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.
Author(s): Krzysztof Jajuga, Hermann Locarek-Junge, Lucjan T. Orlowski, Karsten Staehr
Publisher: Springer
Year: 2021
Language: English
Pages: 250
Preface
Contents
About the Editors
Part I: Financial Market
The Relationship Between Ethnic Diversity and Stock Market Development: A Global Perspective
1 Introduction
2 Theoretical Framework
3 Methodology
4 Empirical Results
5 Conclusion and Policy Implication
Appendix 1: Construction of the Fractionalization Index
Appendix 2: Summary Statistics
Appendix 3: List of Countries
References
Does Withholding Tax Reduce International Income-Shifting by FDI?
1 Introduction
2 Literature Review
3 Research Design
4 Results
5 Conclusions
References
The Relationship Between Trading Volume and Returns Volatility on Warsaw Stock Exchange
1 Introduction
2 Methodology
2.1 Conditional Variance-Volume Relation
2.2 Trading Volume and Price Movement Direction in Conditional Variance
3 Data
4 Results
5 Conclusions
References
Factors Influencing Individual Investor Participation in Stock Market
1 Introduction
2 Literature Review
3 Research Methodology
3.1 Data
3.2 Findings and Discussion
4 Conclusion
References
Model Risk of VaR and ES Using Monte Carlo: Study on Financial Institutions from Paris and Frankfurt Stock Exchanges
1 Introduction
2 Data Collection and Processing
3 Theory and Computational Methods
3.1 Value at Risk
3.2 Expected Shortfall
3.3 Monte Carlo Methods
3.4 Model Risk Measures
4 Results and Discussion
5 Conclusions and Perspectives
References
Tick Size Reduction and Liquidity Dimensions: Evidence from an Emerging Market
1 Introduction
2 Institutional Features of the Ho Chi Minh Stock Exchange
3 Data and Methodology
4 Empirical Results
4.1 Tick Size Reduction and Tightness Dimensions
4.2 Tick Size Reduction and Depth Dimensions
4.3 Tick Size Reduction and Resilience Dimensions
5 Conclusions
References
Cryptocurrency Portfolio Construction Using Machine Learning Models
1 Introduction
2 Related Work
3 Problem Formulation and Methodology
3.1 Problem Formulation
3.2 Forecasting Methods
3.3 Portfolio Construction Methods
3.4 Portfolio Performance Measures
4 Dataset and Results
4.1 Dataset
4.2 Results
5 Conclusion
References
Part II: Banking
Development Factors of Blockchain Technology Within Banking Sector
1 Introduction
2 Blockchain Beyond Solution to Support Cryptocurrencies
2.1 Genesis of Blockchain Technology and Development Path
2.2 Principles of Blockchain Technology
2.3 Advantages of Blockchain Technology Crucial for Banking Sector
3 Blockchain´s Implementation Potential in Banking Industry
4 Methodology
4.1 Stages of the Research´s Flow
4.2 Extraction of Impact Factors from Case Studies
5 Conclusion
References
Internet sources accessed by research:
Does Competition Matter for the Effects of Macroprudential Policy on Bank Asset Growth?
1 Introduction
2 Literature Review
3 Methodology and Data
3.1 Methodology
3.2 Data
4 Estimation Results
4.1 Baseline Results
4.2 Competition Intensity and Bank Asset Growth and Sensitivity of Asset Growth to Business Cycle in Countries Applying Macrop...
5 Conclusions
Appendix
References
Systemic Risk in Selected Countries of Western and Central Europe
1 Introduction
2 Relevant Definitions
3 Challenges of Quantile-Based Systemic Risk Measurement in Developing Europe
4 Selected Risk Measures and Estimation Methods
5 Empirical Results
5.1 Expected Shortfall of the Financial Systems
5.2 Long Run Marginal Expected Shortfall of the Financial Systems
5.3 SRISK of the Financial Systems
5.4 Conditional Value at Risk of the Financial Systems
6 Conclusions
Appendix
References
Part III: Corporate Finance
Industry and Size Effect in the Relation Between Corporate Material and Financial Decisions: Findings from the EU Countries
1 Introduction
2 Theoretical Background and Hypotheses Development
3 Data and Methods
4 Results
5 Conclusions
References
Technology Level and Financial Constraints of Public Listed Companies
1 Introduction
2 Literature Review
3 Data and Methodology
4 Results
5 Discussion and Conclusion
References
Part IV: Personal Finance
Differences in Use of Credit Products Between the Old and New Member States of the European Union
1 Introduction
2 Data and Research Methods
3 Credit Card Ownership
4 Taking Loans from a Bank or Other Formal Financial Institution
5 Discussion and Conclusions
References
Diversified Risky Financial Assets in Portfolios of Risk-Averse Households: What Determines Their Occurrence?
1 Introduction
2 Related Literature
3 Method and Data
4 Results
5 Conclusions
References
Financial Behavior: Preliminary Survey Results
1 Introduction
2 Literature Review
3 Methodology
4 Results
5 Discussion
6 Conclusions
7 Limitations
References
