Jajuga / Locarek-Junge / Orlowski Contemporary Trends and Challenges in Finance

Proceedings from the 5th Wroclaw International Conference in Finance
1. Auflage 2020
ISBN: 978-3-030-43078-8
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)

E-Book, Englisch, 246 Seiten, eBook

Reihe: Springer Proceedings in Business and Economics

This volume features a selection of contributions presented at the 2019 Wroclaw Conference in Finance, covering a wide range of topics in finance and financial economics, e.g. financial markets; monetary policy; corporate, personal and public finance; and risk management and insurance. Reflecting the diversity and richness of research in the field, the papers discuss both fundamental and applied finance, and offer a detailed analysis of current financial-market problems, including specifics of the Polish and Central European markets. They also examine the results of advanced financial modeling. Accordingly, the proceedings offer a valuable resource for researchers at universities and policy institutions, as well as graduate students and practitioners in economics and finance at both private and government organizations.

Zielgruppe

Research

Autoren/Hrsg.

Jajuga, Krzysztof

Locarek-Junge, Hermann

Orlowski, Lucjan T.

Staehr, Karsten

Inhaltsverzeichnis

1;Preface;6
2;Contents;8
3;About the Editors;10
4; Financial Markets;11
5; The Rhythm of the Night: Some Anomalies in Open and Close Prices of Polish and German Blue-Chip Stocks;12
5.1;1 Introduction;12
5.2;2 Methods;13
5.2.1;2.1 Simple Returns and Log Returns;13
5.2.2;2.2 OHLC Records and Day- and Night-Returns;15
5.2.3;2.3 Volatility Estimates;16
5.2.4;2.4 Bid-Ask Spreads;18
5.2.5;2.5 Data;20
5.2.6;2.6 Portfolio Construction;21
5.3;3 Results;21
5.4;4 Conclusions;24
5.5;Appendix;25
5.6;References;28
6; The Effect of the Day and the Risk Diversification on the WSE;30
6.1;1 Introduction;30
6.2;2 The Models of Well-Diversified Portfolios;31
6.3;3 The Effect of the Day and the Risk Diversification in 2010–2018 on the WSE;33
6.4;4 Summary;37
6.5;References;37
7; Volatility and Liquidity in Cryptocurrency Markets—The Causality Approach;39
7.1;1 Introduction;39
7.2;2 Methods;41
7.3;3 Data Source and Sample Preparation;43
7.4;4 Empirical Results;43
7.5;5 Conclusion and Discussion;46
7.6;Appendix;48
7.7;References;50
8; Identification of the Factors Affecting the Return Rates of the Banks Listed on the Warsaw Stock Exchange;52
8.1;1 Introduction;52
8.2;2 Theoretical Framework;53
8.3;3 Data and Methodology;55
8.4;4 Results;57
8.5;5 Conclusions;60
8.6;References;60
9; Conventional and Downside Betas and Higher Co-moments in the Asset Pricing Relations;62
9.1;1 Introduction;62
9.2;2 Methodology;64
9.2.1;2.1 Risk Measures;64
9.2.2;2.2 Modifications of CAPM. Unconditional Relationships in Conventional and Downside Approaches;65
9.2.3;2.3 Modifications of CAPM. Relationships in Different Market Conditions;67
9.3;3 Data;67
9.4;4 Results;68
9.5;5 Conclusions;70
9.6;References;70
10; The Accuracy of Trade Classification Rules for the Selected CEE Stock Exchanges;72
10.1;1 Introduction;72
10.2;2 Literature Review;74
10.3;3 Data;75
10.4;4 Empirical Results;76
10.5;5 Conclusions;81
10.6;References;81
11; Profitability Ratios in Risk Analysis;83
11.1;1 Introduction;83
11.2;2 Downside Beats, Downside Accounting Betas and Semi-variance;84
11.3;3 Data;87
11.4;4 Empirical Results;88
11.5;5 Conclusions;92
11.6;References;93
12; Impact of Commodity Market Risk on Listed Companies;95
12.1;1 Introduction;96
12.2;2 The Scope of Research and Research Methods;98
12.3;3 The Results of the Warsaw Stock Exchange Study;99
12.4;4 The Results of the Italian Stock Exchange-Borsa Italiana Study;101
12.5;5 Conclusion;103
12.6;References;103
13; Corporate Finance;105
14; The Double Relationship Between Risk Management and CSR in the Italian Healthcare Sector: The Case of the Lombard “Health Protection Agencies” (ATS);106
14.1;1 Introduction;106
14.2;2 Risk, Risk Management and the Healthcare Sector;108
14.3;3 CSR and RM: Is There a Link?;109
14.4;4 Results and Discussion;110
14.5;5 Conclusions;113
14.6;References;114
15; Are Corporate Financing Policies Different in Old and New EU Member States?;117
15.1;1 Introduction;117
15.2;2 Literature Review;118
15.3;3 Data and Methodology;119
15.4;4 Results;121
15.5;5 Conclusions;124
15.6;References;126
16; Board Characteristics and Performance of East Africa Companies;128
16.1;1 Introduction;128
16.2;2 Literature Review;131
16.2.1;2.1 Board Size;131
16.2.2;2.2 The Proportion of Independent Directors;132
16.2.3;2.3 Separation of Chairman and CEO Positions;133
16.2.4;2.4 Proportion of Women;134
16.2.5;2.5 The Proportion of Foreign Board Members;136
16.3;3 Methodology;137
16.3.1;3.1 Data;137
16.3.2;3.2 Methodology;137
16.4;4 Findings and Discussions;138
16.4.1;4.1 Descriptive Statistics;138
16.4.2;4.2 Discussion;142
16.5;5 Conclusion;143
16.6;References;143
17; Quantitative Methods in Finance;150
18; Different Approaches to the Reference Yield Curve Construction—And Their Application into Fund Transfer Pricing Mechanism;151
18.1;1 Introduction;151
18.2;2 An Impact of a Yield Curve Construction on FTP Process;152
18.2.1;2.1 Parsimonious Models;153
18.2.2;2.2 Smith-Wilson Model;154
18.3;3 Data and Results;155
18.3.1;3.1 Parametric Model;155
18.3.2;3.2 Smith-Wilson Model;156
18.4;4 Summary;158
18.5;References;159
19; Geometric Distribution as Means of Increasing Power in Backtesting VaR;160
19.1;1 Introduction;160
19.2;2 Geometric Distribution Based Methods of Testing VaR;162
19.3;3 Finite Sample Properties;164
19.4;4 Summary and Conclusion;167
19.5;References;167
20; Price Clustering in Stocks from the WIG 20 Index;169
20.1;1 Introduction;169
20.2;2 Data and Methodology;170
20.3;3 Empirical Results;172
20.4;4 Conclusion;176
20.5;References;176
21; Construction of Investment Strategies for WIG20, DAX and Stoxx600 with Random Forest Algorithm;178
21.1;1 Introduction;178
21.2;2 Investment Strategy and Random Forest;179
21.3;3 Data Preparation;180
21.4;4 Training the Algorithm;181
21.5;5 Results and Conclusions;183
21.6;Appendix;185
21.7;References;186
22; Application of the SAW Method in Credit Risk Assessment;188
22.1;1 Introduction;188
22.2;2 Credit Risk Assessment Methods—Overview;189
22.3;3 Oriented Fuzzy Numbers—Basic Facts;191
22.4;4 Linguistic Approach—Order Scales;194
22.5;5 Simple Additive Weighting Method—Overview;196
22.6;6 Numerical Example—Case Study;198
22.7;7 Conclusions;201
22.8;References;202
23; Financial Institutions;205
24; Cost-Management Strategies Applied by Insurance Companies in Poland in the Years 2016–2018; Empirical Research;206
24.1;1 Introduction;206
24.2;2 Cost Strategies Implementable by Insurance Companies;207
24.3;3 Research Findings Concerning Cost Strategies Applied in Insurance Companies Poland in the 2016–2018;209
24.4;4 Summary and Conclusions;214
24.5;References;215
25; Dividends of Life Insurance Companies and the Solvency Capital Requirements;217
25.1;1 Introduction;217
25.2;2 Dividends Payments of Life Insurers;218
25.3;3 Research Design;219
25.4;4 Conclusions;225
25.5;References;226
26; Fragility or Contagion? Properties of Systemic Risk in the Selected Countries of Central and East-Central Europe;227
26.1;1 Introduction;227
26.2;2 Financial System and Systemic Risk—Definitions;229
26.3;3 Selected Risk Measures and the Estimation Methods;229
26.3.1;3.1 Fragility Measure—SRISK;230
26.3.2;3.2 Risk Spill Over Measure—Delta CoVaR;230
26.3.3;3.3 Estimation;231
26.4;4 Empirical Results and Short Discussion;232
26.5;5 Conclusions;242
26.6;Appendix: Descriptive Statistics;243
26.7;References;245

