scholarly journals No Commonality in Liquidity on Small Emerging Markets? Evidence from the Central and Eastern European Stock Exchanges

2020 ◽  
Vol 23 (3) ◽  
pp. 91-109 ◽  
Author(s):  
Joanna Olbryś
Keyword(s):  
Emerging Markets ◽  
Value Added ◽  
Stock Exchanges ◽  
Eastern European ◽  
Matrix Estimation ◽  
Daily Data ◽  
Rolling Window ◽  
Individual Market ◽  
Window Approach ◽  
Communist Countries

The goal of this comparative research is to investigate intra-market commonality in liquidity on six small emerging Central and Eastern European (CEE) stock exchanges – in the Czech Republic, Hungary, Slovakia, Lithuania, Estonia, and Latvia. The CEE post-communist countries can be analyzed together as they are geographically close, and the stock markets are relatively similar. Three measures based on daily data are utilized as liquidity/illiquidity proxies: (1) a modified version of the Amihud (2002) measure, (2) the percentage relative spread, and (3) the Corwin-Schultz (2012) high-low two-day spread estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed to explore the patterns of market-wide commonality in liquidity on the CEE stock exchanges. The main value-added comes from the methodology and the novel empirical findings. To the best of the author’s knowledge, this is the first study that investigates commonality in liquidity in the aforementioned group of countries using three liquidity proxies and the time rolling-window approach to provide robustness tests. The regressions reveal no pronounced evidence of co-movements in liquidity within the CEE markets, taken separately. What is important, the empirical results are homogeneous for all investigated markets. Therefore, no reason has been found to reject the research hypothesis that there is no commonality in liquidity on each individual market. This paper aspires to fill the gap in the knowledge of liquidity patterns on the CEE emerging markets.

scholarly journals A Pre Post-COVID–19 Pandemic Review of Regional Connectivity and Socio-Economic Development Reforms: What Can Be Learned by Central and Eastern European Countries from the China-Pakistan Economic Corridor

2021 ◽  
Vol 24 (2) ◽  
pp. 23-43
Author(s):  
Atta Ullah ◽  
Chen Pinglu ◽  
Saif Ullah ◽  
Muhammad Ather Elahi
Keyword(s):  
Economic Development ◽  
Regional Cooperation ◽  
Current Account Deficit ◽  
European Countries ◽  
Positive Sign ◽  
Eastern European ◽  
Rolling Window ◽  
Socio Economic Development ◽  
Eastern European Countries ◽  
Window Approach

This paper aims to highlight the role of mutual assistance of China and Pakistan’s regional connectivity through the China‑Pakistan Economic Corridor (CPEC) and show what lessons can be learned by Central and Eastern European Countries (CEECs). CPEC promotes trade, FDI, peace, and sustainable socio‑economic development, and it can help to alleviate the effects of COVID–19 in the region to promote socio‑economic development. In this study, we employed the Rolling Window Approach (Rolling Moving Average Approach) for data analysis of pre‑ and post‑COVID–19. It also focuses on before and after the CPEC initiative’s impact on the Pakistani economy through the Rolling Window Approach and graphical trends. In Pakistan, thanks to CPEC; trade, FDI, remittance, and the stock exchange (PSX) showed an upward shift. Terrorism decreased, which indicates a positive sign for peace and socio‑economic development. However, currency depreciation increased, and the exchange rate trend is going up against the dollar, hurting the economy badly in several ways, such as the balance of payment, current account deficit, and lower some exports. To mitigate these issues, Pakistan and China have taken steps as trade formulated in domestic currency between China and Pakistan. During COVID–19, the provision of health care equipment on a priority basis from China helped to combat the COVID–19 effects and stabilize Pakistan’s Economy. CPEC is structured to connect regional economic zones by forming local, regional, and global value chains. To cope with the COVID–19 impacts, socio‑economic reforms and regional cooperation are suggested for CEECs with a pre‑post circumstances review. Regional integration and cooperation are key to coping with this pandemic. CEECs can learn lessons from CPEC for socio‑economic development, reducing violence, and improving the economy.

scholarly journals Intra-market commonality in liquidity: new evidence from the Polish stock exchange

Equilibrium ◽  
2019 ◽  
Vol 14 (2) ◽  
pp. 251-275 ◽  
Author(s):  
Joanna Olbryś
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Time Windows ◽  
Value Added ◽  
Price Impact ◽  
Matrix Estimation ◽  
Research Hypothesis ◽  
Warsaw Stock Exchange ◽  
The Stability ◽  
Window Approach

