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The nexus prevalent in nonlinear finance and growth in the presence of macroeconomic instability in Turkey: Does the stock market really matter?

Author(s): Emrah Gulay / Language(s): English Issue: 1/2019

The link between stock market and economic development has become a significant volatile issue over the past few years. Our major contribution in the debate concerning the nexus between finance and growth is to bring to the fore the asymmetric effects of stock market development on economic growth under macroeconomic instability. Hence, towards this purpose, the stock market development index and the macroeconomic instability index, which are both constructed by incorporating the exchange rate and unemployment rate, are built based on principal component analysis. Utilizing the nonlinear autoregressive distributed lag model (NARDL) within the framework of a time series approach, we provide evidence that there is an asymmetric relationship between economic growth and the development of the stock market in Turkey.

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Cluster analysis of development of alternative finance models depending on the regional affiliation of countries

Author(s): Pavlo Rubanov,Tetiana Vasylieva,Serhiy Lyenov,Svetlana Pokhylko / Language(s): English Issue: 1/2019

The article examines the hypothesis about the existence of regional peculiarities in the development of alternative financing models (such as p2p consumer lending, p2p business lending, p2p real estate lending, balance sheet business lending, balance sheet consumer lending, equity-based crowdfunding, reward-based crowdfunding, real estate crowdfunding, profit sharing crowdfunding, donation-based crowdfunding, invoice trading, debt-based securities). According to an alternative hypothesis, due to the high integration of international financial markets, there are no regional peculiarities of the development of alternative financing models. The cluster analysis tools allow verifying these hypotheses. The cluster analysis methods used, such as tree clustering, k-means clustering, and two-way joining, demonstrate the lack of links between the country's regional affiliation and the degree of development of certain types of alternative financing in it. The key factors affecting the formation of clusters are volumes of peer-to-peer consumer lending and business lending, as well as the volume of invoice trading. According to the results of the research, the authors conclude that it is necessary to find other factors, apart from the regional features, which influence the ratio in the development of certain types of alternative financing in different countries.

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Heterogeneity of Households in the Euro Area, Hungary, and Poland in Terms of the Usage of Financial Assets and Debt on the Basis of the Household Finance and Consumption Survey

Author(s): Anna Magdalena Korzeniowska / Language(s): English Issue: 20/2019

This article analyses areas where there are differences in household behaviour in selected countries in terms of financial assets and debt held. The author hypothesizes that although the Euro Area countries share a common monetary policy – which defines some of the financial market conditions and activity of financial institutions – the behaviour of households on financial markets differs considerably. The subject of analysis is the structure of financial instruments held by households and the activity of households on financial markets by age and income. The author also analyses the heterogeneity of households using hierarchical cluster analysis, which shows significant diversity in the percentage of households holding financial assets together with debt as well as diversity in the value of the financial products held by them.

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Study of Currency Risk and the Hedging Strategies

Author(s): Anuradha R. TIWARY / Language(s): English Issue: 19/2019

The globalization of financial markets achieved by dynamic technological advancements, financial market liberalization and the departure of capital controls have urged all MNC with foreign money streams the need to manage foreign exchange exposure risks introduced by a volatile exchange system. Today, multinational firms are striving to create methods and methodologies for an efficient and effective exchange risk management. The foreign exchange strategy embraced is essential to an MNC in the present-day condition because of the great inconstancy in transaction rates and needs to advance with the dynamic structure of the organization. Further, given the way that organizations are continually signing commercial and business contracts titled in foreign currencies, precise estimation and supervision of exposure and economic risks have turned out to be vital to the success of an MNC. This paper review the traditional types of exchange rate risks faced by the firms due to the surge of global quest for trade across borders. The paper further explains the importance of risk management strategies with special reference to hedging and outline the various hedging strategies both external and internal used by Multinational companies (MNC’s).