Über Autor(innen)

Krzysztof Jajuga
is a Professor and chair of the Department of Financial Investments and Risk Management at Wroclaw University of Economics, Poland. He obtained his doctoral degree in Economics from the same university in 1982. At the beginning of his scientific career he received a Fulbright grant to study at Stanford University’s Department of Statistics. He has since been a Visiting Professor at various universities in the USA, as well as in Europe and China. His main research interests are financial econometrics, capital markets and risk analysis and management. He is also President of the CFA Society Poland. 
  Hermann Locarek-Junge
has been a Professor of Finance and Financial Services at the TU Dresden since 1995. He completed his PhD at the University of Augsburg, Germany in 1987. He also studied business informatics and was appointed a Professor in that field at Essen University, Germany, in 1991. Since then, he hasbeen a Visiting Professor and Research Fellow at various international institutions and universities. Throughout his career, he has undertaken research work for several banks and organizations, including the Deutsche Bank, Dresdner Bank, Sparkasse Dresden, Union Investment, and the German National Research Foundation (DFG). 
  Lucjan T. Orlowski
is a Professor of Economics and Finance and a Director of the Doctor of Business Administration in Finance Program at Sacred Heart University, USA. His research interests include monetary economics, financial markets and institutions, and financial stability. He has authored numerous books, chapters in edited volumes and articles in scholarly journals.   He has been visiting professor and research fellow at many prominent international institutions and universities and served in an advisory role for many governments and financial institutions including Polish Ministry of Finance and National Bank of Poland. He has worked with the European Commission Economic and Finance Committee on the post-crisis policy responses to extreme risks in financial markets. He is collaborating with Chicago Mercantile Exchange Group on analyzing the volatility of financial futures and its impact on real economy.  He is a Doctor Honoris Causa recipient from Wroclaw University of Economics.
   Karsten Staehr
is a Professor of Economics at Tallinn University of Technology, Estonia and also a research supervisor at the Bank of Estonia. He holds a master’s degree from the Massachusetts Institute of Technology and master’s and PhD degrees from the University of Copenhagen, Denmark. His main research interests are macroeconomics, international finance, public economics and transition studies. He is an associate editor of the Baltic Journal of Economics and serves on the editorial board of Post-Communist Economies and Economic Systems.