Research background: Empirical market microstructure research has recently shifted its focus from the examination of liquidity of individual securities towards analyses of the common determinants and components of liquidity. The identification of commonality in liquidity emerged as a new and fast growing strand of the literature on liquidity. However, the results around the world are ambiguous and rather depend on a specific stock market. Purpose of the article: The aim of this study is to explore intra-market commonality in liquidity on the Warsaw Stock Exchange (WSE) by using daily proxies of six liquidity estimates: percentage relative spread, percentage realized spread, percentage price impact, percentage order ratio, modified turnover, and modified version of the Amihud measure. The sample covers a period from January 2005 to December 2016. The database contains the group of eighty-six WSE-listed companies. Methods: The research hypothesis that there is commonality in liquidity on the Polish stock market is tested. The OLS with the HAC covariance matrix estimation and the GARCH-type models are employed to infer the patterns of liquidity co-movements on the WSE. Moreover, because the sample period is quite long, the stability of the empirical results by time period is examined. Seven 6-year time windows are utilized in the study. Findings & Value added: The regression results reveal weak evidence of co-movements in liquidity on the WSE, regardless of the choice of the liquidity proxy. Furthermore, the robustness tests based on the time rolling-window approach do not unambiguously support the research hypothesis that there is commonality in liquidity on the Polish stock market. To the best of the author’s knowledge, the empirical findings presented here are novel and have not been reported in the literature thus far.

Intellectual capital and bank productivity in emerging markets: evidence from Ghana

2016 ◽  
Vol 54 (3) ◽  
Author(s):  
Abdul Latif Alhassan ◽  
Nicholas Asare
Keyword(s):  
Regression Analysis ◽  
Emerging Markets ◽  
Intellectual Capital ◽  
Productivity Growth ◽  
Design Methodology ◽  
Emerging Market ◽  
Value Added ◽  
Malmquist Productivity Index ◽  
Productivity Index ◽  
Practical Implications

Purpose This paper examines the effect of intellectual capital on bank productivity in an emerging market in Africa. Design/methodology/approach The Malmquist Productivity Index is employed to estimate productivity growth of 18 banks in Ghana from 2003 to 2011 while the Value Added Intellectual Coefficient is used to measure bank intellectual capital performance. The panel-corrected standard errors estimation technique is used to estimate a panel regression model with Malmquist Productivity Index as the dependent variable. Bank market concentration and bank size are controlled for in the regression analysis. Findings We find productivity growth to be largely driven by efficiency changes compared to technological changes. The results from the regression analysis indicate that Value Added Intellectual Coefficient has a positive effect on the productivity of banks in Ghana. We also find human capital efficiency and capital employed efficiency as the components of Value Added Intellectual Coefficient that drive productivity growth in the banking industry. Bank size and industry concentration are also identified as significant drivers of productivity in the market. Practical implications The study’s findings support investments in intellectual capital as a means of improving the performance of banks in emerging markets Originality/value To the best of our knowledge, this is the first study to empirically examine the relationship between intellectual capital and productivity in an emerging banking market in Africa.

scholarly journals A three-fold framework for understanding HRM practices in South-Eastern European SMEs

2016 ◽  
Vol 38 (3) ◽  
pp. 310-331 ◽  
Author(s):  
Alexandros Psychogios ◽  
Leslie Thomas Szamosi ◽  
Rea Prouska ◽  
Christopher Brewster
Keyword(s):  
Eastern European ◽  
Exploratory Research ◽  
Content Type ◽  
Factors Affecting ◽  
South Eastern ◽  
Hrm Practices ◽  
Business Environments ◽  
Yugoslav Republic ◽  
Communist Countries ◽  
See Region

Purpose – The purpose of this paper is to study particular structural and organisational factors affecting the formality of human resource management (HRM) practices in small and medium-sized enterprises (SMEs) in South-Eastern European (SEE) post-communist countries, in particular Serbia, Romania, Bulgaria and the Former Yugoslav Republic of Macedonia in order to understand the antecedents of formalization in such settings. Design/methodology/approach – Adopting a quantitative approach, this study analyses data gathered through a survey of 168 managers of SMEs from throughout the region. Findings – The results show that HRM in SMEs in the SEE region can be understood through a threefold framework which includes: degree of internationalisation of SMEs, sector of SMEs and organisational size of SMEs. These three factors positively affect the level of HRM formalisation in SEE SMEs. These findings are further attributed to the particular political and economic context of the post-communist SEE region. Research limitations/implications – Although specific criteria were set for SME selection, the authors do not suggest that the study reflects a representative picture of the SEE region because the authors used a purposive sampling methodology. Practical implications – This paper provides useful insights into the factors which influence HRM in SMEs in a particular context. The findings can help business owners and managers understand how HRM can be applied in smaller organisations, particularly in post-communist SEE business contexts. Originality/value – HRM in SMEs in this region has hardly been studied at all despite their importance. Therefore, this exploratory research seeks to expand knowledge relating to the application of HRM in SMEs in SEE countries which have their business environments dominated by different dynamics in comparison to Western European ones.

