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Instytucjonalne i rynkowe uwarunkowania rozwoju inwestycji etycznych – doświadczenia europejskie i ich implikacje dla Polski

Author(s): Agata Adamska,Tomasz J. Dąbrowski,Anna Grygiel-Tomaszewska / Language(s): Polish Issue: 4/2015

The market of ethical investments is growing rapidly. Ethical investing is no longer a niche phenomenon or a fad, but it becomes a permanent and desirable element of the financial market. The development of ethical investments is not steady. Existing cross-country differences in the level of popularity of ethical investments result from local institutional and market conditions. In Poland these conditions are not very favourable. The development of domestic SRI market is therefore dependent on introducing incentives, similar to those functioning in other countries, that could contribute to the increase of interest in ethical investments among domestic investors

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Skuteczność techniki Ichimoku na przykładzie rynku kontraktów terminowych na WIG20

Author(s): Tomasz Bąk / Language(s): Polish Issue: 4/2015

Japan is one of the cradles of technical analysis. Methods developed there over the centuries are increasingly being used in other parts of the world, including Polish market. One of them is the Ichimoku technique that enables a quick and simple analysis of the market situation based on past price levels. The purpose of this article is to analyze the effectiveness of the investment signals generated by this method on example of WIG20 futures market.

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Innowacje produktowe i procesowe w obszarze ubezpieczeń majątkowych dla osób fizycznych

Author(s): Teresa H. Bednarczyk,Anna Jańska / Language(s): Polish Issue: 4/2015

Increasing competition and the changing expectations of consumer insurance services determine the development of innovation and diffusion of innovation in the insurance sector. The aim of the study is to identify and synthetic characteristics of the main categories of innovation in the area of property insurance in Poland on the example of insurance of houses and apartments for individuals. The first part of the study presents the essence of innovation in insurance and their classification. The main part of this paper is the empirical identification of the product and process innovations in the insurances of houses and apartments for individuals. The research showed that most innovations in this area consists in introducing numerous modifications and adaptation of solutions from other areas of insurance, which makes that these innovations there are incremental rather than radical. The research also provide a good starting point for leading further research.

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Konwergencja rynku kapitałowego i ubezpieczeniowego – identyfikacja czynników

Author(s): Joanna Błach,Monika Wieczorek-Kosmala / Language(s): Polish Issue: 4/2015

The main problem presented in this article is related to the process of the convergence of capital and insurance markets. The process of convergence is understood as a kind of inter-merger under which insurers and (other) financial institutions participate each other in their markets. This process results in the creation and application of new instruments, in this Insurance-Linked Securities (ILS) that allow to transfer insurance risk to the capital market. ILS are mainly used by insurers and (other) financial institutions, while non-financial entities use them to a lesser extent.The purpose of this article is to identify the main drivers of the process of convergence. We propose here two groups of drivers: intermarket ones (considered from the individual perspective of each market) and intramarket ones (common to both markets). Identification and systematization of these drivers enhances a better understanding of the convergence mechanism , as well as the applicability of its effects

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Nowa ustawa o obligacjach szansą na ożywienie rynku długu nieskarbowego w Polsce

Author(s): Witold Gradoń / Language(s): Polish Issue: 4/2015

Low interest rates close to zero should encourage operators to increase the scale of debt in the financial market. In Poland low efficiency of market debt instruments is not conducive to this. On the 1st of July 2015 the new law on the bonds came into force, which modified some existing laws and introduced new solutions. The new rules should encourage issuers to more frequent recourse to bonds and revive trading on the secondary market. The purpose of this article is to analyze the market treasury bonds, identificate of barriers to its development and bring changes which provides for a new text of the Act on Bonds, together with an attempt to identify their impact on the increasing popularity of non-treasure debt market in Poland.

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Efekt kraju pochodzenia w postrzeganiu usług bankowych w Polsce. Badania pilotażowe

Author(s): Jacek Jaworski,Monika Boguszewicz-Kreft,Ewa Magier-Łakomy / Language(s): Polish Issue: 4/2015

A relationship between the image of the country of origin and the purchasing intentions of consumers of banking services may result from the significant role of social factors in assessing these services. This relationship is defined as a country of origin effect. The main objective of this paper is to present the results of pilot studies focused on the diagnosis of occurrence of this effect for banking services from selected EU countries. The studies indicate a high probability of influence of the country image on the purchasing intention of banking services. It indicates the need for further, in-depth research.

