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Liquidity And The Polish Stock Market
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Book Synopsis The Dynamics of Low-Frequency Liquidity Measures on the German and the Polish Stock Market by : Barbara Bedowska-Sojka
Download or read book The Dynamics of Low-Frequency Liquidity Measures on the German and the Polish Stock Market written by Barbara Bedowska-Sojka and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the commonality in liquidity measures in two stock markets at different stage of development, the Deutsche Börse and the Warsaw Stock Exchange. Using daily data from 2001 to 2016 we show that since 2005 the aggregate liquidity measures from both markets behave similarly suggesting that commonality in liquidity is strongly affected by the global risk factors. For the stocks listed on the developed market there exists a strong interaction between Amihud illiquidity and high-low spreads within the whole sample. On the emerging market the interdependency between these measures strengthen as the stock market matures. The transaction costs on both markets show similar dynamics within the whole period, although we find that on the emerging market they are significantly higher. Our panel data model confirms that higher volatility stimulates market and increases trading activity, but at the same time it also causes the increase in spreads. The growth of transaction costs is on both markets accompanied by the increase in turnover. In all cases the impact of the phenomenon is stronger for the emerging market.
Book Synopsis Liquidity and the Polish Stock Market by : Pavol Ruzicka
Download or read book Liquidity and the Polish Stock Market written by Pavol Ruzicka and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis State-Dependent Stock Liquidity Premium by : Szymon Stereńczak
Download or read book State-Dependent Stock Liquidity Premium written by Szymon Stereńczak and published by . This book was released on 2019 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effect of stock liquidity on stock returns is well documented on the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to answer the question whether there exists stock liquidity premium on the Polish capital market, and if so, whether this premium increases during the periods of market downturn. Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical study a unique empirical methodology has been applied, which guarantees the uniqueness of the results obtained. The results obtained suggest that on the Polish stock market exists stock liquidity premium, which is statistically significant, but only slightly economically relevant. It also does not increase during the periods of bearish market, what results from the lengthening of average holding period when market liquidity decreases.
Book Synopsis Understanding the Polish Capital Market by : Marek Dietl
Download or read book Understanding the Polish Capital Market written by Marek Dietl and published by Taylor & Francis. This book was released on 2022-12-30 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first stock exchange in Warsaw – capital city of the Kingdom of Poland– was established in 1817. Over the past 205 years, the fortunes of the capital market have been closely linked to the "bumpy road" of Polish history. The establishment of the GPW Warsaw Stock Exchange in 1991 was a landmark for transformation from a centrally planned communist economy to a market-driven capitalist one. Since the doors of the exchange reopened, Polish GDP per capita (current USD) increased eight times, translating into an average yearly growth rate of over 7%. The capital market has played a pivotal role in the economic success of Poland over the last three decades. It is not easy to precisely quantify the impact, as it was rather a spill-over effect. Economic growth has fostered the development of a capital market, and more efficient conversion of savings to investments via the capital market. The excellence of capital market institutions can be gauged with reference to various parameters. A synthetic measure is so-called market status. According to FTSE Russell (global index provider), Polish capital attained developed market status in 2018, being the first and only post-communist state to do so. It is fair to say that transformation has been completed and developed market status indicates clearly that the institutions and regulations are world class. The current challenge is competing with other developed markets for the best issuers and offering the most demanding investors an excellent trading experience. This book offers scientific insight into the Polish capital market story. Authored by a group of renowned scholars, with contributions aspiring to the highest academic standards for theoretical considerations and empirical research. The book covers various topics, including links between monetary policy and capital markets, micro and macro market structures, and investors and issuers' behaviour and strategies. All chapters are rooted in contemporary finance theory, supported by various econometric models based on the most recently available data. The book aims to provide academics and practitioners insight into the Polish capital market, appealing especially to those interested in gaining a deeper understanding of emerging markets' successful transformation into developed ones. It can also be used as supplementary reading for doctoral and master’s students in finance, particularly relating to capital markets and economics – predominantly development economics and economic policy.
Book Synopsis How Jumps Affect Liquidity? The Evidence from Poland by : Barbara Bedowska-Sojka
Download or read book How Jumps Affect Liquidity? The Evidence from Poland written by Barbara Bedowska-Sojka and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the changes in liquidity measures around the price jumps detected in intraday returns. The sample consists of 5-minute returns from the most liquid stocks quoted on the Warsaw Stock Exchange. Within an event-study we show that the appearance of the jumps has a two-fold impact on the market liquidity. On the one hand, jumps coincide with the increase in the transaction costs measured by the quoted spread, and on the other hand jumps are accompanied by the increase in the trading quantity measured by trading volume or the number of trades. The price jumps also coincide with the increase in the Amihud's illiquidity measure. All these effects are strong but short-lived, which constitutes the evidence for the market resiliency. Jumps are a result of the market inability to absorb huge orders without significant changes in the prices.
