Sampling methods for investment portfolio formulation procedure at increased market volatility

Aim/purpose–In this paper, a market volatility-robust portfolio composition frame-work under the modified Markowitz’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of financial in-struments formulation procedure at an increased market volatility.Design/methodology/approach–In order to overcome the risk of not receiving an optimal solution to the portfolio optimization (suboptimal outcomes of attribution of weights in allocation procedures) the developed model, first, implements the rationale that financial markets largely feature two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress (crisis; high market volatility) periods and, second, relies on many input samples of rates of return, either from an empirical distribution or a theoretical distribution (mitigating estimation risk). All computational results are reported for publicly available historical daily data sets on selected Polish blue-chip securities. Findings–Not only did the presented method produce more diversified allocation, but also successfully minimized the unfavorable effects of increased market volatility by providing less risky portfolios in comparison to Newton’s method, typically used for optimization under portfolio theory.Research implications/limitations–The research emphasized that in order to get a more diversified investment portfolio it is crucial to outdo the limitations of a single sample approach (utilized in Markowitz’s model) which may on some occasions be statistically biased. Thus it was proved that sampling methods allow to obtain a less concentrated and volatile allocation which contributes the investment decision-making. However, the current research focused solely on publicly available input data of particular securities. In this manner, an additional analysis can be prepared for other jurisdic-tions and asset classes. There can also be considered a use of other than variance risk measures.Originality/value/contribution–The suggested framework contributes to existing methods a wide array of quantitative data analysis and simulation tools for composing an unique approach that directly addresses the task of minimizing the adverse implications of increased market volatility that, in consequence, pertains to knowledgeable attributing of investment portfolio proportions of either individual or institutional investors. The prepared method is also proved to hold demanded computational quality and, important-ly, the capacity for further development. Keywords: investment decisions, optimization techniques, portfolio selection, statistical simulation methods. JEL Classification: C150, C610, G110

Nominal exchange rates EUR/GRD and EUR/ITL in the context of leaving the euro zone by Greece and Italy

Aim/purpose – The aim of this paper is to present two cases of crises in Greece and Italy and to evaluate the shadow exchange rates of hypothetical new currencies (re)introduced after Grexit and Italexit. Design/methodology/approach – Both shadow exchange rates are estimated using speculative pressure index concept that emphasizes the importance of changes in foreign exchange reserves and interest rate differentials in the absence of an independent nomi- nal exchange rate. The research sample covers Greece in 1989-2020 and Italy in 1989- 2020. Findings – The research presented the estimation of shadow exchange rates EUR/GRD and EUR/ITL during the euro zone membership period. Leaving the euro area one can expect the following market rates: EUR/GRD 600 and EUR/ITL 1850. That would mean 75% depreciation and 5% appreciation to the current euro parities EUR/GRD 340.75, and EUR/ITL 1936.27, respectively. Research implications/limitations – After potential Grexit Greek authorities could expect significant nominal depreciation of a new currency (or should introduce it with a substantial discount). In the case of Italexit, the new currency would preserve its nomi- nal value. The limitations of the research methodology are: a long period of the analysis covers structural changes of financial markets, crisis events, political factors (e.g., QE programs). Originality/value/contribution – The originality of this approach lies in the combina- tion of two important economic concepts – the idea of shadow exchange rate and the index of speculative pressure. Combined together they help to prepare the methodology of shadow exchange rates evaluation for currencies that are currently in the common currency system (e.g., currency union). These results can help in economic and political discussions on effects of leaving the currency union. Keywords: nominal exchange rates, euro area, financial crises. JEL Classification: F21, F31, F37, F38, G15