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Azjatycki Bank Inwestycji Infrastrukturalnych – geneza i cele

Author(s): Maciej Kalwasiński / Language(s): Polish Issue: 13/2017

The increasing role of China and developing countries in the global economy is not reflected in their role in the global economic governance. IMF and the World Bank Group, which are dominated by the Western countries, remain the pillars of the global economic order. Confronted with sluggish and insufficient reform of the crucial multilateral financial institutions, China initiates the creation of the alternative institutions − in part complementary, in part competitive with the existing ones. Asian Infrastructure Investment Bank is one such initiative. The purpose of this article is to present AIIB’s roots in particular the reasons which led China to create a new regional development bank and other countries’ motives to join the inititative as well as to discribe the AIIB’s structure and objectives. The analysis carried out in the article indicates a significant change in the structure of the international system, departing from the unipolar system, and the growing influence of China in the international arena.

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A Comparative Study About Commercial Banks and Non-Commercial Banks Savings Schemes

Author(s): Arturo Córdova-Rangel,Arturo García-Santillán,Karen Ochoa-Vela,Jacaranda Denisse Maya-Parra,María Fernanda Valenzuela-Fernández / Language(s): English Issue: 1/2017

Even though profits can be positively related to savings, when this is measured in monetary terms, there is no relation whatsoever with savings rates. In this research paper savings schemes in Mexico are compared and analyzed using data from Mexican savings and first-tier banks. One of the main reasons Mexico has a low savings rate is because of the country’s slow growth, whereas inflation is incrementing at an accelerated pace. People who save, which are considered as investors in banks, assume all the risks when they take their savings to any number of different renowned banks in the country. In contrast to banking institutions, who always end up having a benefit even when their investors suffer a monetary loss related to value of money.

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Predictability and predictors of volatility smirk: a study on index options

Author(s): Rajesh Pathak,Amarnath Mitra / Language(s): English Issue: 1/2017

The purpose of this study is to examine the presence of volatility smirk anomaly in index options and its predictability for future returns. The study tests the temporal properties of volatility smirk and further explores the factors determining the anomaly. The daily volatility smirk is computed for the period 2004–2014 and the first lag of smirk is used in generalized least square (GLS) estimation framework, with set of control variables in two different specifications, to test the predictability as well as the determinants of volatility smirk. The study reports significant presence of volatility smirk in index options with an auto–regressive structure. Smirk predicts marginal returns and the predictability is robust to the control of major risk factors. It is also found that open interest of calls and puts, along with market risk premium and momentum premium, act as significant predictor of volatility smirk. The results are helpful in enhancing returns on investment in Index based funds and designing options strategies from the perspective of volatility risk. The study is first of its kind in the Indian market examining the reasons and consequences of existence of volatility smirk in index options.

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Some ideas for improving quality of the index tracking based on co-integration

Author(s): Damián Pastor,Tomáš Sabol,Jozef Glova / Language(s): English Issue: 4/2016

Co-integration approach to the passive portfolio management enables to replicate the selected stock index and to construct a portfolio with profitability and risk similar to market. This paper analyzes several options for improving this method. It focuses on one of the key tasks, which is an estimate of long-run equilibrium relationship. Five different methods were proposed and compared. The results confirmed the relevance of using the Engle-Granger methodology in all previous surveys, but it also suggested some interesting properties related to the estimate of regression coefficients based on different variants of the Minkowski metric or to estimate regression equation without intercept.

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BANKOWOŚĆ ELEKTRONICZNA W POLSCE – KORZYŚCI ORAZ ZAGROŻENIA

Author(s): Mateusz Banaszek,Aleksandra Żak / Language(s): Polish Issue: 6/2017

E-banking is a common form of using banking by Poles. Its development in Poland is fast and now it is at an ever higher level. Unfortunately, despite the benefits of electronic banking, there are also many risks that we may encounter when during using these services. It is worth getting acquainted with them in order to avoid future disappointments resulting from ignorance about e-banking.

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Bank Regulations in Modern Financial Environment

Author(s): Violeta Todorović,Milena Jakšić,Nenad Tomić / Language(s): English Issue: 3/2017

The paper analyzes the role and importance of bank regulations in ensuring safe and stable banking operations. Modern business environment in which banks operate is unstable, turbulent, and quite unpredictable. Unlike traditional business conditions, banks are now exposed to growing and diverse risks, as well as frequent crisis situations. Accordingly, control over banking operations is becoming a necessity. The need for regulation can be justified by the fact that the market, left to itself, cannot remain competitive in the long term. To fulfill their goals, regulations must constantly adapt to changes in the environment. The aim of the paper is to point to the necessity of regulatory changes in the banking sector. By critical review of certain regulatory changes, the authors conclude that they significantly contribute to safer banking operations and system stability.

