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Volume 14 (2018): Edition 2 (June 2018)

Volume 14 (2018): Edition 1 (March 2018)

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Volume 13 (2017): Edition 2 (December 2017)

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Détails du magazine
Format
Magazine
eISSN
2719-3454
Première publication
30 Mar 2015
Période de publication
4 fois par an
Langues
Anglais

Chercher

Volume 14 (2018): Edition 2 (June 2018)

Détails du magazine
Format
Magazine
eISSN
2719-3454
Première publication
30 Mar 2015
Période de publication
4 fois par an
Langues
Anglais

Chercher

8 Articles
Accès libre

Determinants of Investment Decisions on the Capital Market

Publié en ligne: 14 Feb 2019
Pages: 1 - 8

Résumé

Abstract

The article deals with the psychological determinants of investment decisions made by an individual investor on the capital market. The purpose of this article is to try to assess the relationship between capital involvement and selected personality traits and how individuals perceive investments in securities of different nominal unit price. The author attempts to verify whether specific price thresholds affect respondents in a similar way as prices of goods and services to customers, in the context of capital investment. The results of the nationwide survey of 564 individual investors are based on analyses using the model of the willingness to invest in shares with a specific nominal value compared to the individual characteristics of the respondents. The results of the study indicate a significant relationship between personality traits and the tendency to choose stocks with relatively low or very high denomination (current transaction price).

Mots clés

  • Behavioral finance
  • investment
  • capital market
  • investment psychology
  • denomination effect

JEL Classification

  • G11
  • G14
  • G41
Accès libre

Influence of State Participation on Business Conditions and Entrepreneurship in the EU Countries of the Former Eastern Bloc

Publié en ligne: 14 Feb 2019
Pages: 9 - 17

Résumé

Abstract

The purpose of this paper is to show the extent to which state interference in the economy affects the conditions of functioning for small and medium-sized enterprises in economies of the former eastern bloc which have already gone through the EU accession process. The data on SMEs’ situation were taken from the Fact Sheets of the EU program Small Business Act. Due to the fact that the variables proposed to describe the business environment differ significantly it was necessary to standardize them. The zero unitarization method was applied to rank countries properly. Special attention in this paper is devoted to Poland and the situation of businesses operating in this country. The research has identified some areas requiring urgent changes. It is crucial to improve the situation so that companies can play a proper role in the economy. A country which could be an example of good solutions that support business development is also described.

Mots clés

  • SMEs
  • Small Business Act
  • formemr Eastern Bloc

JEL Classification

  • L26
  • O57
  • P20
Accès libre

Analysis of Spatial Homogeneity of Integrity Standards in Selected EU OECD Countries

Publié en ligne: 14 Feb 2019
Pages: 18 - 33

Résumé

Abstract

The principle of transparency not only is changing but its importance is increasing. International organizations, including the OECD, are seeking to develop harmonized standards of transparency in public administration. This fact is of particular importance in the search for common solutions for the OECD countries in the implementation of transparency standards, but also this organisation has sought adequate methods for measuring implementation of these standards. The main purpose of the study is to analyze the level of spatial homogeneity in the area of application of the standards of “integrity” of the OECD, which are an expression of the principle of transparency in the member states of this organization, on the European continent. In the study vector calculus was used.

Mots clés

  • public finances
  • the principle of transparency
  • “integrity”
  • spatial homogeneity

JEL Classification

  • H39
  • H87
  • C61
Accès libre

Regulations and Technology Behind HFT Latency, Batch Auctions and Payments for Order Flow in the US and EU

Publié en ligne: 14 Feb 2019
Pages: 34 - 46

Résumé

Abstract

Since the appearance of high-frequency trading in the 1990s, speed has become one of the key issues in trading and with it, the controversy around High-Frequency Trading. In recent years, there have been many discussions and analyses of how high-frequency trading may affect the financial market – but still without any clear conclusions. Leaving these opinions behind, many adjustments have already been made in the US and Europe - both to regulations and market rules, impacting not only High-Frequency Trading but general electronic trading as well. These rules and regulations are the result of technological developments in electronic trading and more specifically, High-Frequency Trading and the practice of Payments for Order Flow. The question remains as to how deep regulations should go, especially in the case of HFT which can be severely affected by harsh regulatory requirements or procedures. Because two of the most important issues in HFT are time and information, some of the rules and regulations affect aspects such as not only what type of information and how it should be gathered, but also clock synchronisation and time-stamp granularity. Another issue that may be considered controversial in the field of HFT (although it is not a practice limited to HFT) is Payment For Order Flows. Under this mechanism, wholesale market makers pay brokers for their client’s order flow – a practice that performed in great amounts and at high speeds may give a considerable level of “inside” information. Regulations, especially from ESMA (MiFID II). try in great part to thus mitigate the practice of Payments For Order Flows.