Simulation experiments of supply chain in a period of small and big disasters

Aim/purpose – The aim of this paper is to present a strategy that allows companies to recover from disasters, when creating a supply chain. Furthermore, it also shows the impact on the company’s resources that are used in the implementation of the strategy in case of small and big disasters. Thanks to the proposed solution, it is possible to analyze each company individually, as well as in groups, at any given time. Design/methodology/approach – The results were obtained based on a numerical anal- ysis which was performed with the use of MATLAB software. The tests were carried out separately for five companies, as each of them may expect a disaster on any different day. However, the selection of the day when crises occur is carried out in accordance with the probability determined by scientific research. Findings – The research showed that companies using their resources can continue to fulfill their functions as a link in the Supply Chain despite the fact that they react differ- ently to small disasters compared to big ones. This difference occurs since small disas- ters in contrast to big ones appear in every company much more often. Consequently, it is more difficult for companies to build their wealth in the case of small disasters. The advantage of the proposed approach is that one can freely test which strategy can cause the least losses for the company as well as for the entire supply chain. Research implications/limitations – The analysis carried out shows that companies wishing to develop in conditions of unexpected disasters, that cannot be predicted, should regularly increase their assets because they are needed to implement a strategy that allows them to maintain an appropriate operational level. This approach provides tools that enable the selection of strategies with variable parameters, freely determined during the scientific research. Originality/value/contribution – The paper presents a graphical analysis of the change in the value of resources of a supply chain company over one year period. Such an anal- ysis may be useful for any company that creates a supply chain during the COVID-19 crisis period, which is an unpredictable disaster. The adoption of a Gaussian Pseudo Random Number Generator turned out to be useful as it creates crises days while simula- tion studies allow us to generate experiments for different data configurations. This pa- per provides an analysis of small and large disasters separately, which is an approach not presented in the literature. Keywords: supply chain, disaster, strategy, threats, simulations. JEL Classification: M21, D81, D84, C44

Servitization in the food behaviors of Polish consumers

Aim/purpose – The main purpose of this research is to identify and characterize the phenomenon of servitization in the food behaviors of Polish consumers and the factors shaping it. Design/methodology/approach – The empirical research was conducted on a sample of 660 respondents in the entire territory of Poland in 2018. The measurement tool in the primary research was a questionnaire. The collected data were analyzed using the multi- ple regression model, Cronbach’s alpha coefficient, descriptive statistics, Student’s t-test. Findings – The results of the research confirm that the phenomenon of servitization is poorly visible in Polish consumers’ food behaviors; however, it can be concluded that this trend is becoming increasingly more visible from year to year. It has been shown that servitization of food behaviors is particularly visible among young and well- -educated men who assess their income situation as good or very good and live in urban- ized areas. Research implications/limitations – The research shows that the demand for catering services is growing and reveals who uses restaurants most often, which can be used by companies in this industry. The research is limited by the non-exhaustive character of the study, the questionnaire method, and household budget surveys as research tools, which are not without flaws, as well as time limitations. Originality/value/contribution – The results suggest a number of points. First, the gradual convergence of Polish people’ eating patterns with those of Western Europe in the use of catering services is shown. Second, the findings provide evidence of signifi- cant economic and socio-demographic differences regarding the use of food services among individuals. Third, they show the most important factors that shape the manifesta- tion of servitization in consumers’ food behaviors, which are income, gender, education, age, and location. Keywords: servitization; food behavior; food-away-from home; out-of-home eating; home-delivered meals; catering companies. JEL Classification: D12, D10, L83, M00.

The impact of the IFRS 15 implementation on the revenue based earnings management in Poland

Aim/purpose – This paper aims at investigating whether the International Financial Reporting Standard (IFRS) 15 Revenue from Contracts with Customers implementation in Poland has affected earnings management that uses discretion in revenue recognition to avoid losses and earnings decreases. Design/methodology/approach – The empirical studies were conducted using a sample of 80 entities from four industries listed on the Warsaw Stock Exchange (WSE) in Poland from 2016 to 2019. Caylor’s (2010) revenue-based model was applied, and an econometric model describing the studied relation was built and verified to this end. Findings – The analyzed entities managed earnings using discretion in accrued revenue recognition to avoid reporting losses. The research results did not confirm that the IFRS 15 adoption in Poland influenced revenue-based earnings management aimed at avoiding losses and earnings decreases. Research implications/limitations – This study warns of the role played by discretion in revenue recognition and recommends careful recognition of revenue under IFRS 15. Limitations of this study are generally related to the models’ specification and a relatively small number of the entities studied. Originality/value/contribution – This study contributes to the literature on revenue- -based earnings management and is one of the first studies on the association between IFRS 15 adoption and revenue-based earnings management in Poland. Thus, this study bridges the research gap in Poland. Keywords: IFRS 15, earnings management, revenue recognition, earnings benchmarks. JEL Classification: M40, M41, M48.

