scholarly journals CREATION AND USE OF THE YIELD CURVE ON THE BANJA LUKA STOCK EXCHANGE

2020 ◽  
Vol 20 (2) ◽  
Author(s):  
Miloš Grujić ◽  
Bojan Baškot
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Yield Curve ◽  
Stock Exchange ◽  
Emerging Market ◽  
Research Question ◽  
Domestic Market ◽  
The Republic ◽  
The Government ◽  
Banja Luka

There has been a lot of talks lately about falling interest rates in all markets. The decline in interest rates is also evident in the domestic market. Such information and trends increase caution, especially in the corporate sector, which is not conducive to economic optimism. In support of the black premonitions that have been pointed out recently, the paper also highlights the appearance of “inverse” yield curves on the Banja Luka Stock Exchange. The yield curve represents the relationship between the interest rate (or loan cost) and the time to maturity of a given borrower in a given currency. By definition, there is no single yield curve that describes financing costs for all market participants. There are conventions that everyone adheres to when it comes to choosing instruments and general design principles. The interpretation of the yield curve is very complex because the yield curve takes into account investors’ expectations in terms of interest rates, but also inflation and political cycles because it is reflected as a risk premium for long-term investments. However, the details of the design methodology are characteristic of different institutional investors. The paper describes the methodology for constructing the yield curve of the Republic of Srpska. The range and limitations of using such a yield curve are then stated are also described. The subject of this paper is to create the yield curve in a domestic market and to analyze data from such views. The aim of the paper is to scientifically explain and describe the process of creating a curve for the yield of debt securities issued by the government and to analyze and interpret the data from that curve. The research question is: “Can the yield curve on the Banja Luka Stock Exchange be used behind the presentation of the yield on debt securities over the last decade?” Thus, the paper demonstrates the scope and limitations of this model while respecting the standards and specifics of business in the emerging market. The conclusion is that the yield curve on the Banja Luka Stock Exchange is a theoretical construction rather than an empirically verified fact, in contrast to the yield curve from developed markets, but that it can be used to represent the yield on debt securities and, indirectly, as an auxiliary tool in making investment decisions. Also, the yield curve of debt securities of the Republic of Srpska is a theoretical concept, but it is also noticeable in practice. Moreover, it is a desirable tool for both academia and practitioners and the general public.

scholarly journals Implications of ownership identity and insider’s supremacy on the economic performance of the listed companies

2014 ◽  
Vol 11 (4) ◽  
pp. 399-411
Author(s):  
Qaiser Rafique Yasser ◽  
Abdullah Al-Mamun
Keyword(s):  
Firm Performance ◽  
Emerging Market ◽  
Research Question ◽  
Positive Influence ◽  
Theoretic Approach ◽  
Main Research ◽  
The Government ◽  
High Level ◽  
The Impact ◽  
The Relationship

We adopt a multi-theoretic approach to investigate a previously unexplored phenomenon in extant literature, namely the differential impact of ownership identity and director dominate shareholding on the performance of emerging market firms. The main research question addressed is, whether the impact of this relationship is conditional on the identity of the block investor. First, the relationship between overall block ownership and firm performance is tested by employing multiple regressions on 500 firm-year observations for the period from 2007 to 2011. Then, the block ownership is classified as the state, individuals, insiders, financial institutions, corporate and foreign investors and the influence of these identities on firm performance is examined. It was found that only the ownership categories such as the government, institutions and foreign ownership have positive influence on the firm performance. The results also indicate that high level of insider ownership also negatively associated with the firm performance. The main contribution of this paper is the examination of the relationship between block ownership and firm performance from the perspective of the identity of investors

Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective

2021 ◽  
Vol 67 (4) ◽  
pp. 294-307
Author(s):  
Ewa Majerowska ◽  
Jacek Bednarz
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Stock Exchange ◽  
Rate Curve ◽  
Daily Data ◽  
Warsaw Stock Exchange ◽  
The Interest Rate ◽  
Relationship Of

The interest rate curve is often viewed as the leading indicator of economic prosperity in a broad sense. This paper studies the ability of the slope of the yield curve in the term structure of interest rates to impact the sectoral indices on the Warsaw Stock Exchange, using daily data covering the period from 1 January 2001 to 30 September 2020. The results of the research indicate an ambiguous dependence of the logarithmic rates of return of sub-indices on the change of the interbank interest rate curve. The only sectors showing a clear relationship of this type is energy and pharmaceuticals.