The aim of this paper is to present technological advancements in the field of trading communications used, not only by HFT firms, but also by exchanges. Additionally, the objective is to underline some challenges regarding regulatory changes that try to adapt to the current level of technology – for example, those related to clock synchronisation and data processing. One last issue brought forward is the possibility of converting markets from continuous-time auctions to discrete-time auctions - a concept that is aimed at liquidating the speed advantage and competition only to price level and hence, eliminating HFT advantages.

Mots clés

  • HFT
  • MiFID II
  • batch auctions
  • granularity
  • clock synchronisation

JEL Classification

  • D47
  • D53
  • G18
Accès libre

Tax Exemptions in Excise Duty in the Context of Fiscal Efficiency

Publié en ligne: 14 Feb 2019
Pages: 47 - 57

Résumé

Abstract

The basic function of taxes is the fiscal function, which consists in collecting revenue by public authorities. The imposition of non-fiscal functions on taxes causes the weakening of their basic function. The purpose of the article is to present tax exemptions, as well as to assess the fiscal consequences of their application in excise duty in Poland in 2012-2016.

The Polish excise duty solutions provide for numerous tax exemptions, whereby it should be noted that a significant part are attributable to EU solutions resulting from harmonisation of this tax. In light of the conducted research, it may be concluded that the applied tax exemptions have a significant influence on fiscal efficiency (causing an average revenue decrease of approximately 7% during the examined period).

Mots clés

  • excise duty
  • tax exemptions
  • tax expenditures
  • fiscal efficiency

JEL Classification

  • H21
  • H30
  • H53
Accès libre

The Significance of Openness and Transparency for Accountability in Public Finances

Publié en ligne: 14 Feb 2019
Pages: 58 - 66

Résumé

Abstract

An essential condition for asserting responsibility in public finances is that they are open and transparent. The Public Finance Act mentions ways of applying the principles of openness, and also stipulates the entities obliged to present data and information on public finances. There is, however, no legislation connected directly with transparency. So do the general requirements of classification and of accountancy and reporting principles constitute sufficient premises for accountability and asserting responsibility? An analysis of the reports and documents concerning the Polish public finance sector indicates that the processes of collecting and spending public funds are insufficiently transparent. The information system enables formal verification of discipline of public finances; however, it does not provide a sufficient basis to assess the effectiveness and efficiency, which are of key importance in terms of accountability. The aim of the article is to analyse the requirements and standards in the field of openness and transparency insofar as these concern the responsibility and accountability of public authorities, along with elements of how these are assessed in the Polish public finance system. A normative descriptive method was applied which took into consideration elements of finance theory, as well as an analysis of practical experience in the field of how public sector bodies function in Poland. The research objectives are realised mainly on the basis of a critical review of the literature on the subject, and an analysis of legal acts, reports and other documents of domestic and international institutions. The considerations and analyzes have led to several key applications to develop the principles of openness and transparency in relation to improving the accountability of public finances.