Book Synopsis Stock Market Liquidity and Firms' Dividend Policy on the Warsaw Stock Exchange by : Szymon Stereńczak
Download or read book Stock Market Liquidity and Firms' Dividend Policy on the Warsaw Stock Exchange written by Szymon Stereńczak and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies on the effects of stock liquidity on corporate financial decisions have been made only recently. The first work in this field was a paper of Banerjee et al. (2005), in which they investigated the impact of stock market liquidity on firms' dividend policy. On the developed markets the effect of liquidity on firms' dividend payout is well documented and the findings are not ambiguous: the more liquid are shares on capital markets, the fewer companies are willing to pay dividends and they maintain a lower level of payments. Although most of studies made on emerging markets supports this results, there is still lack of comprehensive analysis made on the polish capital market. The goal of this paper is to investigate the relationship between stock liquidity and both firms' propensity to pay dividends and the level of dividend payments. Research results presented here also support the effects of previous studies: firms with less liquid shares are more willing to pay dividends. The effect of stock liquidity on the payout level also exists but is less significant. The paper is a contribution to further research in this field using data on more companies and from a longer period.
Book Synopsis Advances in Longitudinal Data Methods in Applied Economic Research by : Nicholas Tsounis
Download or read book Advances in Longitudinal Data Methods in Applied Economic Research written by Nicholas Tsounis and published by Springer Nature. This book was released on 2021-03-31 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents new methods and applications in longitudinal data estimation methodology in applied economic. Featuring selected papers from the 2020 the International Conference on Applied Economics (ICOAE 2020) held virtually due to the corona virus pandemic, this book examines interdisciplinary topics such as financial economics, international economics, agricultural economics, marketing and management. Country specific case studies are also featured.
Book Synopsis Advances in Applied Economic Research by : Nicholas Tsounis
Download or read book Advances in Applied Economic Research written by Nicholas Tsounis and published by Springer. This book was released on 2017-06-07 with total page 869 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume aims to provide new research methods, theories and applications from various areas of applied economic research. Featuring papers from the 2016 International Conference on Applied Economics (ICOAE) organized by the University of Nicosia and the Western Macedonia University of Applied Sciences, this volume presents cutting edge research from all areas of economic science that use applied econometrics as the method of analysis. It also features country specific studies with specific economic policy analyses and proposals. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics to analyse economic problems of the real world usually with economic policy interest. ICOAE is an annual conference started in 2008 with the aim to bring together economists from different fields of applied economic research in order to share methods and ideas. The goal of the conference and the enclosed papers is to allow for an exchange of experiences with different applied econometric methods and to promote joint initiatives among well-established fields likemacro- and microeconomics, international economics, finance, agricultural economics, health economics, education economics, international trade theory and management and marketing strategies. Featuring global contributions, this book will be of interest to researchers, academics, professionals and policy makers in the field of applied economics and econometrics.
Book Synopsis Poland Stock Market for Beginners Book: Polish Rynek Giełdowy by : Franciszek Kowalski
Download or read book Poland Stock Market for Beginners Book: Polish Rynek Giełdowy written by Franciszek Kowalski and published by AP Publishing. This book was released on 2016-08-21 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market is the best place to make money and Poland is no different. This is the best way to beat negligible returns on other money making opportunities. Historically stock markets have proven to be the best money makers. The only thing is to bear in mind that it can go the other way and make losses for you as well. Those who have sound fundamentals and do not take undue risks definitely make money in the long run. In this book I have tried to cover the following Basic Fundamentals What is Poland Stock Market What are the Stock Exchanges What are brokers and What are the best investment options in Poland Powodzenia na giełdzie!
Book Synopsis Stock Market Liquidity: Comparative Analysis of the Vienna Stock Market and the Warsaw Stock Exchange by : Lukas Stummer
Download or read book Stock Market Liquidity: Comparative Analysis of the Vienna Stock Market and the Warsaw Stock Exchange written by Lukas Stummer and published by . This book was released on 2014 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bis zum heutigen Tag gibt es, trotz der regionalen Bedeutung, kaum wissenschaftliche Studien über die Wiener Börse. Daher ist es dem Autor ein Anliegen die Liquiditätssituation des Austrian Traded Index zu analysieren, um sie danach mit der Situation an der Warschauer Börse zu vergleichen. Dabei werden diverse Liquiditätsvariablen beschrieben, sowie über die Dauer des Untersuchungszeitraums für beide Börsen analysiert. Die Ergebnisse der Studie sprechen weitgehend dafür, dass die Warschauer Börse Investoren ein besseres Liquiditätsumfeld bietet. Das zeigt auf, dass Wien als Handelsschauplatz an Bedeutung verloren hat.*****Limited research has been done about the Vienna Stock Exchange, despite its regional importance. Therefore, the author examines the liquidity situation of the Austrian Traded Index and draws a comparison with the Warsaw Stock Exchange, which is equally significant to the Eastern European market. The author focuses on describing various liquidity factors and on elaborating the liquidity performance and its movement over the years. The results of this research indicate that Warsaw's main index, WIG20, offers investors more liquidity than the ATX. This means that Vienna loses importance to investors compared to Poland.