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Türkiye Hisse Senedi Piyasa Volatilitesinin Makroekonomik Temelleri

Author(s): Huseyin Tastan,Arifenur Gungor / Language(s): Turkish Issue: 4/2019

The aim of this study is to investigate the relationship between the slowly moving long-run component of daily volatility of Turkish stock market and a set of monthly macroeconomic variables. In the first stage, we estimate the long-term volatility of BIST100 index using GARCH-MIDAS (Mixed Data Sampling) method. Subsequently, we examine the relationship between the long-term volatility component and interest rate, USD/TL exchange rate, inflation rate, CDS premium, real sector confidence index and the volatility of S&P500 index using an autoregressive distributed lag (ARDL) model. Empirical results suggest that the most significant macroeconomic variable affecting the long-run volatility of BIST100 index is the exchange rate. Also, we show that the long-run volatility of BIST100 index is positively associated with both CDS premium and the volatility of S&P500. Finally, we find that an increase in real sector confidence index leads to a decrease in the long-run component of the BIST100 index volatility.

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Geleceğe Yönelik Değerlendirmelere İlişkin Özel Durum Açıklamalarının Pay Senedi Fiyatları Üzerindeki Etkisi: Borsa İstanbul Örneği

Author(s): Saim Kılıç / Language(s): Turkish Issue: 4/2019

The study examines the impact of disclosures of forward looking statements by companies listed on Borsa İstanbul on stock prices during the period of January 2014 – January 2019. For this purpose, a total of 43 disclosures, 23 of which were positive and 20 of which were negative, were included in the study and analyzed by the Event Study method. According to the results of the study, firstly, it has been found that forward looking disclosures have statistically significant impact on stock returns and investor’s investment decisions. Secondly, when the impact of the positive disclosures and the impact of the negative disclosures were compared; it has been seen that the first impact of the negative disclosures is stronger than the first impact of the positive disclosures, whereas the effect of the negative disclosures lasts shorter than the effect of the positive disclosures. Especially it has been observed that a great majority of the positive disclosures have been effective on the stock prices up to next five transaction days and a great majority of the negative disclosures on the next three transaction days.

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The Stock Price Behavior of Participation Index Firms: The Event Study on Borsa Istanbul

Author(s): Yasemin Deniz Koc,Sibel Çelik,Hakan Çelikkol / Language(s): English Issue: 4/2019

The index type created from the stocks of companies operating in accordance with Islamic principles is called “participation index”. In this study, whether the inclusion of companies operating in Borsa Istanbul National Market and in accordance with Participation Banking principles in the BIST Participation 30 Index had an effect on the price of stocks, was analyzed with the event study method. As a result of the analysis, it was observed that the cumulative abnormal returns had been on decline before the companies were included in the participation index, and the decline continued on the day of the event and the following days. The findings obtained are meaningful and typical for all relevant economic units, especially for investors and market makers.

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Nowy „paradygmat” ochrony konsumenta na rynku finansowym w świetle zmian regulacyjnych i instytucjonalnych po kryzysie finansowym 2007–2009

Author(s): Beata Pachuca-Smulska / Language(s): Polish Issue: 109/2018

The article is a voice in the discussion about a new paradigm of consumer protection in the financial services market. The author assesses the legal reforms introduced in Europe and the United States after the financial crisis of 2007–2009, which have led to creation of specialized consumer regulations and a new supervision model over consumer protection. A special place among these legal acts is reserved for Directive 2014/17/EU which introduced regulations regarding: financial advice, transparency (via the European Standardized Information Sheet – ESIS), standardized format, and the calculation of the annual percentage rate of charge APRC, as well as the principles of appropriateness and suitability.

