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Enflasyonun Finansal Piyasaların Volantilitesine Etkisi: Borsa İstanbul Üzerine Bir Uygulama

Author(s): Mercan Hatipoğlu / Language(s): Turkish Issue: 2/2016

The purposes of paper is to analyze the impact of inflation on stock market volatility in the contex of Turkey. We apply GARCH model to explore mentioned affect by using monthly data of BIST-100 index and CPI for the period 1986 to 2016. The data was divided into sub-periods to allow for the deeply investigation of inflation in higher price level and one-digit inflation periods. The findings demonstrate that inflation has increaed the volatility of stock market during the higher rate of inflation. On other hand we find insignificant relation between inflation and stock market volatility in price stable period. This results imply that inflation does not mean a risk factor in Turkish stock exchange anymore.

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Functioning Mechanism of Bitcoin

Author(s): Aleksandar Đorđević,Miloš Todorović / Language(s): English Issue: 1/2018

The connection between financial innovation and information technology industry has provided and kept the crypto currencies for some ten years on the market, a kind of offset of monetary evolution after the introduction of virtual, electronic and digital money. Although their essence is still wrapped up under the veil of secrets, the facts show that the value of Bitcoin as the first crypto currency has a rising trend, and that an increasing number of firms and individuals are deciding to use it. This will result in the emergence of over 1000 new crypto currencies. This paper explains the emergence and functioning of the Bitcoin, its characteristics and functions, the benefits and risks that it carries, as well as possible scenarios of further development of the international monetary system with crypto currencies.

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Wpływ kryzysu finansowego 2007-2009 na strukturę hierarchiczną europejskich rynków kapitałowych

Author(s): Elżbieta Majewska / Language(s): Polish Issue: 3/2017

The purpose of this paper is to investigate the hierarchical structure of the European capital markets in the periods before and after the Global Financial Crisis of 2007-2009. The author uses weekly logarithmic stock market returns of the 28 main indexes of the European exchanges, both from the developed and developing markets, in the period 2000-2016. The examination is based on agglomerative clustering methods, primarily on the Ward’s linkage method. The results show that the Global Financial Crisis has changed the hierarchy of the markets. They also indicate which groups of markets are most strongly interconnected.

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Analiza falowa kursu USD/PLN w reprezentacji binarnej

Author(s): Michał Dominik Stasiak / Language(s): Polish Issue: 3/2017

The exchange rate of a currency pair can be represented in a binary form. The binarization algorithm converts rates presented in tick data into an appropriate binary string. The basis for this algorithm is provided by an exchange rate discretization, in which each change in value equal to a given discretization unit is assigned a binary value, which corresponds to the direction of change. Statistical research performed by the author confirms dependencies of previous changes and future change of direction in binary representation of exchange rates. Thus, the binary representation can be applied in appointing the direction and scope of future changes, and consequently in the construction of HFT systems with positive rates of return. Wave analysis is one of the basic methods of technical analysis. The paper presents the application of wave analysis for binary representation. For this purpose, algorithms for wave detection are proposed, followed by the analysis of relevant wave parameters and their impact on the direction of future changes in the USD / PLN exchange rate. The binarization process and algorithm for appointing pairs is performed based on the author’s proprietary software written in the MQL4 and C++ language.

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Wykorzystanie modeli GARCH w analizie ryzyka finansowego spółek akcyjnych notowanych na GPW

Author(s): Grzegorz Szczerbak / Language(s): Polish Issue: 3/2017

The aim of this paper is to investigate whether it is possible to successfully forecast market risk in the Polish capital market. To answer this question, daily time series of the stock prices listed on the Warsaw Stock Exchange between 2000-2015 are analysed. In the research part of the paper, it is assumed that the analysed time series are the realisation of the GARCH process, which allows the author to model the characteristic properties among the empirical data. The risk is assessed with the use of popular quantile risk measures. Additionally, an attempt is made to establish the optimal method of risk estimation.

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Kwantyfikacja ryzyka kredytowego banków Bośni i Hercegowiny odnośnie do indywidu- alnych członków UE

Author(s): Almir Alihodžić / Language(s): English Issue: 4 (33)/2017

Credit risk is the most important risk among all other risks in the banking business, because almost over 80% of bank balance sheets relate to this segment of banking risk management. One of the biggest problems of commercial banks in Bosnia and Herzegovina are non-performing loans whose share in total loans has increased significantly since the onset of the global financial crisis. The main objective of the research is to determine which of the macroeconomic variables have the strongest impact on the increase of return on average equity and whether it is possible to reduce the credit risk of banks with adequate legislation as the main factor in the slowdown in credit expansion. The main goal will be to divide the impact of an independent variable, i.e. the share of liquid assets in total assets and whether its increase indirectly affects the return on equity and indirectly, the credit risk. The quantitative model used in this study will be the Merton model. Testing will be conducted through multiple regression analysis for the period 2008-2016 with the help of the software package STATA.