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Concentration Effect on the Efficiency of Banking Sector in the Republic of Serbia

Author(s): Eva Eraković / Language(s): English Issue: 3/2017

For qualitative analysis of the effect of specific activities, such as banking, on other movements in this sector, precise measuring is needed. Due to the transformation of the banking sector in the Republic of Serbia, in a relatively short period of time, there has been a significant reduction in the number of banks and in increasing the concentration. On the other hand, the business efficiency has become a key factor for the survival of banks in the market. In this study, the concentration was measured by Herfindahl-HirschamIndex, while the degree of efficiency was determined by cost to income ratio. A linear correlation and regression analysis examined the relationship between the degree of concentration and the level of efficiency of Serbian banking sector in the time interval from 2008 to 2015, which confirmed the existence of a strong relationship between these variables.

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BANKA SEÇİMİNDE MÜŞTERİ TERCİHLERİ: KATILIM BANKALARI ÜZERİNE AMPRİK BİR İNCELEME

Author(s): Ismail Durak,Murat Bayat,Hakan Murat Arslan / Language(s): Turkish Issue: 2/2017

Participation Banking has been developing and growing rapidly, especially in the last quarter century, and included in the 10th Development Plan in line with Turkey's Islamic Financial Center goal. Despite the fact that some studies have been carried out on a small scale to investigate why interest-free banks are preferred in the world and in Turkey, this number is both inadequate and the studies on why the participation banks are preferred for the regional and larger size are rarely found in the literature. In this study; it has been searched why the participation banks in the Western Black Sea region are preferred by the customers. In this frame, data were collected by survey from Bolu, Düzce and Zonguldak that is located in the Western Black Sea region and analyzed by SPSS 23 program. In the light of findings, the factors enabling the participation banks to be preferred in Western Black Sea Region have been obtained. In addition, as a result of the factor analysis, it was observed that two factors were important for customers when they preferred participation banks. According to these factors, it was tested by Anova analysis whether there is a preference difference in participation banks in the related cases. According to the analysis results, the most effective reason for the preference of participation banks is; it has been concluded that the branch is closely related to the staff. This research is expected to contribute to the literature and researchers.

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Zarządzanie agencjami ratingowymi – zmodyfikowany model „emitent płaci”

Author(s): Patrycja Chodnicka-Jaworska / Language(s): Polish Issue: 331/2017

The basic goal of the article is analyse the current regulations about credit rating agency and their activity in European Union and United States and answer the question which one the is¬suer or investor paid credit rating model is better, as a result building the own credit rating manage¬ment model. It has been made a literature review abut actual models of risk management. Then are presented the current trends and propositions of changes in regulations. There have been described models: “issuer pays” and “investor pays” and introduced the original model management agency, taking into account the rating of four players, namely: the investor, issuer, rating agency and supervisory institutions. It has been put the following hypothesis: The introduction of regulations on credit rating agencies and credit ratings, improve the social welfare and the quality of the presented notes. / Celem artykułu jest analiza aktualnych przepisów regulujących działalność agencji ratingowych stosowanych w krajach Unii Europejskiej oraz Stanach Zjednoczonych, a także odpo¬wiedź na pytanie, który z modeli: „emitent płaci” czy „inwestor płaci” jest lepszy z punktu widzenia funkcjonowania rynku finansowego i w związku z tym zbudowanie autorskiego modelu zarządzania agencją ratingową. Dokonano również przeglądu literatury dotyczącej aktualnych modeli zarządza¬nia ryzykiem. Następnie zaprezentowano bieżące trendy i propozycje zmian w przepisach. Opisano modele „emitent płaci” i „inwestor płaci” oraz przedstawiono autorski model zarządzania agencja ra¬tingową przy uwzględnieniu czterech graczy, a mianowicie: inwestora, emitenta, agencji ratingowej oraz instytucji nadzorczej. Postawiono hipotezę badawczą, że wprowadzenie regulacji prawnych do¬tyczących agencji ratingowych oraz credit ratingów poprawia wypłatę społeczną oraz podnosi ja¬kość prezentowanych not.

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Zastosowanie indeksu Divisia z powiązanymi czynnikami do analizy fluktuacji indeksu WIG

