Contemporary Trends and Challenges in Finance

Name: Contemporary Trends and Challenges in Finance | Proceedings from the 5th Wroclaw International Conference in Finance
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Proceedings from the 5th Wroclaw International Conference in Finance

Krzysztof Jajuga Hermann Locarek-Junge Lucjan T. Orlowski Karsten Staehr(Herausgeber*in)

Springer (Verlag)

1. Auflage

Erschienen am 6. Mai 2020

IX, 250 Seiten

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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.

Inhalt

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

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