significantly with the rate of return while other variables like intangibles could affect the rate of return negatively and the size variable positively in a sample of small and medium sized companies. However, the model parameters are questionable since it is well known that the behavior of young companies is unpredictable

An Empirical Investigation of the Cash Conversion Cycle of Small Business Firms

The purpose of this study is to examine the cash conversion cycle as an indicator of the company’s liquidity, to determine the relationship of the cash conversion cycle with the current and the quick ratios and with its component variables, and to investigate the implications of the cash conversion cycle for small businesses in terms of profitability and firm size

Forecasting Daily Returns: A Comparison Of Neural Networks With Parametric Regression Analysis

Since the seminal work of Fama (1965), many researchers have found that the actual distribution of stock returns, for the USA market, is significantly non-normal. Our study is focusing on the examining stock returns predictability for the Hellenic market given some macroeconomic variables. The objective is to use the given information set to reach an optimal way for forecasting. Hence, two basic models for forecasting are examined; a multivariable OLS regression approach and a non-parametric neural network approach and we compare them, based on the minimum forecasted error. Then, the approach that gives the minimum forecasting error is selected. The results indicated that better forecasting approach between the selected two ones is the neural network regression, since it has the smaller mean absolute percent error

Productivity Measuring In The Czech Banking Industry

In this paper we investigate the productivity of the Czech banking industry for the period 1996-2002. The non-parametric frontier method of data envelopment analysis (DEA) is used in order to estimate the Malmquist total factor productivity (TFP) change indices for 134 year-firm observations. Using the value added approach and calculating the geometric mean of the TFP, we find that the level of productivity of financial institutions meets a decline of 0.7%. Moreover, the technical efficiency changes (TEC) is greater than unity, while the technological change (TC) is less than unity for the Czech banks during the period 1996 -2002

Stock market reaction at the WHO’s announcement of a pandemic due to COVID-19 of the French pharmaceuticals

PURPOSE: The year 2020 was hit by a unique economic crisis due to disease, Covid-19. It was first identified in December 2019 in China. The WHO, on March 11th, 2020, declared the Covid-19 a pandemic. This research paper aims to investigate the market reaction of the pharmaceutical companies in France on the day that WHO announced the Covid-19 disease to be a pandemic.DESIGN/METHODOLOGY/APPROACH: We apply the classical event study methodology for our purpose. We selected this sector because we considered that a health crisis such big as the coronavirus pandemic would, of course, affect all the industries in various degrees. Still, it will strongly influence the pharmaceutical sector that also has the opportunity/chance of finding a cure (medicines and vaccines) to this disease and stop the crisis. It seems to be the only industry that can fight back such a crisis by finding a cure.FINDINGS: The results show a strong adverse reaction upon this announcement in pharmaceutical companies in contrast to our hypothesis. The French investors perceived this announcement as a negative signal that will affect almost every economic sector, including the pharmaceutical companies. However, since March 18th, 2020, the second day of the government imposed total lockdown, the market reaction turned positive and significant.PRACTICAL IMPLICATIONS: The results of this research may be useful for Government decision makers, investors and pharmaceutical companies in order to optimize their strategies and improve their responses to the ongoing pandemic crisis.ORIGINALITY/VALUE: The results of this study will be helpful not only to the academicians by enriching the pertinent literature and the politicians and the practitioners. They can benefit from focusing on this sector and determine the appropriate policies and measures for its growth in finding the means to fight this health crisis.peer-reviewe

Foreign direct investment : the case of Eastern Europe

The purpose of this study is to examine the market’s reaction to the announcement foreign direct investment in Eastern Europe for firms from various Western European countries and from Japan during the first merge wave after the Berlin Wall removal. The results indicated that there is either an insignificant negative reaction, or no consistent significant reaction to the announcements of joint ventures or direct foreign investment. U.S.S.R. seems to be the most risky of the target countries. The present conditions of uncertainty and high political economic risk appear to offset any favourable effects. The results may be period specific since there was an unusually high level of uncertainty surrounding the removal of the Wall.peer-reviewe

Costs and Taxes in the Light of Financial Management in Companies Listed on WSE

The purpose of the article/hypothesis: The goal of this paper is to present costs and taxes as a part of financial management process in companies listed on the WSE. In the hypothesis it is expected that costs influence taxes paid by companies in a negative way due to the tax avoidance purpose attitude presented by managers, and as a result, both liquidity and debt levels are influenced.Methodology: Correlation coefficients and regression models are evaluated to find the answers for the research questions related to the relationships between tested variables.Results of the research: The correlation between costs and taxes is negative as expected, as well as their relationship with the liquidity. Contrary to the expectations, the correlation between taxes and costs is mostly positive, alike the relationship between liquidity and debt. Findings are characteristic for the Polish market that is rather conservative in the approach to taxes, liquidity and leverage strategies compared to other developed markets. These findings prove that liquidity and debt management issues are subjective and related to the market behavior such as tax evasion attitudes

Is there any relation between intellectual capital and the capital structure of a company? The case of Polish listed companies

This study investigates the relationship of the intellectual capital of a company (proxied by its intangible assets), with leverage and equity and capital structure. Our empirical results indicate that there is a negative relation between the intellectual capital (intangible assets) of a company and its leverage based on the Warsaw Stock Exchange main market and NewConnect alternative market. Moreover, the equity capital is found positively related to the level of intangibles in each of the two markets. These results support the thesis that intellectual capital (intangible assets) influences the capital structure of a company