Going green in logistics: The case of small and medium-sized enterprises in Poland

Aim/purpose–The aim of the paper is to identify the features of ‘green’ small and medium-sized enterprises operating in Poland.Design/methodology/approach –The paper is based on a quantitative approach and a group of 200 small and medium-sized enterprises operating in Poland were examined. The classification tree method was used to analyze the data gathered.Findings–The ‘green’ small and medium-sized enterprises operating in Poland were characterized and their important features were identified, e.g., belonging to the TFL (Transport Forwarding Logistics) sector and a direct relationship with the supply chain leader. In the case of enterprises from the TFL sector, their area of activity is a natural environment for the development of ‘green logistics’ practices.In turn, the supply chain leader usually pushes for specific solutions aimed at achieving the assumed goals, in-cluding environmental goals.Research implications/limitations–The research results enable the identification pro-cess of small and medium-sized enterprises interested in implementing the ‘green logis-tics’ concept and, consequently, their support. Nevertheless, small and medium-sized enterprises operating in Poland were the only examined, thus the research findings can-not be generalized for other countries. However, the paper could be a starting point for comparative analyses on an international scale.Originality/value/contribution–The development of ‘green logistics’ among small and medium-sized enterprises in Poland is still not recognized by researchers. The paper is a valuable addition to this research gap Keywords:green logistics, SME, classification tree. JEL Classification:L21, M20, Q50

Contribution of VAT to economic growth: A dynamic CGE analysis

Aim/purpose–This study sought to assess the impact of an increased historical fixed VAT rate of 14% to the current rate of 15% on the South African economy. Design/methodology/approach–The method applied in this study was based on a Dynamic Computable General Equilibrium (CGE) model to evaluate the impact of both the VAT rate of 14% and a new rate of 15% on the South African economy. The CGE model has been proven over the years to be a suitable model when evaluating the impact assessment of any shock within an economy. Enhancements were made by the researcher to the direct and indirect tax section of the model, i.e., the direct tax section was disaggregated, such that for both firm and household revenues, a dividend income stream is separated from other income streams. The main reason is to facilitate a detailed analysis of Corporate Income Tax (CIT) and Personal Income Tax (PIT), as well as the latest implemented Dividend Tax (DT).Findings–When VAT was increased from 14% to 15%, the immediate reaction of the shock from the Dynamic CGE model indicates that the Gross Domestic Product (GDP) declined by 0.0002% in 2018, but increased by 0.0028% in the following year (2019). The trend continued until 2021, hence the 1% increase in the VAT tax rate will increase the expected forecast of VAT collection by approximately R3.2 billion on average. Research implications/limitations–The findings of this study will be implemented by the South African government, which will use a dynamic CGE model to assess South Africa’s VAT contribution to the economy. The database of the CGE model was limited to the Social Accounting Matrix (SAM) for 2015. Originality/value/contribution–The study recommends the use of this method for assessing the impact of tax policy changes to the South African economy. The CGE model seems to be the best model as far as the impact assessment of a shock in the econ-omy is concerned. This will assist the South African authorities with their decision mak-ing regarding future VAT revenue. Keywords: South African Revenue Service (SARS), Value Added tax (VAT), Dynamic computable general equilibrium (CGE) model.JEL Classification:H21, C68, E62.