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Mediacja jako nowy sposób rozwiązywania konfliktów na rynkach finansowych

Author(s): Magdalena Broszkiewicz / Language(s): English Issue: 4 (33)/2017

The development of the financial market is usually described in terms of new instruments, institutions or integration groups. Aspects often result in a delayed increase in market participants’ confidence, as the learning process of innovation is necessary. In the meantime, the anti-conflict mediation procedure, conflicts of diverse background, allow the parties to compromise and work out agreements that also benefit the entire financial market. The article attempts to argue for the hypothesis emphasizing the role of mediation in improving the level of financial market functioning and the level of investment attractiveness of financial market players. The article shows mediation as a solution to potential conflicts, as described in the current theory of economics and finance, as well as to problems in reality. The research was based on the literature of the subject and on mediation practices on the Polish financial market. The mediation procedure present on the Polish financial market is used especially in the insurance and banking sectors as well as in public finances, contributing to raising the level of trust of the individual entities.

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Target price accuracy and the information content of stock recommendations on the Warsaw Stock Exchange

Author(s): Bogumiła Brycz,Katarzyna Włodarczyk / Language(s): English Issue: 4 (33)/2017

This paper examines target price accuracy conditional on whether the analyst’s report contains a precise valuation model with underlying assumptions, as well as investigates whether target price accuracy is related to the forecast accuracy of the variables used as inputs in the valuation models. The study is conducted based on the analysts’ stock recommendations issued in 2012 for companies listed on the Warsaw Stock Exchange. We find that approximately 67% of analysts’ price targets are achieved within a 12-month period following the release of a report. Only in the case of positive recommendations we can observe that analysts who provide precise valuation model within their reports issue significantly more accurate target prices. We also find that target price forecast error is, on average, lower for reports with more accurate forecasts of such variables used as inputs in the valuation models as revenue, EBIT and net profit but the results are not always statistically significant.

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Międzynarodowy system walutowy przyszłości

Author(s): Małgorzata Mikita / Language(s): Polish Issue: 1/2016

The collapse of the international monetary system of Bretton Woods ended the period of the unified exchange rate system used by IMF countries. Individual countries of the world began to make their own decisions regarding their exchange rate policies, taking into account only national interests. Their decisions, however, directly affect the functioning of the international monetary system. The current international monetary system (or ‘non-system’) is certainly not a desirable monetary system for the future. Its disadvantages are numerous. The main ones include the high volatility of exchange rates and the increasing demand for the reserve currency, i.e. the US dollar. Moreover, there is a considerable problem with the chronic inequality of the trade balance in many countries, sudden appreciations and depreciations of currencies, and speculative bubbles. The aim of the paper is to present and assess the different directions of reforming the international monetary system, as well as to outline the desired direction of changes. The paper discusses the past and current international monetary systems (the Gold Standard, the Gold Bullion Standard, the Bretton Woods system, and the current ‘non-system’), with their advantages and drawbacks. The author reviews the different ideas for reforming the current system and indicates the one that seems to be the most appropriate.

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Payment account with basic features and its significance in the reduction of financial exclusion in Poland

Author(s): Robert Huterski,Agnieszka Anna Huterska,Michał Polasik / Language(s): English Issue: 2/2018

Motivation: The Payment Accounts Directive (PAD) constitutes an important regulation of the financial services market in the European Union resulting from premises of a social nature. Regarding the level of financial exclusion, Poland is third from the bottom in the European Union. Directive 2014/92/EU foresees an introduction of a payment account with basic features as a solution increasing the level of banking penetration ratio in the Member States. The changes introduced in the Polish Payment Services Act (PPSA) seem to be heading in this direction. Aim: The aim of this article is to evaluate the objectives of the aforementioned Directive and Act in the context of practical possibilities of achieving the basic objective of the regulations, i.e. the reduction of financial exclusion scale. An assessment of whether the implementation of the PAD in the Polish banking system will require considerable expenses and changes in the banks’ market offer constitutes an addi-tional objective of the article. Such an assessment requires taking into consideration the problems occurring both on the supply side, that is banks, and on the demand side, that is their customers. Results: The limited functionality and also attractiveness of a payment account with basic features, clearly shaped by the provisions of PAD, indicate that it is a solution aimed at a small group of consumers with low income and also low payment needs. Simultaneously, the emphasis indicated in PAD on the comparability of fees on payment accounts and on creating a commonly accessible service of transferring a payment account by consumers (as a consequence of easier comparison of account fees with its functionality in the offer of various providers) indicates that using a payment account with basic features may be of temporary character.