scholarly journals WOMEN FEEL MORE PESSIMISTIC THAN MEN: EMPIRICAL EVIDENCE FROM TURKISH CONSUMER CONFIDENCE INDEX

2010 ◽  
Vol 11 (1) ◽  
pp. 146-171 ◽  
Author(s):  
Ashi Küçükaslan ◽  
Sadullah Çelik
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Consumer Confidence ◽  
Data Set ◽  
Confidence Index ◽  
Market Variables ◽  
The Relationship

The leading role that is attributable to economic indicators like consumer confidence has been well documented in the literature for many developed nations. Moreover, the relationship between high frequency financial market data has been a common research topic for world economies. However, there is hardly any study that attempts to search for the possible functional relationship between consumer confidence and financial market variables. This paper is a simple attempt to link these two brands of literature by focusing on the relationship between financial market variables and consumer confidence index before the global crisis has started. We have two distinctive points. First, we derive separate consumer confidence indices for men and women by employing micro‐level consumer confidence data from an emerging market (Turkish CNBC‐e consumer confidence index) for the period of January 2003 ‐ January 2008. Second, employing this data set, we do not only check for the existence of a relationship between consumer confidence and financial market variables (such as interest rates, exchange rates and stock exchange index) but also focus on the possibility of gender response. We find evidence of gender response difference as throughout the period women are more pessimistic than men‐due probably to lower levels of wealth‐and respond less to changes in exchange rates than men‐due probably to lower purchasing power. Santrauka Ekonominiu rodikliu kaip pirkejo pasitikejimo vaidmens svarba yra išsamiai pagrista daugelio išsivys‐čiusiu šaliu literatūroje. Be to, ryšys tarp aukšto finansu. rinkos svyravimo duomenu yra dažna tyrimu tema daugelyje pasaulio šaliu. Tačiau vargu ar galima būtu rasti tyrimu, kuriuose būtu bandoma surasti funkcini ryši tarp pirkejo pasitikejimo ir finansu. rinku rodikliu. Šis straipsnis ‐ tai meginimas susieti šias dvi rūšis, orientuojantis i ryši tarp finansu. rinku rodikliu ir pirkejo pasitikejimo indekso prieš prasi‐dedant pasaulinei krizei. Šiame straipsnyje pabrežti du išskirtiniai bruožai. Pirma, nustatomi atskiri mo‐teru ir vyru pasitikejimo indeksai naudojantis 2003 m. sausio men. ‐ 2008 m. sausio men. laikotarpio augančiu rinku mikrolygmens pirkejo pasitikejimo duomenimis (Turku CNBC‐e pirkejo pasitikejimo indeksas). Antra, naudojantis šia informacija tikrinamas ne tik esamas ryšys tarp pirkejo pasitikejimo ir finansu. rinku rodikliu (pavyzdžiui, palūkanu normos, valiutu kurso, akciju biržos indekso). Buvo rasta akivaizdžiu skirtumu tarp atsakymu, gautu iš skirtingu lyčiu atstovu. Visa laikotarpi moterys buvo pesi‐mistiškesnes nei vyrai, tikriausiai del žemo geroves lygio. Jos mažiau reagavo i valiutu kurso pokyčius nei vyrai del mažesnes perkamosios galios.

scholarly journals ANALYSIS OF SUSTAINABLE GROWTH RATES OF COMPANIES INCLUDED IN THE MIXED HOLDING POWER UTILITY OF REPUBLIC OF SRPSKA

2021 ◽  
pp. 65-76
Author(s):  
Goran Radivojac ◽  
Aleksandra Krčmar
Keyword(s):  
Growth Rates ◽  
Stock Exchange ◽  
Financial Statements ◽  
Sustainable Growth ◽  
Power Utility ◽  
Operating Income ◽  
Holding Power ◽  
Net Profit ◽  
The Republic ◽  
Banja Luka