Competence measurement of production enterprises in product innovations for technological and marketing strategies

Aim/purpose – This paper attempts to arrange and present the methods of measuring the competences of production enterprises in the field of product innovations.Design/methodology/approach– The method used in this paper is a literature review, in the area of new product development management. The author assumes that the re-view and conceptual nature of this research is dominant.Findings– The obtained results indicate the importance of measurement in product innovation competencies and provide various metrics in this field. The author proposes new indicators to measure competencies in this area, i.e., the intensity of competition on new products market. Research implications/limitations– The results provide a basis for improving efforts of production enterprises in the field of product innovations. The limitations of the study include a complex character of considered theoretical constructs. Sets of measures must be adapted to the information needs of a specific enterprise.Originality/value/contribution– The values of these indicators reflect the directions of industrial enterprises’ conduct in the process of developing new products and technolo-gies. Moreover, these indicators show the strength of linking technology with the effec-tiveness of new product development, and consequently with the enterprise marketing, economic and financial efficiency. The contribution of research to the development of management sciences primarily includes the formulation of a set of indicators whose level determines product innovation competencies in industrial companies. Keywords: competence measurement, product innovation, production enterprise, new product, technical and marketing strategy.JEL Classification: O31, O32, M21

Strategic analysis for Poland as a European hub for Belt and Road Initiative

Aim/purpose–This paper aims at determining the role of Poland in the Belt and Road Initiative (BRI) and identifying an alternative course of the trail. However, there arestill many variables that can significantly affect the extent of Poland’s participation in BRI.Design/methodology/approach–The paper was based on a literature query and inter-views with six experts of the Polish logistics environment closely connected to the con-cept of the New Silk Road. The interviews and the literature analysis allowed of the authors to define potential scenarios for the course of the New Silk Road. In addition, the SWOT analysis was used to identify the Poland’s role in BRI.Findings–The most important factors that can significantly contribute to Poland’s par-ticipation in BRI are a very convenient geographical location and a strong logistics sec-tor, whereas the main negative factors are the ambivalent attitude of the Polish authori-ties towards the Chinese party and the underdeveloped modern railway infrastructure. The study identified some potential scenarios for the route of the New Silk Road, i.e., Poland as a European hub, transit only, southern road and northern road (ro-ro neigh-bors). The first scenario is the most favorable for Poland –Poland as a European hub. This is due to the current course of the New Silk Road and the location of Poland on the most economically effective transport corridor. Research implications/limitations–The research findings allow for a relatively precise definition of possible scenarios of the BRI Northern Corridor through areas directly related to Poland. The results may contribute to raising knowledge and awareness about BRI, which may provide insights into an academic and social debate on this topic. The upshot is that the results may entail actual activities contributing to increasing the chances of Poland for being a European hub gate for BRI. Originality/value/contribution–Previous publications explored various route alterna-tives of the entire New Silk Road, whereas there was no analysis of the last stage of the transport corridor on which Poland lies. The paper is a response to this research gap.Keywords: Belt and Road Initiative, New Silk Road, Northern Corridor, logistics, inter-national trade.JEL Classification: E27, E61, F15

Regional trade integration in Central and Eastern Europe: State of play after 15 years of EU membership

Aim/purpose–The purpose of this paper is to analyze regional trade integration of 10 Central and Eastern Europe countries (CEE-10) during the 2004-2018 period, identify regional-and country-level integration patterns and attribute them to potential causes indicated by the literature.Design/methodology/approach–The paper employed literature-based trade integration indicators to data on CEE-10 trade in goods and conducted a review of empirical studies investigating trade integration determinants in CEE.Findings–The results evidence an advancing regional trade integration with decreasing pace in recent years. The study has found all CEE countries to be more integrated with the region. Moreover, several integration patterns have been distinguished.Research implications/limitations–The study found a significant literature gap con-cerning CEE regional trade integration and its determinants. Its limitations refer to: lack of product-groups-level trade data and narrow scope of trade flows (in goods only).Originality/value/contribution–The paper’s value-added stems from a multi-perspectiveanalysis of the CEEregional trade integration and a discussion of region-and country--level integration patterns.Keywords: Central and Eastern Europe, regional trade integration, trade integration, global value chains, economic integration.JEL Classification:F14, F15,F60.