Mots clés

  • public finance
  • openness
  • transparency
  • accountability

JEL Classification

  • H10
  • H11
  • H83
Accès libre

Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels

Publié en ligne: 14 Feb 2019
Pages: 67 - 82

Résumé

Abstract

In the literature, there is no consensus as to which Value-at-Risk forecasting model is the best for measuring market risk in banks. In the study an analysis of Value-at-Risk forecasting model quality over varying economic stability periods for main indices from stock exchanges was conducted. The VaR forecasts from GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and historical simulation models in periods with contrasting volatility trends (increasing, constantly high and decreasing) for countries economically developed (the USA – S&P 500, Germany - DAX and Japan – Nikkei 225) and economically developing (China – SSE COMP, Poland – WIG20 and Turkey – XU100) were compared. The data samples used in the analysis were selected from the period 01.01.1999 – 24.03.2017. To assess the VaR forecast quality: excess ratio, Basel traffic light test, coverage tests (Kupiec test, Christoffersen test), Dynamic Quantile test, cost functions and Diebold-Marino test were used. Obtained results show that the quality of Value-at-Risk forecasts for the models varies depending on a volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility periods. The results show as well that the CAViaR model forecasts were less appropriate in the increasing volatility period. Moreover, no significant differences for the VaR forecast quality were found for the developed and developing countries.

Mots clés

  • Value-at-Risk
  • CAViaR
  • GARCH
  • combined forecasts
  • quality assessment
  • risk management

JEL Classification

  • C22
  • C52
  • G32
Accès libre

Corporate Income Tax Contribution of the Polish Financial Sector

Publié en ligne: 14 Feb 2019
Pages: 83 - 91

Résumé

Abstract

The financial crisis has stimulated debate on the taxation of the financial sector. The focus is on the bank levy and financial transaction tax, whereas corporate income tax attracts less attention in the public debate. Accordingly, this study analyses the contribution of the financial sector to Polish revenue from corporate income tax. Based on tax statistics of the Ministry of Finance from 1998 to 2016, the aggregated effective tax burden of the financial sector is determined and compared with the tax burden of corporations from other sectors. In addition, the study deals with loss deduction of the financial sector in comparison to non-financial corporations.

The study shows that the effective tax burden of the financial sector - measured as a ratio of the tax due to income - is higher than the corresponding burden for corporations from outside this sector. A higher corporate income tax burden of the financial sector also applies if it is measured by aggregated profits reduced by losses. An exception to this is the period up to 2002 and the year 2009, when the effective tax burden of the financial sector was lower after the inclusion of losses when compared to other sectors of the Polish economy. This can be explained by the relatively low losses of the Polish financial corporations compared to other corporations. Furthermore, the study shows that tax losses in the financial sector are used much more effectively. The minimum ratio of the expired loss carry-forward - due to its limitation up to five years – to the reported losses accounts for 20.2% for this sector and is thereby significantly lower than the corresponding share of 54.6% for non-financial corporations.

Mots clés

  • corporate income tax
  • effective tax burden
  • financial sector
  • Poland
  • tax revenue

JEL Classification

  • E62
  • G20
  • H25
8 Articles
Accès libre

Determinants of Investment Decisions on the Capital Market

Publié en ligne: 14 Feb 2019
Pages: 1 - 8

Résumé

Abstract

The article deals with the psychological determinants of investment decisions made by an individual investor on the capital market. The purpose of this article is to try to assess the relationship between capital involvement and selected personality traits and how individuals perceive investments in securities of different nominal unit price. The author attempts to verify whether specific price thresholds affect respondents in a similar way as prices of goods and services to customers, in the context of capital investment. The results of the nationwide survey of 564 individual investors are based on analyses using the model of the willingness to invest in shares with a specific nominal value compared to the individual characteristics of the respondents. The results of the study indicate a significant relationship between personality traits and the tendency to choose stocks with relatively low or very high denomination (current transaction price).

Mots clés

  • Behavioral finance
  • investment
  • capital market
  • investment psychology
  • denomination effect

JEL Classification

  • G11
  • G14
  • G41
Accès libre

Influence of State Participation on Business Conditions and Entrepreneurship in the EU Countries of the Former Eastern Bloc

Publié en ligne: 14 Feb 2019
Pages: 9 - 17

Résumé

Abstract

The purpose of this paper is to show the extent to which state interference in the economy affects the conditions of functioning for small and medium-sized enterprises in economies of the former eastern bloc which have already gone through the EU accession process. The data on SMEs’ situation were taken from the Fact Sheets of the EU program Small Business Act. Due to the fact that the variables proposed to describe the business environment differ significantly it was necessary to standardize them. The zero unitarization method was applied to rank countries properly. Special attention in this paper is devoted to Poland and the situation of businesses operating in this country. The research has identified some areas requiring urgent changes. It is crucial to improve the situation so that companies can play a proper role in the economy. A country which could be an example of good solutions that support business development is also described.