scholarly journals Macro level analysis of factors contributing to value added: technological changes in European countries

2018 ◽  
Vol 16 (4) ◽  
pp. 417-428
Author(s):  
Larysa Antoniuk ◽  
Nataliia Cherkas
Keyword(s):  
Fixed Effects ◽  
Value Added ◽  
European Countries ◽  
Macro Level ◽  
Eastern European ◽  
Technological Changes ◽  
Random Effects Models ◽  
Currency Depreciation ◽  
Developed Economies ◽  
Eastern European Countries

In conditions of globalization and rapidly growing production fragmentation, generation of value added becomes an ultimate goal and a measure of economic performance. The study provides an analysis of factors contributing to value added at macro level in different European countries. The analysis includes a panel framework covering 27 European countries over the period 2006–2015. In order to investigate the differences across regions, three subsamples are considered, namely, developed economies, PIIGS (Portugal, Italy, Ireland, Greece and Spain) and Central-Eastern European Countries (CEEC). Pooled OLS, fixed effects and random effects models are used. The results indicate that increase of value added corresponds to budget discipline, quality of human capital improvement, strong currency and transparent institutions. It could be expected that currency depreciation improves performance of the value added of exported final goods. However, the results show the opposite evidence: currency depreciation causes the value added decrease in all groups. Thus, for transitional countries, it is im¬portant not only to join global production chains, but also to acquire a significant share in generation of value added in these chains based on technological changes.

scholarly journals Exchange-traded products in Germany: development and substitution of exchange-traded funds, exchange-traded commodities and exchange-traded notes

Equilibrium ◽  
2018 ◽  
Vol 13 (4) ◽  
pp. 643-665
Author(s):  
Adam Marszk
Keyword(s):  
Value Added ◽  
Stock Exchanges ◽  
Exchange Traded Funds ◽  
Investment Funds ◽  
Market Shares ◽  
Time Period ◽  
Fast Development ◽  
Exchange Traded Notes ◽  
Insight Into ◽  
Total Market

Research background: Exchange-traded products (ETPs) are one of the most rapidly growing categories of financial products. Their fast development has been boosted by innovative features. Three main categories of ETPs are exchange-traded funds (ETFs), exchange-traded commodities (ETCs) and exchange-traded notes (ETNs). ETCs and ETNs remain least known, even though their number on some stock exchanges is high. In Europe, Germany is one of the largest and most active ETPs markets. ETCs and ETNs are debt instruments, in contrast with the most popular ETFs, which are equity securities. Therefore, they offer investors different advantages, but also expose them to other types of risks. Purpose of the article: The key aim of the article is to present the features of ETPs and to provide in-depth insight into the issues linked with the development of ETPs market in Germany, with the special emphasis on the ETCs and ETNs. Methods: In the main empirical part of the article, German ETPs market is analyzed using descriptive statistics and technological substitution framework (employed for the analysis of innovations in order to evaluate the changing market shares of, first, ETFs versus ETCs and ETNs, as well as, second, ETFs versus other types of investment funds). The period of the analysis is 2010–2016 in the former case and 2007–2016 in the latter. Findings & Value added: Share of ETPs other than ETFs in the total market in Germany remains low. Even though the market position of the leading products, i.e. ETFs, is still very strong, some substitution has been observed, especially after 2015. Predictions indicate that this trend will continue in the upcoming years. The results of the analysis of the investment funds’ market confirm the substitution between ETFs and traditional investment funds over 2007–2017, in particular in the first years of this time period.

scholarly journals Backwardness of Central and Eastern Europe as a Heritage of the Soviet Period

2020 ◽  
Vol 43 (338) ◽  
pp. 61-66
Author(s):  
Sandris Ancans
Keyword(s):  
Eastern Europe ◽  
Central And Eastern Europe ◽  
Communist Regime ◽  
European Region ◽  
Eastern European ◽  
Planned Economy ◽  
Command Economy ◽  
Centrally Planned Economy ◽  
Communist Countries ◽  
The Eu