This paper analyzes selected data on the performance of companies that are part of the power utility Elektroprivreda Republike Srpske with the aim of determining their sustainable growth rates. The energy sector was chosen because of its importance both for the Republic of Srpska capital market (measured by the participation in the total market capitalization of the Banja Luka Stock Exchange and the basic Stock Exchange index) and the entire Republic of Srpska economy (measured by the participation in gross domestic product). The analysis considered data from published financial statements for 2019, with an emphasis on the following: operating assets, liabilities, capital, operating income and net profit. The dividend policy was also considered, but it was concluded in the paper that none of the observed companies paid dividends from profit for 2019 by the end of this analysis. The research results show that the rate of sustainable growth exceeds 1% in only one case, while in several other cases there are negative rates of sustainable growth caused by the loss in the observed period. Such facts could raise concerns, but also indicate possible directions for future actions in order to improve the performance of the considered companies.

scholarly journals PERAN DANA PIHAK KETIGA DALAM MEMEDIASI PENGARUH NET INTEREST MARGIN TERHADAP PERTUMBUHAN KREDIT PADA PERBANKAN YANG GO PUBLIC DI BURSA EFEK INDONESIA

2020 ◽  
Vol 21 (1) ◽  
pp. 51
Author(s):  
Pristin Prima Sari ◽  
Ardian Prima Putra
Keyword(s):  
Interest Rates ◽  
Stock Exchange ◽  
Bank Lending ◽  
Third Party ◽  
Bank Credit ◽  
Process Data ◽  
Credit Growth ◽  
Net Interest Margin ◽  
The Government ◽  
Interest Margin

AbstractsThe study found empirical proof the role of third party funds (DPK) mediate the influence of net interest margin (NIM) on bank credit growth listed in Indonesia Stock Exchange on 2015-2018. The study uses data from the bank�s annual financial statements. The Study covers 22 commercial banks resulting in 88 bank-year observations. Research using Smartpls 3.0 statistical tools to process data and path analysis to compute data. The results obtained are third party funds (DPK) that can positively mediate the influence of net interest margin (NIM) on credit growth. The greater DPK create the profitability of bank interest rates increases bank credit growth. Partially Net interest margin (NIM) and third party funds (DPK) can increase bank credit growth. Net interest margin (NIM) also can increase the amount of third party funds (DPK). This study is useful for bank management to make decisions on determining bank margins, obtaining third party funds (DPK) and credit, for the government for study and mapping materials related to bank lending and the amount of bank interest rates, for further research is for reference material related to factors affecting lending.Keywords : Net Interest Margin, Third Party Fund, Credit, IDX

scholarly journals Testes da Hipótese de Expectativas na Estrutura a Termo das Taxas de Juros Brasileiras

2003 ◽  
Vol 1 (1) ◽  
pp. 19
Author(s):  
Benjamin Miranda Tabak ◽  
Sandro Canesso de Andrade
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Term Structure ◽  
Risk Premium ◽  
Rational Expectations ◽  
Yield Curve ◽  
Single Equation ◽  
Expectations Hypothesis ◽  
Macro Modeling ◽  
Daily Data

We test the Expectations Hypothesis (EH) plus Rational Expectations (RE) in the Brazilian term-structure of interest rates, using maturities ranging from 1 month to 12 months, and daily data from 1995 to 2000. We rely on two methodologies based on single-equation regressions. Our results indicate a rejection of the EH plus RE, specially at the longer maturity. This may have important implications for the rational expectations macro-modeling currently being used to evaluate the conduct of monetary policy in Brazil. We also show the risk premium in the yield curve are positively related to the covered interest rate differential and to the volatility of interest rates.

Russian stock market is unlikely to repeat 2019 gains

2020 ◽  
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Exchange ◽  
Emerging Market ◽  
Oil Prices ◽  
Output Growth ◽  
Private Firm ◽  
Annual Growth ◽  
Content Type ◽  
Russian Stock Market

Subject The Russian stock market. Significance The Russian stock market offered high returns last year, as the Moscow stock exchange posted the highest annual growth of any of its emerging-market peers. The momentum carried over into January and the market reacted positively to a change in government, but the spread of the new coronavirus hit global oil prices. Impacts Low and declining Russian interest rates will encourage further investment inflows into equities. New IPO issuance will improve large firms' financial firepower. Output growth by Novatek should keep it in top position as Russia's most valuable private firm.

scholarly journals The impact of public external debt on private investment. Evidence from Zimbabwe under the multi-currency system.

