Ekonomická revue. 2019, roč. 22

Permanent URI for this collectionhttp://hdl.handle.net/10084/134882

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Now showing 1 - 6 out of 6 results

Influence of macroeconomic variables on stock markets: The cases of China and India
(Vysoká škola báňská - Technická univerzita Ostrava, 2019) Branžovský, Jiří; Novotný, Josef
The topic of this study was the relationships between macroeconomic variables and stock markets in the two largest developing countries. The aim was to identify any potential short-term and long-term influence of economic indi- cators on stock indices’ returns. The authors attempted to capture the effects on the quarterly stock price indices’ returns from Q1 2003 to Q3 2018 of the following macroeconomic variables: the interest discount rates, monetary aggregate, unemployment rate, GDP, manufacturing index, CPI and debt. China and India, which are rarely cited but no less interesting regions, were selected. The vector error correction model (VECM) was chosen to identify any long-term cointegration among the variables. The vector autoregressive (VAR) stochastic model was processed for any short-term relationship. To summarise, for both the Chinese and the Indian market, long-term cointegration was concluded. The short-term parts of the VEC models had more or less comparable results to the VAR models – particularly the GDP, indebtedness and monetary aggregates generally have a positive impact on the stock markets, whilst inflation in China makes stock markets more volatile. Unlike the developed markets studied in earlier authors’ papers, both the models confirmed the possibility of predicting the stock market in India and China using the above- mentioned regressors.
Assessment of the Factors Affecting Corporate Income Tax in Selected Sectors in the Czech Republic
(Vysoká škola báňská - Technická univerzita Ostrava, 2019) Lisztwanová, Karolína; Ratmanová, Iveta
The taxation of corporations influences their decisions and has an impact on their profits. This fact is a reason to gain a better understanding of individual aspects of corporate income tax. The determination of the final tax liability is a process that works with a few variables, such as the tax base, tax deductions, tax rate, and tax relief. Details of corporate income tax can be described via their changes. The role and impact of individual variables can be ex- plained through the pyramidal decomposition of the total tax liability with determining relationships among indi- vidual indicators of the decomposition. With regard to the details of the total tax liability calculation, additive and multiplicative relationships can be identified among individual variables. The paper concentrates on the above- mentioned facts and uses data from selected sectors in the Czech Republic during a specific period to establish the importance of these individual variables. With real data and calculations of individual variables, the adjusted tax base is identified as the indicator with the largest impact on the total tax liability in all the studied sectors. Con- versely, research and development activities, as a kind of tax deduction, are identified as having the smallest impact.
Modelling of Rating Downgrades Based on Multiple Failure-Time Data
(Vysoká škola báňská - Technická univerzita Ostrava, 2019) Novotná, Martina
This article aims to develop rating models based on survival analysis methods. The focus is on the use of the Cox proportional hazards model to analyse the time to an event defined as a rating downgrade and to examine the effect of selected financial variables on the rating. Two different approaches are used to estimate the models depending on whether we are considering one or multiple events for a subject. The results show that the probability of a rating downgrade is affected by annual changes in financial variables. Furthermore, the application indicates that the study of multiple failure-time data leads to a more suitable model based on the statistical significance of the estimated coefficients and the goodness of fit. Overall, the main findings suggest that it is more appropriate to use multiple failure-time analysis, which corresponds better to a given problem and allows the use of all the available data, for modelling rating downgrades.
Company valuation under interaction in discrete time (real game options model)
(Vysoká škola báňská - Technická univerzita Ostrava, 2019) Dluhošová, Dana; Zmeškal, Zdeněk
Company valuation is a crucial topic in financial decision making. The advanced valuation method is the real options approach realised under risk and flexibility. It reflects a stochastic feature of the underlying asset and dynamic managerial decision making. Another aspect of valuation, which is often neglected, is interaction, meaning the mu- tual impact of other companies on the calculated value. Game theory models this aspect. The paper’s objective is to describe and apply company two-phase real game options valuation in discrete time. A generalised real game op- tions valuation model based on the two-phase method, discrete time, risk-neutral probability, and switching cost is formulated. The game categorisation is introduced, especially market structure games, including equilibrium calcu- lations following pure and mixed strategies, and the real game options model is formulated. A company two-phase valuation method in the Cournot production duopoly market structure under random demand is developed, and an illustrative example is presented. The paper confirms the possibility of modelling company two-phase value through real game options valuation models. Neglecting an interaction under a non-perfect market structure can undervalue a company, so this aspect is essential.
Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric Methods
(Vysoká škola báňská - Technická univerzita Ostrava, 2019) Fičura, Milan; Witzany, Jiří
Non-parametric approach to financial time series jump estimation, using the L-Estimator, is compared with the parametric approach utilizing Stochastic-Volatility-Jump-Diffusion (SVJD) models, estimated with Markov-Chain Monte-Carlo (MCMC) and Particle Filters. The comparison is performed on simulated time series with different kinds of dynamics, including Poisson jumps, self-exciting Hawkes jumps and co-jumps. Additional comparison is performed on the real-world daily time series of 4 major currency exchange rates. The results from the simulation study show that in the in-sample period, the parametric approach, using SVJD models, significantly outperforms the non-parametric L-Estimator based approach. In the out-sample period, the parametric approach achieves similar accuracy as the non-parametric approach in the case of Poisson jumps that are large, and it outperforms the non- parametric approach in the case of Hawkes jumps that are large. The L-Estimator provides better results in the cases when the simulated jumps are small, regardless of the dynamics of the jump process. Application of the methods to real-world foreign exchange rate time series further shows that the parametric jump estimates may be biased in the case when overly large jumps occur or when the stochastic volatility grows too high.
Contagion in Crude Oil Futures Market and 3Y, 4Y and 5Y CDS Markets for the Post- Global Financial Crisis Period: A Multivariate GARCH-cDCC Approach
(Vysoká škola báňská - Technická univerzita Ostrava, 2019) Tsiaras, Konstantinos
This paper seeks to investigate the time-varying conditional correlations to the crude oil futures contract returns and the private Credit Default Swap market returns of Germany and France. We employ a dynamic conditional correla- tion (DCC) Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model to find potential conta- gion effects between the markets. The time under investigation is the 2011±2018 period. We focus on the CDSs of the biggest banks in Germany and France, namel\: Sociptp Gpnprale and Deutsche Bank AG, using 3-, 4- and 5- year maturity CDSs. Empirical results show an increase in conditional correlation or contagion for the following pairs of markets: Sociptp Gpnprale CDS 3Y-Crude oil futures; Sociptp Gpnprale CDS 4Y-Crude oil futures; and Sociptp Gpnprale CDS 5Y-Crude oil futures for two periods (10/2014±12/2014 and 04/2017±11/2017). The results are of interest to policymakers who provide regulations for the CDS markets

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