C58 - Financial EconometricsReturn

Using local projection (LP) method, we assess Credit Default Swap (CDS) changes in the Central-East European countries. Cost-risk optimization in public debt management refers on the fine-tuning the ratio of capital import and foreign currency denominated borrowing to domestic funds. Literature defines closeness centrality as an indicator which highlights the relative importance of an asset within a network, estimated by a quarterly minimum spanning tree graph. We show that CDS changes are driven not only by the foreign exchange shocks but also by foreign currency debt and funding as well as the closeness indicator which signs a network-bias. We also find evidence that relative isolation better describes the Czech sovereign debt market. Thus, this paper makes a new contribution to the debate of public debt funding strategies, while highlighting the importance of network-biases.

The aim of the paper is to estimate the determinants of bank stability in the Czech banking sector. The effect of selected bank-specific and macroeconomic variables on bank stability measured by Z-score is examined using econometric analysis. The data set consists of a sample of the Czech banks operating together with macroeconomic factors, and the period of observation is from 2001 to 2020 on an annual basis. Using generalized method of moments, it was found that the determinants that affect the banking stability include the ratio of classified loans to total loans of the bank, capitalization and inflation rate.

The stock prices of companies are influenced by many variables; two basic categories are macroeconomic and microeconomic factors. The objective of this paper is to analyze the existence of a relationship between select microeconomic variables and the stock returns of financial sector companies listed on the Vienna Stock Exchange. The institutions that were chosen are Immofinanz AG, Raiffeisen Bank International AG, Erste Group Bank AG, Uniqa Insurance Group AG and Vienna Insurance Group AG. The focus is on Austria due to the lack of empirical literature on problematics of linkages between stock prices and microeconomic factors. A possibility of the existence of the cointegration relationships can be a useful for share traders and investors who want to make higher profits. A time series with semi-annual frequency are used to examine the occurrence of long-term and short-term cointegration links using the Johansen and the Granger tests. Further the analysis of the Generalized method of moments. The empirical estimates are calculated for the 2005 - 2015 period, which includes the global financial crisis. According to the theory it is expected positive relationship between selected microeconomic variables and the stock returns.

Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of credit risk, the investors and other market participants are interested in factors that can affect credit default swap spread. The aim of this paper is to examine the influence of selected determinants of contracts included in iTraxx Europe Senior Financials index on credit default swap spreads using monthly changes. To capture the changing role of the selected determinants, a panel regression is employed in the crisis and the post-crisis periods. The results confirm the findings of previous research and show that the theoretical relationships hold in cases when observed determinants are statistically significant. Furthermore we proved that the determinants are dependent on the prevailing market circumstances.

The paper is devoted to questions of economic evaluation of website running. Suitable bases for rational examination of actual state and possible development are essential for decision making within further development. Possibilities of quantification of contributions and expenses resulting from web running are discussed. Hereat contributions assessment is fundamental, especially with consideration of non-transaction profits. Majority of methods are namely limited to assessment of contributions resulting from realized transactions (executed sales typically). Aspect of expenses is also briefly mentioned at the close.

This article explores CAPM equilibrium model with the objective to formulate and test hypotheses that should equilibrium model of capital asset pricing holds whether one believes in this model. We examined whether the strategies with respect to risk (Beta) over long period produce returns consistent with modern capital theory, as well as of CAPM model. Therefore we formulated an hypotheses whether higher risk, expressed by Beta, should be associated with a higher level of return and whether the return is linearly related to market portfolio through Beta coefficient significantly. To test this hypothesis on empirical data we used two tests of CAPM model, test of Sharpe and Cooper and test of Black, Jensen, and Scholes.