Contemporary Trends and Challenges in Finance: Proceedings from the 6th Wroclaw International Conference in Finance (Springer Proceedings in Business and Economics)

This volume presents papers from the 6th Wrocław International Conference in Finance held at Wrocław University of Economics and Business via video confer- encing on September 22–23, 2020. We have assembled a set of studies addressing a broad spectrum of recent trends and issues in finance, particularly those concerning markets and institutions in Central and Eastern European countries. In the final selection, we had accepted 15 of the papers that were presented at the conference. Each of the submissions has been reviewed by at least two anonymous referees and the authors have subsequently revised their original manuscripts and incorporated the comments and suggestions of the referees. The selection criteria focused on the contribution of the papers to the modern finance literature and the use of advanced analytical techniques. Preface 6 Contents 8 About the Editors 10 Part I: Financial Market 11 The Relationship Between Ethnic Diversity and Stock Market Development: A Global Perspective 12 1 Introduction 12 2 Theoretical Framework 14 3 Methodology 16 4 Empirical Results 19 5 Conclusion and Policy Implication 26 Appendix 1: Construction of the Fractionalization Index 27 Appendix 2: Summary Statistics 29 Appendix 3: List of Countries 30 References 31 Does Withholding Tax Reduce International Income-Shifting by FDI? 34 1 Introduction 34 2 Literature Review 35 3 Research Design 37 4 Results 40 5 Conclusions 47 References 48 The Relationship Between Trading Volume and Returns Volatility on Warsaw Stock Exchange 51 1 Introduction 51 2 Methodology 53 2.1 Conditional Variance-Volume Relation 53 2.2 Trading Volume and Price Movement Direction in Conditional Variance 54 3 Data 54 4 Results 56 5 Conclusions 61 References 62 Factors Influencing Individual Investor Participation in Stock Market 64 1 Introduction 64 2 Literature Review 66 3 Research Methodology 73 3.1 Data 74 3.2 Findings and Discussion 75 4 Conclusion 77 References 78 Model Risk of VaR and ES Using Monte Carlo: Study on Financial Institutions from Paris and Frankfurt Stock Exchanges 82 1 Introduction 82 2 Data Collection and Processing 83 3 Theory and Computational Methods 84 3.1 Value at Risk 84 3.2 Expected Shortfall 84 3.3 Monte Carlo Methods 84 3.4 Model Risk Measures 86 4 Results and Discussion 87 5 Conclusions and Perspectives 91 References 91 Tick Size Reduction and Liquidity Dimensions: Evidence from an Emerging Market 93 1 Introduction 93 2 Institutional Features of the Ho Chi Minh Stock Exchange 95 3 Data and Methodology 96 4 Empirical Results 101 4.1 Tick Size Reduction and Tightness Dimensions 101 4.2 Tick Size Reduction and Depth Dimensions 102 4.3 Tick Size Reduction and Resilience Dimensions 105 5 Conclusions 105 References 106 Cryptocurrency Portfolio Construction Using Machine Learning Models 108 1 Introduction 108 2 Related Work 109 3 Problem Formulation and Methodology 110 3.1 Problem Formulation 111 3.2 Forecasting Methods 111 3.3 Portfolio Construction Methods 114 3.4 Portfolio Performance Measures 116 4 Dataset and Results 116 4.1 Dataset 116 4.2 Results 117 5 Conclusion 126 References 126 Part II: Banking 128 Development Factors of Blockchain Technology Within Banking Sector 129 1 Introduction 129 2 Blockchain Beyond Solution to Support Cryptocurrencies 130 2.1 Genesis of Blockchain Technology and Development Path 131 2.2 Principles of Blockchain Technology 133 2.3 Advantages of Blockchain Technology Crucial for Banking Sector 134 3 Blockchain ́s Implementation Potential in Banking Industry 135 4 Methodology 137 4.1 Stages of the Research ́s Flow 138 4.2 Extraction of Impact Factors from Case Studies 138 5 Conclusion 140 References 141 Internet sources accessed by research: 142 Does Competition Matter for the Effects of Macroprudential Policy on Bank Asset Growth? 143 1 Introduction 143 2 Literature Review 145 3 Methodology and Data 150 3.1 Methodology 150 3.2 Data 153 4 Estimation Results 154 4.1 Baseline Results 154 4.2 Competition Intensity and Bank Asset Growth and Sensitivity of Asset Growth to Business Cycle in Countries Applying Macrop... 158 5 Conclusions 166 Appendix 167 References 170 Systemic Risk in Selected Countries of Western and Central Europe 173 1 Introduction 173 2 Relevant Definitions 174 3 Challenges of Quantile-Based Systemic Risk Measurement in Developing Europe 175 4 Selected Risk Measures and Estimation Methods 177 5 Empirical Results 180 5.1 Expected Shortfall of the Financial Systems 181 5.2 Long Run Marginal Expected Shortfall of the Financial Systems 181 5.3 SRISK of the Financial Systems 184 5.4 Conditional Value at Risk of the Financial Systems 185 6 Conclusions 186 Appendix 187 References 188 Part III: Corporate Finance 190 Industry and Size Effect in the Relation Between Corporate Material and Financial Decisions: Findings from the EU Countries 191 1 Introduction 191 2 Theoretical Background and Hypotheses Development 192 3 Data and Methods 193 4 Results 194 5 Conclusions 199 References 200 Technology Level and Financial Constraints of Public Listed Companies 202 1 Introduction 202 2 Literature Review 203 3 Data and Methodology 205 4 Results 208 5 Discussion and Conclusion 211 References 213 Part IV: Personal Finance 215 Differences in Use of Credit Products Between the Old and New Member States of the European Union 216 1 Introduction 216 2 Data and Research Methods 218 3 Credit Card Ownership 219 4 Taking Loans from a Bank or Other Formal Financial Institution 221 5 Discussion and Conclusions 224 References 225 Diversified Risky Financial Assets in Portfolios of Risk-Averse Households: What Determines Their Occurrence? 228 1 Introduction 228 2 Related Literature 230 3 Method and Data 232 4 Results 234 5 Conclusions 237 References 237 Financial Behavior: Preliminary Survey Results 240 1 Introduction 240 2 Literature Review 241 3 Methodology 242 4 Results 243 5 Discussion 248 6 Conclusions 249 7 Limitations 249 References 249 This volume continues to highlight the latest research contributions presented at the annual Wroclaw conference in Finance (Poland), covering a wide range of topics in the field. The chapters reflect the extent, diversity, and richness of research areas, and discuss both fundamental and applied finance. A detailed analysis of current financial-market problems including specifics of Polish and Central European markets is also part of this volume. Selected chapters also examine the results of advanced financial modeling. These proceedings are a valuable resource for researchers in universities and research and policy institutions, graduate students and practitioners in economics, finance and international economics in both private and government institutions.