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1

Spatial contagion between stock markets in Central Europe

Czapkiewicz A., Wójtowicz T.

Managerial Economics

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2017

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Vol. 18, no. 1

23--45

EN

In this paper, we investigate contagion between three European stock markets: those in Frankfurt, Vienna, and Warsaw. Two of them are developed markets, while the last is an emerging market. Additionally, the stock exchanges in Vienna and Warsaw are competing markets in the CEE region. On the basis of daily and intraday returns, we analyze and compare the dependence between the major indices of these markets during calm and turbulent periods. A comparison of the dependence in the tail and in the central part of the joint distribution of returns (via a spatial contagion measure) indicates strong contagion among the analyzed markets. Additionally, the application of a conditional contagion measure indicates the importance of taking into account the situation on other markets when contagion between two markets is considered.

2

Selected Approaches for Testing Asset Pricing Models Using Polish Stock Market Data

Czapkiewicz A., Skalna I.

Decision Making in Manufacturing and Services

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2014

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Vol. 8, no. 1-2

25--38

EN

The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity are tested.

3

The Fama-French model for the Polish market

Czapkiewicz A., Skalna I.

Ekonomia Menedżerska

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2010

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nr 7

121-129

EN

The Fama-French (FF) three-factor model has been tested for the Polish stock market using the sample that spans years 2003-2007. The model is verified using the technique of rolling betas. The results show the significant impact of factors constructed based on the fundamental values such as firm size and book-to-market ratio value (BE/ME), whereas the market beta has little or no ability in explaining the variation in stock returns. The small stocks effect and the effect of stocks with big BE/ME can be noticed.

PL

Trójczynnikowy model wyceny aktywów kapitałowych Famy i Frencza (FF) został przetestowany na rynku polskim przy użyciu danych WPGW z lat 2003-2007. Model zweryfikowano techniką rolowanych beta. Otrzymane wyniki wskazują na duży wpływ czynników skonstruowanych na podstawie danych fundamentalnych, takich jak rozmiar firm oraz wskaźnik wartości księgowej do rynkowej (BE/ME), przy równoczesnym niewielkim wpływie lub braku wpływu czynnika rynkowego na wyjaśnienie zmian stóp zwrotu. Podobnie jak na innych rynkach został zaobserwowany efekt małych spółek oraz efekt spółek z dużą wartością BE/ME.

4

Wpływ portfela rynkowego oraz opóźnienia wybranych rynkowych czynników na przekrojowe stopy zwrotu

Czapkiewicz A., Masłoń W.

Ekonomia Menedżerska

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2009

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nr 5

97-106

PL

Prezentowana praca ma na celu zbadanie wpływu portfela rynkowego oraz opóźnionych wybranych rynkowych czynników na przekrojowe stopy zwrotu. Badaniu podlega, między innymi, wpływ wskaźnika wartości księgowej do rynkowej (BV/MV) oraz stosunek zysku do ceny (E/P). Jako model ekonometryczny zastosowano model regresji przekrojowej, w którym do wyznaczenia nieznanych parametrów użyto podejścia Fama-MacBetha po przystosowaniu do realiów polskiego rynku. W przypadku gdy zmienną niezależną był estymowany z próby parametr βi - współczynnik agresywności dla i-tego portfela, do celów testowania istotności parametrów uwzględniono poprawkę J. Shankena (1992). Jako portfel rynkowy przyjęto dwa indeksy: ważony portfel WIG oraz portfel zrównoważony, tzw. indeks Fishera. Zawarte są testy modeli jednowymiarowych w przypadku różnych sposobów formowania portfeli. Badanie obejmuje okres od stycznia 2003 roku do grudnia 2007.

EN

In this paper the influence of the market portfolio and delayed some market factors on the expected stock returns were searched. The market portfolios based on Warsaw Stock Exchange “WIG” index and Fisher Index were discussed. The size, the book-to-market equity and the earning to price ratio were taking account the consideration. As the econometrical model the cross-regression sectional model was presented. The estimation of parameters in this model were constructed using the Fama–MacBeth approach and Shanken’s procedure. The data analysis includes the period from January 2003 to December 2007 year.

5

Przykłady zależności pomiędzy dochodem a wydatkami na konsumpcję w przypadku losowości zmiennej niezależnej

Czapkiewicz A.

Ekonomia Menedżerska

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2007

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nr 1

165-174

EN

In this paper we consider two methods for estimating parameters in the linear model. First approach is the classical regression model where it is assumed that independent variable is deterministic. In the second one we assume that both independent as well as dependent variables are randomly distributed values related with each other by linear relationship and we build the model used for parameters' estimation. For model evaluation we made a comparison of two approaches using data from GUS.

6

The errors-in-variable model in the optimal portfolio construction

Czapkiewicz A., Machowska M.

Decision Making in Manufacturing and Services

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2007

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Vol. 1, no. 1-2

49-57

EN

In the paper we consider a modification of Sharpe's method used in classical portfolio analysis for optimal portfolio building. The conventional theory assumes there is a linear relationship between asset's return and market portfolio return, while the influence of all the other factors is not included. We propose not to neglect them any more, but include them into a model. Since the factors in question are often hard to measure or even characterize, we treat them as a disturbances on random variables used by classical Sharpe's method. The key idea of the paper is the modification of the classical approach by application of the errors-in-variable model. We assume that both independent (market portfolio return) as well as dependent (given asset's return) variables are randomly distributed values related with each other by linear relationship and we build the model used for parameters' estimation. To verify the model, we performed an analysis based on archival data from Warsaw Stock Exchange. The results are also included.