Stock Market Development Beyond the Gfc: The Case of V4 Countries

Vychytilova, Jana

doi:10.7441/joc.2018.02.10

Cited by 15 publications

(16 citation statements)

References 16 publications

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“…Over the last few decades, global finance markets have gone through a number of financial crises, the most devastating of which include Mexican peso crisis in 1994, Asian flu in 1997, Russian crisis in 1998, Brazilian crisis in 1999, Argentinian crisis in 2001-2002, the USA financial crisis in 2007 and Greek crisis in 2009. The periods of financial contagion have evidently raised the risk of securities (Vychytilova, 2018;Mačí & Valentová Hovorková, 2017; Čulková et al, 2015;Vukovic et al, 2017) and returned the interest in gold as in alternative financial instrument since gold has historically been treated as a standard of high value. Of course, other alternative investments should be mentioned here too (Jurevičienė, & Jakanovytė, 2015;Nuhiu et al, 2017;Mouselli et al, 2016;Śliwiński & Łobza, 2017;Nawrocki, 2018).…”

Section: Introductionmentioning

confidence: 99%

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

Gasparėnienė¹,

Remeikienė²,

Sadeckas³

et al. 2018

Economics &Amp; Sociology

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During the World War I, most of the countries stopped coin production and began converting paper money into gold. Various forms of exchange were later abolished during the "Great Depression" in 1929-1933. Later, gold lost the value of money in most of the economies worldwide. Multiple price rise of gold caused a real rise in the value of gold reserves and their potential ability to cover the balance of payment deficit. At the same time, it shows that gold still plays an important role in terms of monetary aspect. The aim of this study was to determine whether ARIMA models are suitable for determining the short-term volatility of gold prices. The calculations show that ARIMA model is suitable only for short-term gold price forecasts (max. 1 year). Thus, it is necessary to apply other models (multi-regression ones) that also can reveal the relationship between gold price and its determinants.

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Section: Introductionmentioning

confidence: 99%

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

Gasparėnienė¹,

Remeikienė²,

Sadeckas³

et al. 2018

Economics &Amp; Sociology

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“…This is in line with the conclusions from the previous studies. For example, Vychytilova (2018) showed, that the Slovak stock market was uncorrelated with other markets in the V4 group almost in all years in the post-GFC period and this was explained by the low liquidity, depth, and market capitalization of the Bratislava Stock Exchange. Baumöhl (2013) makes similar arguments and points out that the Slovak stock market may be inefficient, which is related to market capitalization and the shareholder structure.…”

Section: Discussion Of Resultsmentioning

confidence: 99%

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Łęt¹

2020

FAI

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The aim of this paper is to investigate the dependence structure in the frequency domain for the joint distribution of returns from the stock markets in the countries belonging to the V4 countries. We analyze twenty-years of historical daily prices of four main stock indices from the Czech Republic, Hungary, Poland, and Slovakia. Using a quantile coherency measure we found, that linkages between Czech, Hungarian, and Polish stock markets are significantly positive for all considered quantiles and frequencies. These three markets are more strongly dependent during the long downturns and the effect is permanent after the European Union accession. The Slovak stock market is the least connected with other countries in the group. Results of the paper revealed, that Czech, Hungarian and Polish stock market is subject to similar trends in terms of returns for different investment horizons. International market participants should incorporate interdependencies between these markets during the portfolio building process.

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“…Results from a study by Barras et al (2006), in which the relatively new false discovery rate was used to assess the performance of unit trusts, may seem disquieting to ordinary investors who are convinced of the advantages of active portfolio management. Other authors scrutinized the performance of over 2,000 mutual funds and came to the conclusion that only 0.6% of these funds proved to actually defeat the market (Barras et al, 2006;Galloppo & Aliano, 2018;Vychytilova, 2018;Sosnowski, 2018). Along with these studies, others have shown similar outcomes in recent years.…”

Section: Introductionmentioning

confidence: 94%

Competitiveness of Franklin Templeton Fund Managers: Do the Fund Managers Exceed the Benchmark?

Hajduová¹,

Klimek²,

Daneshjo³

et al. 2019

JOC

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Franklin Templeton Investments is a worldwide asset management company that provides services to clients in more than 170 countries. Unlike investment funds, mutual funds do not have legal personality, therefore they are merely baskets that associate assets. High past equity returns are not a guarantee of future earnings. Individual funds are often praised for the positive results they have achieved in the past, but even experienced portfolio managers cannot guarantee future returns despite their past successes in the market. The main purpose of this paper is to compare the competitiveness of Franklin Templeton fund managers. Among the time-tested indicators and suitable markers for our research on the validation of an active mutual fund with its benchmark index, the information ratio and sharp ratio have been included in the present study. Recent studies suggest that fund managers cannot achieve better results than those set in their benchmark. Managers do not utilize a simple setup with a given portfolio, and thus their competitiveness would seem to compare unfavorably to results achieved by so-called passive investment. It can be noted that over the course of 15 years, the longest single time period that was analyzed, out of 22 equity funds, only four sets of results exceeded the benchmark. However, if regular fees are also taken into consideration to reflect more pragmatically the benefits for the investor, none of the funds analyzed in the present study failed to overcome the set benchmark during this period.

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Stock Market Development Beyond the Gfc: The Case of V4 Countries

Cited by 15 publications

References 16 publications

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Competitiveness of Franklin Templeton Fund Managers: Do the Fund Managers Exceed the Benchmark?

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