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The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

Author(s): Jana Šimáková,Nikola Rusková / Language(s): English Issue: 3/2019

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

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Spatio‑Temporal Analysis of the Impact of Credit Rating Agency Announcements on the Government Bond Yield in the World in the Period of 2008–2017

Author(s): Elżbieta Szulc,Dagna Wleklińska / Language(s): English Issue: 342/2019

The paper concerns the impact of announcements published by rating agencies on the government bond yield in selected countries of the world. Ratings assigned to debt securities on account of the issuer’s financial standing are an important determinant of their yield. Factors that affect the rate of return of a given traded debt, in addition to idiosyncratic factors, i.e. those related to the issuer’s economy, and global factors, also include the ratings of connected countries. Moreover, empirical studies carried out in this area prove that the relationship is asymmetrical. This allows us to suppose that favourable information concerning the improvement of government bond ratings is not reflected in the decrease in their yield. The aim of the paper is the analysis of interactions between the yields of 10‑year government bonds issued by selected economies. A subject that is of particular interest is the evaluation of the impact of positive and negative changes in credit rating assessments made by international agencies on the yield of bonds issued by other economies than the country concerned in the assessment. The spatial scope of the analysis concerns 10‑year government bonds issued by 40 countries in the period of 2008-2017. In the study, dynamic spatial models for pooled time series and cross‑sectional data and dynamic spatial panel data models were used.

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Rola państwa w procesie internacjonalizacji waluty Chin

Author(s): Dominik A. Skopiec / Language(s): Polish Issue: 1/2018

The internationalization of the Chinese currency remains one of the most vital characteristics of the contemporary international monetary system. The objective of the paper is to analyse the role of state in the internationalization of the renminbi. The paper assumes that this process is to a significant extent a government-led, as opposed to the market-led internationalization characteristic for most key international currencies. It demonstrates the criteria of national currency internationalization and evaluates their fulfilment in the case of China. It also discusses the benefits of currency internationalization and their role in determining the Chinese strategy aimed at making the renminbi an international currency.

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Modeling the Influence of Cluster Components on the Economic Development of a Territory

Author(s): Oleksandr Telizhenko,Olena Pavlenko,Viktoriya Martynets,Svitlana Rybalchenko / Language(s): English Issue: 3/2019

The article examines the clusters with research centers/institutions as a core. The cluster model has been developed on the basis of the modified theory of “growth poles”, taking into account the main provisions of the theory of “structures with direct and indirect relations”. Based on a survey among representatives of science, business and government, calculated are the values of indicators of economic expectations of return on invested capital in basic and applied research. An economic and mathematical model has been developed and the dependence between GDP volumes and the level of research funding have been established. It is proved that in the conditions of the Ukrainian economy, research centers/institutions should be the center of the cluster and the start component of regional economic development.

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Remarks on Statistical Measures for Assessing Quality of Scoring Models

Author(s): Adam Idczak / Language(s): English Issue: 343/2019

Granting a credit product has always been at the heart of banking. Simultaneously, banks are obligated to assess the borrower’s credit risk. Apart from creditworthiness, to grant a credit product, banks are using credit scoring more and more often. Scoring models, which are an essential part of credit scoring, are being developed in order to select those clients who will repay their debt. For lenders, high effectiveness of selection based on the scoring model is the primary attribute, so it is crucial to gauge its statistical quality. Several textbooks regarding assessing statistical quality of scoring models are available, there is however no full consistency between names and definitions of particular measures. In this article, the most common statistical measures for assessing quality of scoring models, such as the pseudo Gini index, Kolmogorov‑Smirnov statistic, and concentration curve are reviewed and their statistical characteristics are discussed. Furthermore, the author proposes the application of the well‑known distribution similarity index as a measure of discriminatory power of scoring models. The author also attempts to standardise names and formulas for particular measures in order to finally contrast them in a comparative analysis of credit scoring models.

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Are the New Member States Ready to Join the Euro Area? A Business Cycle Perspective

Author(s): Kalina Durova / Language(s): English Issue: 3/2019

The present research employs a vector autoregression (VAR) approach to assess the degree of business cycle synchronization between the new member states (NMS), which have not adopted the single European currency, and the Euro area (EA). The main fiscal and monetary factors affecting the business cycle coordination between the NMS and the EA have been identified. The causality between the business cycle convergence of the NMS and the EA and the implemented fiscal and monetary policies has been investigated in the short and in the long term. Recommendations and conclusions on the readiness of the NMS to join the EA have been made.