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Дигитални рефлексии върху банковата организация

Author(s): Stefan Vachkov / Language(s): Bulgarian Issue: 1/2016

Under the influence of digital technology, towards the original business territories of banks there advance aggressive competitors, offering financial services in a totally different context. Highly worried by this invasion, the governing bodies of the safety vaults − naturally inert with regard to innovation − are forced to undertake radical organizational changes, which would guarantee fast „conductivity” and effective realization of their client-centred strategy for „digital travel”. For that purpose there needs to be „constructed” a „more elegant” organization structure with competent bodies and teams, which will „translate” digital innovations to each business sector. In parallel with that, the transition to the „new normal” imposes the need for digitization of processes in key areas, where customers will receive „customized” services of high functionality and human touch.

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Връзката „конкурентност - стабилност“ през призмата на банковата система в България

Author(s): Lyubomir Georgiev,Nedyalko Valkanov,Adrian Yambolov / Language(s): Bulgarian Issue: 1/2016

In the study there is made an attempt to provide a satisfactory answer to the following question - To what extent does the competition on the banking market in Bulgaria influence the stability of credit institutions and the bank system as a whole? In this context the former is structured in the following order:1. A theoretical and applied analysis of: the relation between competition in the banking sector and the stability of credit institutions; the indicators for measuring the bank's competitiveness and stability; the use of the indicators in various research models.2. An empirical study of the competitiveness-stability relation from the viewpoint of the bank system in Bulgaria.The results of the study show the existence of a positive connection between the competition on the banking market and the Bank Z-Score indicator, measuring the socalled Distance-to-Default of banks. Therefore it provides evidence in support of the competitiveness-stability hypothesis. The research thesis being argued is that banking should not be protected from competition, i.e. competition can bring considerable benefits to the banking sector in Bulgaria and should not be sacrificed in the name of greater stability.

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Детерминанти на дивидентната политика на българските компании

Author(s): Dimitar Rafailov,Mirena Trifonova / Language(s): Bulgarian Issue: 1/2010

Dividends are a basic instrument of the financial policy of companies, through which there is influenced the value of the particular company. This influence is analysed through a multitude of models and the present study emphasizes on the specific regularities, which are characteristic of Bulgarian companies. There is established the absence of a stable dividend policy and payment of dividends is rare. The explanation lies in the peculiarities of the environment, which is characterized by specific taxation of dividends, insufficient development of financial markets, inadequate protection of the interests of investors and conflicts between majority and minority shareholders. The results of the study show that the leading factor for dividend decisions is the high degree of information asymmetry. The high concentration of ownership is connected with low dividends. It has been determined that investment opportunities and the growth rates related to those have an effect on dividend payments, the relation being inversely proportional. There is confirmed the significance of the life cycle, as dividends are paid more frequently by mature and well-established companies.

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Стечај банака и финансијских установа у земаљама кандидатима за ЕУ западног Балкана

Author(s): Đuro M. Đurić,Vladimir M. Jovanović,Mirjana Misailović / Language(s): Serbian Issue: 1/2018

The objective of this paper is to present the regulation of insolvency of banks and other financial institutions in some West Balkans countries (Serbia, Montenegro and FYROM) candidates for the EU membership and its development under the influence of the EU regulations. This question has become particularly interesting since the onset of the world financial crisis of 2008. Banks and financial institutions from the EU countries are among major players in financial markets. The crisis has shown that the models that have previously existed were not sufficient and did not enable an adequate level of cooperation between member states, in order to minimize the spreading of negative effects of individual insolvencies and problems of individual financial institutions across the EU and all over the world. Therefore, changes were needed in the regulations, and indeed, certain changes have been made. This paper tries to see and evaluate the enlargement of the EU which is currently not on top of the EU political and economic agenda, the candidate countries are in the process of adjusting their legislation and practices in order to be better prepared for negotiating with the EU, but also in order to make their respective economic conditions and markets more harmonized with the EU countries, therefore making them more attractive to potential foreign investors. We shall attempt to give a brief analysis of how several West Balkans EU candidate countries have reacted to the described changes in the EU regulations regarding financial institutions and handling their financial difficulties.

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KREDİ PORTFÖY YÖNETİMİNDE PİYASA İSTİHBARATI KAYNAKLARININ ARAŞTIRILMASI

Author(s): Muzaffer Şahin / Language(s): Turkish Issue: 38/2018

Clients in the banks and the market and credited actors have to take credit decisions correctly and have great importance for the training of the receivables in their maturity. For this, credit decisions should not be taken only by financial analysis studies, but market intelligence studies should be carried out at the same time. Making market intelligence work with limited resources can lead to false and misleading results. It is necessary to know which information will be taken directly from the market, which directly affects customer credibility. Our main purpose in this study is; it is necessary to have knowledge about the diversity of resources related to market intelligence and their functions.

