Contemporary Trends and Challenges in Finance: Proceedings from the 5th Wroclaw International Conference in Finance (Springer Proceedings in Business and Economics)

This volume features a selection of contributions presented at the 2019 Wroclaw Conference in Finance, covering a wide range of topics in finance and financial economics, e.g. financial markets; monetary policy; corporate, personal and public finance; and risk management and insurance. Reflecting the diversity and richness of research in the field, the papers discuss both fundamental and applied finance, and offer a detailed analysis of current financial-market problems, including specifics of the Polish and Central European markets. They also examine the results of advanced financial modeling. Accordingly, the proceedings offer a valuable resource for researchers at universities and policy institutions, as well as graduate students and practitioners in economics and finance at both private and government organizations. Preface 6 Contents 8 About the Editors 10 Financial Markets 11 The Rhythm of the Night: Some Anomalies in Open and Close Prices of Polish and German Blue-Chip Stocks 12 1 Introduction 12 2 Methods 13 2.1 Simple Returns and Log Returns 13 2.2 OHLC Records and Day- and Night-Returns 15 2.3 Volatility Estimates 16 2.4 Bid-Ask Spreads 18 2.5 Data 20 2.6 Portfolio Construction 21 3 Results 21 4 Conclusions 24 Appendix 25 References 28 The Effect of the Day and the Risk Diversification on the WSE 30 1 Introduction 30 2 The Models of Well-Diversified Portfolios 31 3 The Effect of the Day and the Risk Diversification in 2010–2018 on the WSE 33 4 Summary 37 References 37 Volatility and Liquidity in Cryptocurrency Markets—The Causality Approach 39 1 Introduction 39 2 Methods 41 3 Data Source and Sample Preparation 43 4 Empirical Results 43 5 Conclusion and Discussion 46 Appendix 48 References 50 Identification of the Factors Affecting the Return Rates of the Banks Listed on the Warsaw Stock Exchange 52 1 Introduction 52 2 Theoretical Framework 53 3 Data and Methodology 55 4 Results 57 5 Conclusions 60 References 60 Conventional and Downside Betas and Higher Co-moments in the Asset Pricing Relations 62 1 Introduction 62 2 Methodology 64 2.1 Risk Measures 64 2.2 Modifications of CAPM. Unconditional Relationships in Conventional and Downside Approaches 65 2.3 Modifications of CAPM. Relationships in Different Market Conditions 67 3 Data 67 4 Results 68 5 Conclusions 70 References 70 The Accuracy of Trade Classification Rules for the Selected CEE Stock Exchanges 72 1 Introduction 72 2 Literature Review 74 3 Data 75 4 Empirical Results 76 5 Conclusions 81 References 81 Profitability Ratios in Risk Analysis 83 1 Introduction 83 2 Downside Beats, Downside Accounting Betas and Semi-variance 84 3 Data 87 4 Empirical Results 88 5 Conclusions 92 References 93 Impact of Commodity Market Risk on Listed Companies 95 1 Introduction 96 2 The Scope of Research and Research Methods 98 3 The Results of the Warsaw Stock Exchange Study 99 4 The Results of the Italian Stock Exchange-Borsa Italiana Study 101 5 Conclusion 103 References 103 Corporate Finance 105 The Double Relationship Between Risk Management and CSR in the Italian Healthcare Sector: The Case of the Lombard “Health Protection Agencies” (ATS) 106 1 Introduction 106 2 Risk, Risk Management and the Healthcare Sector 108 3 CSR and RM: Is There a Link? 109 4 Results and Discussion 110 5 Conclusions 113 References 114 Are Corporate Financing Policies Different in Old and New EU Member States? 117 1 Introduction 117 2 Literature Review 118 3 Data and Methodology 119 4 Results 121 5 Conclusions 124 References 126 Board Characteristics and Performance of East Africa Companies 128 1 Introduction 128 2 Literature Review 131 2.1 Board Size 131 2.2 The Proportion of Independent Directors 132 2.3 Separation of Chairman and CEO Positions 133 2.4 Proportion of Women 134 2.5 The Proportion of Foreign Board Members 136 3 Methodology 137 3.1 Data 137 3.2 Methodology 137 4 Findings and Discussions 138 4.1 Descriptive Statistics 138 4.2 Discussion 142 5 Conclusion 143 References 143 Quantitative Methods in Finance 150 Different Approaches to the Reference Yield Curve Construction—And Their Application into Fund Transfer Pricing Mechanism 151 1 Introduction 151 2 An Impact of a Yield Curve Construction on FTP Process 152 2.1 Parsimonious Models 153 2.2 Smith-Wilson Model 154 3 Data and Results 155 3.1 Parametric Model 155 3.2 Smith-Wilson Model 156 4 Summary 158 References 159 Geometric Distribution as Means of Increasing Power in Backtesting VaR 160 1 Introduction 160 2 Geometric Distribution Based Methods of Testing VaR 162 3 Finite Sample Properties 164 4 Summary and Conclusion 167 References 167 Price Clustering in Stocks from the WIG 20 Index 169 1 Introduction 169 2 Data and Methodology 170 3 Empirical Results 172 4 Conclusion 176 References 176 Construction of Investment Strategies for WIG20, DAX and Stoxx600 with Random Forest Algorithm 178 1 Introduction 178 2 Investment Strategy and Random Forest 179 3 Data Preparation 180 4 Training the Algorithm 181 5 Results and Conclusions 183 Appendix 185 References 186 Application of the SAW Method in Credit Risk Assessment 188 1 Introduction 188 2 Credit Risk Assessment Methods—Overview 189 3 Oriented Fuzzy Numbers—Basic Facts 191 4 Linguistic Approach—Order Scales 194 5 Simple Additive Weighting Method—Overview 196 6 Numerical Example—Case Study 198 7 Conclusions 201 References 202 Financial Institutions 205 Cost-Management Strategies Applied by Insurance Companies in Poland in the Years 2016–2018; Empirical Research 206 1 Introduction 206 2 Cost Strategies Implementable by Insurance Companies 207 3 Research Findings Concerning Cost Strategies Applied in Insurance Companies Poland in the 2016–2018 209 4 Summary and Conclusions 214 References 215 Dividends of Life Insurance Companies and the Solvency Capital Requirements 217 1 Introduction 217 2 Dividends Payments of Life Insurers 218 3 Research Design 219 4 Conclusions 225 References 226 Fragility or Contagion? Properties of Systemic Risk in the Selected Countries of Central and East-Central Europe 227 1 Introduction 227 2 Financial System and Systemic Risk—Definitions 229 3 Selected Risk Measures and the Estimation Methods 229 3.1 Fragility Measure—SRISK 230 3.2 Risk Spill Over Measure—Delta CoVaR 230 3.3 Estimation 231 4 Empirical Results and Short Discussion 232 5 Conclusions 242 Appendix: Descriptive Statistics 243 References 245