Author(s): Jacek Białek,Radosław Pietrzyk / Language(s): English Issue: 330/2017

This paper presents a method of economic factorial analysis based on the Divisia index extended to interconnected factors. We verify the applicability of the presented method to financial market research by examining fluctuations of the Warsaw Stock Exchange WIG Index (WIG). We consider four main factors of WIG changes: the GDP growth, the PLN/EUR rate, the S&P500 and the unemployment rate. Due to computational reasons we apply the transformation that produces variables in the bigger the better form. We use quarterly data from the time interval between 2003 and 2014 divided into periods of bull and bear market. All considered variables are assumed to change linearly between quarters. The main conclusion is that during market prosperity, GDP and S&P500 changes exhibit the strongest influence on WIG changes. / W artykule zaprezentowano metodę analizy ekonomicznej opartej na indeksie Divisia z powiązanymi czynnikami. Zweryfikowano możliwości aplikacyjne wymienionej metody do badania zmienności indeksu WIG. W analizie uwzględniono cztery główne zmienne wpływające na indeks warszawski: GDP, kurs PLN/EUR, indeks S&P500 oraz stopę bezrobocia, przy czym dokonano (w razie konieczności) transformacji zmiennych na stymulanty. Analizą objęto lata 2003–2014 i uwzględniono dane kwartalne, przy czym interwał czasowy podzielono na podokresy związane z hossą i bessą na giełdzie warszawskiej. Przyjęto również model czasu ciągłego z założeniem, że między kwartałami wartości zmiennych zmieniają się liniowo. Głównym wnioskiem z przeprowadzonego badania jest wyodrębnienie najbardziej wpływowych zmiennych objaśniających w postaci GDP i indeksu S&P500.

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Application of Blume Method in Forecasting Risk on the Example of Public Companies Listed on WIG20

Author(s): Bartłomiej Lisicki / Language(s): English Issue: 3/2017

The paper presents the results of studies on the use of Blume’s beta to identify systematic risk of companies listed on the Warsaw Stock Exchange. For this purpose, beta values for WIG20 companies for 2014-2016 were calculated. Weekly rates of return on stocks of certain companies were used in the calculations. Once the annual betas were estimated, the author conducted regression of the results to develop anequation that would enable an estimation of parameters for the future period. In most of the analyzed cases, values of beta parameters calculated on the basis of historical dataand the data obtained by Blume’s method were similar. Therefore, Blume’s adjustmentmethod is a good tool for forecasting market risk level of shares of companies listed onthe Polish stock exchange.

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Development of Sustainability Indicators: Approaches, Challenges and Opportunities

Author(s): Ksenija Denčić-Mihajlov,Stefan Zeranski / Language(s): English Issue: 4/2017

Rapidly changing and complex business environment requires from enterprises to cautiously develop their business strategies in order to achieve and maintain competitive advantage over the long term. With the awareness of importance of environmental consequences and sustainability, market value is no longer determined by single financial performance indicators. The sustainability framework which encompasses economic, environmental and social performances has rather received an international attention of both corporate and financial sector. Even though it is generally accepted that the adoption of sustainability ratios is a most adequate and effective way for sustainability performances’ assessment, both the creation/selection of sustainability ratios and their implementation and analysis have been still examined at national and corporate levels. Most companies have adopted the internationally recognized performance evaluation systems (such as Global Reporting Initiative or United Nations Global Compact). Still, there is increasing number of companies that apply self-developed sustainable performance evaluation methodologies. The main purpose of this paper is to investigate the development and application of the performance indicators of sustainable management with the aim to offer suggestions for selection of sustainability ratios the application of which should increase the effectiveness of controlling and decision-making process and would lead to long term competitive advantage.

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Covered Bonds: New Opportunity for Recovery of Serbian Capital Market

Author(s): Vladimir Mirković,Jelena Lukić Nikolić / Language(s): English Issue: 4/2017

At the beginning of the XXI century, Serbia entered into transition process toward open market economy. One of the segments which should be developed in accordance with market economy principles was financial markets, more precisely capital market. Recovery of the Belgrade Stock Exchange and increasing trend in the first half of the XXI century gave optimism in prospective development of the Serbian capital market. Unfortunately, Serbian capital market did not make expected progress. In this paper, the situation on the Belgrade Stock Exchange is analyzed, trading with equity and debt instruments, emphasizing deficiencies which caused insufficient level of development of the Serbian capital market. As many opportunities for growth have been missed and capital markets are at the stagnant level for years, there are new, sophisticated products which could give an impulse to further development of financial markets. An example of such products is covered bonds, type of debt instruments with widespread use in the European Union. In this paper the main characteristics of those products are elaborated with experiences in other countries that could be very useful for Serbia.

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The main challenges facing the retail banking industry in the era of digitalisation

Author(s): Magdalena Swacha-Lech / Language(s): English Issue: 26/2017

Both the internal (micro) and external (macro) environment of banking institutions have changed significantly, redefining the competitiveness of the banking sector. The main changes observed lately, which will undoubtedly modify the view of future banks and banking, constitute: the new generation of bank customers and new client expectations, increasing competition from the FinTech, the digitalisation of the economy and the society, as well as new legal regulations - e.g. Payment Services Directive or Payment Accounts Directive. In this context, the aim of the article is to show the crucial changes in the internal and external environment of banking institutions and to identify the main challenges for banks in the near future. This paper examines the following research questions: (1) What factors and trends are the most disruptive for the modern banking industry? (2) What measures do banks have to take in order to meet both their new clients’ expectations and increasing FinTech competition? The basic research method used in the study is a review and a critical analysis of the subject literature as well as the survey method.

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