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Analiza porównawcza unii kredytowych w państwach bałtyckich

Author(s): Eugeniusz Gostomski,Błażej Lepczyński / Language(s): Polish Issue: 3/2018

The aim of this article is to identify the differences between credit unions in the Baltic states and draw conclusions about their poor development in the countries studied. The analysis show that in all the Baltic states the role of credit unions in providing access to banking services in the Baltic states is relatively low inadequate to the demographic and economic potential of these countries. Credit unions in the Baltic countries are not a homogeneous group. The differences relate to the principles of functioning, level of development, development dynamics and financial situation. The most advanced in terms of the level of development is Lithuanian credit union system.

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Kapitał pracujący a płynność finansowa przedsiębiorstw notowanych na Giełdzie Papierów Wartościowych w Warszawie. Wyniki badań

Author(s): Jacek Jaworski,Leszek Czerwonka / Language(s): Polish Issue: 3/2018

The paper examines the impact of the leverage, working capital, and cash conversion cycle on financial liquidity. For this aim panel analysis based on data from financial statements of 345 companies listed on the Warsaw Stock Exchange in the years 1998–2016 was used. The obtained results indicate that liquidity significantly depends on the debt ratio and the size of net working capital. In the first case, it is a negative relationship, the second one is positive. In the case of impact of the cash conversion cycle on the liquidity, the established dependencies do not allow for the formulation of unambiguous conclusions.

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Kultura ryzyka w polskim sektorze bankowym na tle tendencji światowych

Author(s): Stanisław Kasiewicz,Lech Kurklinski / Language(s): Polish Issue: 3/2018

The article is dedicated to the role of risk culture in the management of banking institutions. Selected research results (generally few) and the attitude of supervisory authorities to this issue are presented both in relation to the international and national (Polish) scale. The authors hypothesize that the diagnosis of risk culture in the banking sector significantly supports the recognition of key problems of risk management, and subsequently (after taking appropriate actions) contributes its effectiveness and efficiency. Paying attention to the risk culture issues may also have an impact on improving the quality of banking sector regulation.

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Bitcoin jako pieniądz w perspektywie islamu (wybrane problemy)

Author(s): Robert Kurek,Jacek Adamek / Language(s): Polish Issue: 3/2018

The article presents the analysis and evaluation of the essence of bitcoin (and other cryptocurrencies) from the perspective of its (their) adaptability to the Muslim concept of money. From an economic point of view in the so-called Western culture, all the classical functions of money cannot be fully attributed to bitcoin. Although it performs the function of an exchange medium and the means of payment, it does not fulfil the role of a value storing instrument and thus proves to be a defective measure of value. In the Islamic world, the perception of bitcoin as money is a more complex problem because its economic presentation overlaps with religious issues. Such relationship results in a situation when the answer to the question: can bitcoin be approached as money, is formulated on the basis of a subjective interpretation of the Sharia law, which is also ambiguous.

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The Analysis of Relationships Between Sport Results and Rates of Returns of Companies Involved in Sport Sponsoring

Author(s): Sebastian Majewski,Anna Rapacewicz / Language(s): English Issue: 3/2018

The article is a short study of the importance of non-economic factors in the fluctuation of rates of return of sponsors’ stocks quoted on the Warsaw Stock Exchange. The authors focus on the correlations between sport results of Polish football clubs and rates of return of stocks of stock exchange companies. Dynamic econometric models assuming heteroscedasticity of a random coefficient are used.

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Realizacja długoterminowych stóp zwrotu z inwestycji w akcje spółek regularnie wypłacających dywidendę

Author(s): Aleksandra Pieloch-Babiarz / Language(s): Polish Issue: 3/2018

The aim of this paper is to identify and characterize the relationship between conducting regular dividend payments and shaping the market value of the company within 10 years from the dividend initiation. The research hypothesis states that the longer time of regular dividend pay-outs, the higher abnormal rates of return. Empirical research shows that buy-and-hold abnormal return (BHAR) calculated for companies regularly paying out dividend is higher than the buy-and-hold abnormal return from the WIG index, and that along with an increase in the number of years of regular dividend payments BHAR increases.

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