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The Banking Sector in the Context of Financialisation

Author(s): Iwona Dorota Czechowska / Language(s): English Issue: 1.1/2017

The article presents and evaluates changes taking place in the Polish banking sector in the context of financialisation. It consists of three parts, the first of which providesan insight into the special features of a financial system, the second one reviews studies investigating linkages between the financial system and the economy and the issue of financialisation, and the third one provides numbers illustrating the expansion of the Polish banking system in relation to the country’s economic growth measured with its GDP. The analysis has not shown that the banking system and the banking sector have grown to a level where financialisation becomes a problem. Even so, the rate at which the financial system,particularly the banking sector, changes gives rise to concerns about excessive expansion of the banking sector, misallocation of financial capital, and a risk of financial crisis.

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ROZKŁAD NORMALNY STÓP ZWROTU Z AKCJI WCHODZĄCYCH W SKŁAD NASTĘPUJĄCYCH INDEKSÓW GIEŁDOWYCH: WIG20, MWIG40 I SWIG80

Author(s): Krzysztof Borowski / Language(s): Polish Issue: 4/2017

The article verified the hypothesis regarding normal distribution of returns of shares - components of the following Warsaw Stock Exchange indexes Keywords: normal distribution, return rates, stock indices, ranking of companies

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EKSPERYMENTALNA OCENA EFEKTYWNOŚCI PORTFELA FUNDAMENTALNEGO DLA SPÓŁEK Z INDEKSU WIG20 ZA LATA 2004 – 2016

Author(s): Paweł Staszak / Language(s): English Issue: 4/2017

The aim of this paper is a comparison of effectiveness of different methods related to construction of fundamental portfolios in the case of polish capital market. The study describes classical portfolio theory and alternative approach based on the Taksonomiczna Miara Atrakcyjności Inwestycji (TMAI) measure. The effectiveness of all methods is verified using the companies included in the WIG20 index in the period 2004 - 2016. Keywords: fundamental portfolio, portfolio analysis, TMAI, Markowitz, WSE

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EVOLUTION OF COOPERATIVE BANKING SECTOR IN POLAND AND FINANCING LOCAL DEVELOPMENT

Author(s): Andrzej Sołoma / Language(s): English Issue: 2/2018

The aim of the study presented in this paper was to assess the operations of cooperative banks in Poland in terms of financing local economic development. The assumption was that the fundamental operation which has an effect on economic growth consists in granting loans to local communities. According to the results of research, in the last 3 years the most significant increase in the banks’ receivables from non-financial sector was recorded among natural persons. Yet cooperative banks are still primarily interested in financing business (roughly 75% of the receivables from non-financial sector in 2016 were business loans). Nonetheless, over the last several years the profits of cooperative banks have been decreasing thereby limiting their ability to increase equity through accumulation of profit.

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VALUE AND AIMS OF INVESTING FUNDS FROM OPERATIONAL PROGRAMMES 2007–2013 BY RURAL COMMUNES OF WARMIŃSKO-MAZURSKIE

Author(s): Joanna Rakowska / Language(s): English Issue: 2/2018

The main aims of the study were to determine the spatial variability of the value of funding absorbed by local self-governments of rural communes (by DEGURBA classification) from operational programmes 2007–2013 per capita (Sci index) and in relation to the average annual budgetary income (Rscr index), as well as to investigate the directions of their use according to the categories specified in the SIMIK database of the Ministry of Development, as of December 31, 2015. All 101 rural communes of warmińsko-mazurskie carried out 697 projects and absorbed 525.4 mln PLN of EU funding from OPs 2007–2013, which made up only 30% of the funding obtained by all communes of this region. The Sci index and Rscr index values reached by this funding ranged from 50 to 5,420 and from 1% to 164% correspondingly. However, most of the communes obtained the lowest values of EU funding placing them in the lowest sub-ranges of these indexes. Only three rural communes reached Rscr values above 100% of their average annual budget revenues. Rural communes of this region benefitted mostly from ‘Regional OP for Warmińsko-Mazurskie’ and from ‘Human Capital OP’, while ‘Innovative Economy OP’ and ‘Infrastructure and Environment OP’ were the sources of least support. Most projects carried out by these communes were either soft-projects or projects resulting in the development of plans and documentation. Hard projects were much fewer, but they still represented as many as 19 SIMIK priorities and met different development needs.

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