Book Synopsis Stock Liquidity Premium on the Polish Capital Market by : Szymon Stereńczak
Download or read book Stock Liquidity Premium on the Polish Capital Market written by Szymon Stereńczak and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Management in the Polish Financial System by : Marian Noga
Download or read book Risk Management in the Polish Financial System written by Marian Noga and published by Springer. This book was released on 2015-10-21 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: With globalisation comes an increase in the threat from systemic risk. As national economies become more globally entwined many argue that insufficient attention is being given to systemic risk; a principal contributor to recent economic crises. Focusing on the Polish financial system, this book addresses this critical issue within a global economic context. It advocates that accurate risk management practices and appropriate micro and macroeconomic policies can be created and maintained in order to manage systemic risk at both a national and international level. The book reviews current systemic risk management practices, analysing stability and existing micro- and macroprudential policies, before examining the current risks involved in investing in financial instruments and those associated with investing in stock exchanges. It offers suggestions for the effective implementation of a well-designed public policy, through well managed fiscal and monetary policies, and reflects the roles of households and companies in planning, organizing, and controlling socio-economic activity to control risk. Risk Management in the Polish Financial System aims to redefine the taxonomy of systemic risk, offering practical and regulatory socio-economic processes which can be applied to current risk management practices, as well as provide a risk map for the years to come.
Book Synopsis Factor Returns in the Polish Equity Market by : Adam Zaremba
Download or read book Factor Returns in the Polish Equity Market written by Adam Zaremba and published by . This book was released on 2016 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ability to indicate factors which best explains common variation in stock returns, is crucial to construction of a correct pricing model and forecasting equity returns. Taking into account long finance literature, firm characteristics such as market capitalization, book-to-market ration, the short-term history of past returns, or market turnover are important determinants of stock returns. This study seeks to identify factors important for forecasting changes in stock prices in Poland. The paper examines the relationships between common stock returns and four well-recognized factors: size, value, momentum and liquidity. First, we review existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns in the Polish market. We study also interactions between separate factors. We perform a long/short portfolio analysis based on all stocks listed on the Warsaw Stock Exchange between 2000 and 2012. We find that historically in Poland it was possible to build factor-based portfolios which outperformed the broad market. However, the Polish market seems too young to derive some significant statistical interference.
Book Synopsis Efficiency Aspects on the Polish Stock Market by : Cristina Kampe
Download or read book Efficiency Aspects on the Polish Stock Market written by Cristina Kampe and published by . This book was released on 2004 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Informational (in)Efficiency of the Polish Stock Exchange by : Jarosław Kilon
Download or read book Informational (in)Efficiency of the Polish Stock Exchange written by Jarosław Kilon and published by . This book was released on 2016 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to determine whether (and to what extent) the weak form of efficient-market hypothesis could be considered true in relation to the financial instruments listed on the Warsaw Stock Exchange in relation to the exchanges of Baltic Sea countries. With respect to the analyzed indices three types of randomness tests were performed: autocorrelation test, series test and unit root test. The direct practical implication of this paper is the assumption that the selected active investment strategies can be successfully used for some groups of shares quoted on WSE, as well as for selected European exchanges.
Book Synopsis Semi-Strong Information Efficiency of the Polish Stock Exchange Market in Various Market Situations by : Marcin Kalinowski
Download or read book Semi-Strong Information Efficiency of the Polish Stock Exchange Market in Various Market Situations written by Marcin Kalinowski and published by . This book was released on 2009 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: During a crisis a higher price changeability is noticeable on the financial market. Capital investment on the stock market is a problem concerning more and more people in this context. An attempt to determine effective decision making methods is an issue for both physical and legal persons including instructions managing investment portfolios.The aim of this paper is determining the level of information efficiency at the semi-strong stage of the largest Polish companies on the stock market (covered by WIG20 index) in different market conditions.To achieve this aim the author decided to create a graphic representation of semi-strong information efficiency. In the next section of the paper the author analyses the Polish stock market from the point of view efficiency in the years 2005-2008.The hypotheses tested by the author in the article: 1.The efficiency of the Polish stock market is dependent on the condition of the financial market.2.The Polish stock market is efficient in the time of crises, which means that information about companies is reflected in their share prices.Financial market efficiency is an element of considerations concerning capital investments. Satisfactory ROI (return on investment) is correlated with market efficiency. It is therefore important to conduct research on stock market efficiency and compare results. It is the basis for taking effective investment decisions on different markets.The conducted in this paper research demonstrates that there is a correlation between capital market prosperity and information efficiency on this market. The outcome of the research referring the level of fundamental analysis ratios P/E and P/BV to the rate of return in the following period prove that the situation on the capital market influences semi-strong information efficiency.
Book Synopsis stock market development and long run growth by : Ross Levine
Download or read book stock market development and long run growth written by Ross Levine and published by World Bank Publications. This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