AbstractThe economy of Latvia lags behind economically developed nations approximately fourfold in terms of labour productivity in the tradable sector, which is the key constituent of a modern economy, thereby affecting future sustainable development in the entire country, including the rural areas. The economic backwardness is characteristic of the entire Central and Eastern Europe. This is the heritage of a communist regime that lasted for about half a century and the economic system termed a (centrally) planned economy or a command economy. However, such a term for the communist-period economy is not correct, as it does not represent the purpose it was created for. Accordingly, the paper aims to assess the effect of the communism period on the economic backwardness of the Central and Eastern European region of the EU. A planned economy that existed in all communist countries, with the exception of Yugoslavia, was not introduced to contribute to prosperity. It was intended for confrontation or even warfare by the communist countries under the guidance of the USSR against other countries where no communism regime existed, mostly Western world nations with their market economies. For this reason, it is not correct to term it a (centrally) planned economy or a command economy; the right term is a mobilised (war) economy. An extrapolation of a geometric progression for GDP revealed that during the half a century, Latvia as part of the USSR was forced to spend on confrontation with the West not less than EUR 17 bln. (2011 prices) or approximately one gross domestic product of 2011. The research aim of the paper is to assess the effect of the communism period on the economic backwardness of the Central and Eastern European region of the EU.

scholarly journals Value Added as a Measure of Economic Profit

2018 ◽  
Vol 16 (29) ◽  
Author(s):  
Silvije Orsag ◽  
Ante Džidić
Keyword(s):  
Bosnia And Herzegovina ◽  
Cost Of Capital ◽  
Value Added ◽  
Business Success ◽  
Stock Exchanges ◽  
Cost Of Equity ◽  
Economic Profit ◽  
Company Value ◽  
Banja Luka ◽  
The Cost

Economic profit is the concept immanent for the value added. It is an attempt to analyze properly the business success in terms of contribution of profit to the increase in the company value and the stockholders’ wealth. Fundamentally, value added is a measure of the business success where all standard costs and the costs of invested capital are excluded from the realized revenues. Profit as a traditional measure of business success ignores the cost of equity, although equity is the most expensive form of capital. To illustrate better this concept, we made an analysis of the most profitable corporations in Bosnia and Herzegovina listed on Banja Luka and Sarajevo stock exchanges. The analysis showed that the majority of these corporations operate poorly because they do not meet the implicit cost of capital, essentially losing the value of capital entrusted to them by their stockholders. Also, this analysis questioned the importance of the industries which are usually considered to be the most important in BiH economy.

scholarly journals EVALUATING MEASURES OF MARKET RISK IN CIRCUMSTANCES OF GLOBAL FINANCIAL CRISIS – EMPIRICAL EVIDENCE FROM FIVE COUNTRIES

2013 ◽  
Vol 1 ◽  
pp. 75-81
Author(s):  
Ivica Terzić ◽  
Marko Milojević
Keyword(s):  
Value At Risk ◽  
Global Financial Crisis ◽  
Market Risk ◽  
Var Models ◽  
Risk Models ◽  
Historical Simulation ◽  
Rolling Window ◽  
Independence Properties ◽  
Window Approach ◽  
Metrics Model

The purpose of this paper is to evaluate performance of value-at-risk (VaR) produced by two risk models: historical simulation and Risk Metrics. We perform three backtest: unconditional coverage, independence and conditional coverage. We present results on both VaR 1% and VaR 5% on a one-day horizon for the following indices: S&P 500, DAX, SAX, PX and Belex 15. Our results show that Historical simulation 500 days rolling window approach satisfies unconditional coverage for all tested indices, while Risk Metrics has many rejection cases. On the other hand Risk Metrics model satisfies independence backtest for three indices, while Historical simulation has rejected more times. Based on our strong criteria to accept accuracy of VaR models only if both unconditional coverage and independence properties are satisfied, results indicate that during the crisis period all tested VaR models underestimate the true level of market risk exposure.

Evaluation of Firm Performances in Emerging Markets

2020 ◽  
pp. 329-354
Author(s):  
Seda Ekmen Özçelik
Keyword(s):  
Emerging Markets ◽  
Total Factor Productivity ◽  
Labor Productivity ◽  
Value Added ◽  
Factor Productivity ◽  
Firm Level ◽  
Average Value ◽  
The World Bank ◽  
The World ◽  
Enterprise Surveys

This chapter provides basic understanding of firm performance in emerging markets by focusing on labor productivity and total factor productivity. In the study, labor productivity is measured in terms of average value added per worker. Total factor productivity is obtained from estimations of Cobb-Douglas production function where value added is a function of labor and capital. Data is obtained from the firm-level Enterprise Surveys by the World Bank. According to the results, differences in average labor productivities are significant among the sectors within each emerging region. Also, the value of factor elasticities changes across sectors as well as across regions. Moreover, the elasticity of capital is lower than the elasticity of labor for all sectors in regions. It implies that labor plays a more significant role and the firms are operating in a more labor-intensive production process in emerging markets.

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