2021 ◽  
Vol 8 (1) ◽  
pp. 33-47
Author(s):  
Nathan Mugumisi
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Negative Impact ◽  
External Debt ◽  
Private Investment ◽  
Developed Countries ◽  
Series Data ◽  
The Government ◽  
Export Revenue ◽  
The Impact

The levels of public debt have grown significantly in both emerging and developed countries even during times of peace. The rising levels of debt pose substantial debt sustainability issues to developing countries including Zimbabwe. A defaulting country usually has limited access to new international credit lines or tends to borrow at a higher cost, due to high perceived country risk premium, making the country a less attractive investment destination. Zimbabwe is currently suffering debt distress and has since the year 2000 struggled to service her external debt from international multilateral financial institutions. Zimbabwe’s external debt continues to pile up due to penalties on defaults. This paper examines the impact of public external debt on private investment in Zimbabwe, using quarterly time-series data for the period 2009 and 2017. The period of study was a period of relative stability when Zimbabwe operated under a multicurrency system.  Interest rates, political risk, trade openness and household consumption are control variables of this study. Using the Vector Error Correction Model (VECM), we find that external debt and external debt squared have a negative impact on private investment in the long run. Results suggest that Zimbabwe’s external debt is crowding out private investment.  In the short-term, we urge the government of Zimbabwe to apply for debt rescheduling to avoid penalties that have so far contributed to the ballooning of Zimbabwe’s external debt obligations. In the medium term, we urge the government of Zimbabwe to design comprehensive debt and arrears reduction strategies, to reduce Zimbabwe’s external debt to sustainable levels. In the long term, after regaining borrowing rights, we urge the government of Zimbabwe to invest external borrowings in productive ventures, to facilitate debt amortisation. Secondly, we recommend that external debt be invested in education, health and infrastructure, which can potentially stimulate private investment, and thus create a multiplier effect on economic growth. Lastly, we recommend the government to invest foreign loans in sectors where Zimbabwe enjoys a comparative advantage, to ensure reliable export revenue for debt servicing.

scholarly journals COMPARISON OF ALTMAN'S Z - SCORE MODEL AND ALTMAN'S Z''- SCORE MODEL ON THE SAMPLE OF COMPANIES WHOSE SHARES ARE INCLUDED IN THE REPUBLIC OF SRPSKA STOCK EXCHANGE INDEX

2021 ◽  
Vol 21 (1) ◽  
Author(s):  
Goran Radivojac ◽  
Aleksandra Krčmar ◽  
Boško Mekinjić
Keyword(s):  
Financial Distress ◽  
Stock Exchange ◽  
Emerging Market ◽  
Manufacturing Companies ◽  
Financial Health ◽  
Z Score ◽  
Insolvency Risk ◽  
Privately Held Firms ◽  
The Republic ◽  
Score Model

In this paper, we analysed companies whose shares are included in the Republic of Srpska Stock Exchange Index (BIRS), using Altman's Z-Score model and Altman's Z"-Score model, in order to determine their insolvency risk. Altman's Z-Score is a combination of five weighted financial ratios used to estimate the likelihood of financial distress, and possible bankruptcy of the observed companies. It is used widely by auditors, accountants, commercial banks, and other organizations to assess the financial health of their clients. Altman also developed revised versions of the model to assess the financial health of privately-held firms and non-manufacturing companies, as well as companies in emerging markets - Altman's Z'- Score model and Altman's Z" - Score model. The results of our research on a sample of 14 companies whose shares are included in BIRS show that, although it is an emerging market, Altman's Z-Score model gives better results that indicate much-needed caution when drawing conclusions about the observed companies.

scholarly journals Speculation, Sentiment, and Interest Rates

2021 ◽  
Author(s):  
Andrea Buraschi ◽  
Paul Whelan
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Yield Curve ◽  
Significant Risk ◽  
Test Model ◽  
Bond Markets ◽  
Bond Risk Premia ◽  
Belief Heterogeneity ◽  
Bond Risk ◽  
Risk Free Rate

We compare the implications of speculation versus hedging channels for bond markets in heterogeneous agents’ economies. Treasuries command a significant risk premium when optimistic agents speculate by leveraging their positions using bonds. Disagreement drives a wedge between marginal agent versus econometrician beliefs (sentiment). When speculative demands dominate, the interaction between belief heterogeneity and sentiment helps rationalize several puzzling characteristics of Treasury markets. Empirically, we test model predictions and find that larger disagreement (i) lowers the risk-free rate, (ii) raises the slope of the yield curve, and (iii) with positive sentiment increases bond risk premia and makes its dynamics countercyclical. This paper was accepted by Karl Diether, finance.

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