Mots clés

  • SMEs
  • Small Business Act
  • formemr Eastern Bloc

JEL Classification

  • L26
  • O57
  • P20
Accès libre

Analysis of Spatial Homogeneity of Integrity Standards in Selected EU OECD Countries

Publié en ligne: 14 Feb 2019
Pages: 18 - 33

Résumé

Abstract

The principle of transparency not only is changing but its importance is increasing. International organizations, including the OECD, are seeking to develop harmonized standards of transparency in public administration. This fact is of particular importance in the search for common solutions for the OECD countries in the implementation of transparency standards, but also this organisation has sought adequate methods for measuring implementation of these standards. The main purpose of the study is to analyze the level of spatial homogeneity in the area of application of the standards of “integrity” of the OECD, which are an expression of the principle of transparency in the member states of this organization, on the European continent. In the study vector calculus was used.

Mots clés

  • public finances
  • the principle of transparency
  • “integrity”
  • spatial homogeneity

JEL Classification

  • H39
  • H87
  • C61
Accès libre

Regulations and Technology Behind HFT Latency, Batch Auctions and Payments for Order Flow in the US and EU

Publié en ligne: 14 Feb 2019
Pages: 34 - 46

Résumé

Abstract

Since the appearance of high-frequency trading in the 1990s, speed has become one of the key issues in trading and with it, the controversy around High-Frequency Trading. In recent years, there have been many discussions and analyses of how high-frequency trading may affect the financial market – but still without any clear conclusions. Leaving these opinions behind, many adjustments have already been made in the US and Europe - both to regulations and market rules, impacting not only High-Frequency Trading but general electronic trading as well. These rules and regulations are the result of technological developments in electronic trading and more specifically, High-Frequency Trading and the practice of Payments for Order Flow. The question remains as to how deep regulations should go, especially in the case of HFT which can be severely affected by harsh regulatory requirements or procedures. Because two of the most important issues in HFT are time and information, some of the rules and regulations affect aspects such as not only what type of information and how it should be gathered, but also clock synchronisation and time-stamp granularity. Another issue that may be considered controversial in the field of HFT (although it is not a practice limited to HFT) is Payment For Order Flows. Under this mechanism, wholesale market makers pay brokers for their client’s order flow – a practice that performed in great amounts and at high speeds may give a considerable level of “inside” information. Regulations, especially from ESMA (MiFID II). try in great part to thus mitigate the practice of Payments For Order Flows.

The aim of this paper is to present technological advancements in the field of trading communications used, not only by HFT firms, but also by exchanges. Additionally, the objective is to underline some challenges regarding regulatory changes that try to adapt to the current level of technology – for example, those related to clock synchronisation and data processing. One last issue brought forward is the possibility of converting markets from continuous-time auctions to discrete-time auctions - a concept that is aimed at liquidating the speed advantage and competition only to price level and hence, eliminating HFT advantages.

Mots clés

  • HFT
  • MiFID II
  • batch auctions
  • granularity
  • clock synchronisation

JEL Classification

  • D47
  • D53
  • G18
Accès libre

Tax Exemptions in Excise Duty in the Context of Fiscal Efficiency

Publié en ligne: 14 Feb 2019
Pages: 47 - 57

Résumé

Abstract

The basic function of taxes is the fiscal function, which consists in collecting revenue by public authorities. The imposition of non-fiscal functions on taxes causes the weakening of their basic function. The purpose of the article is to present tax exemptions, as well as to assess the fiscal consequences of their application in excise duty in Poland in 2012-2016.

The Polish excise duty solutions provide for numerous tax exemptions, whereby it should be noted that a significant part are attributable to EU solutions resulting from harmonisation of this tax. In light of the conducted research, it may be concluded that the applied tax exemptions have a significant influence on fiscal efficiency (causing an average revenue decrease of approximately 7% during the examined period).

Mots clés

  • excise duty
  • tax exemptions
  • tax expenditures
  • fiscal efficiency

JEL Classification

  • H21
  • H30
  • H53
Accès libre

The Significance of Openness and Transparency for Accountability in Public Finances

Publié en ligne: 14 Feb 2019
Pages: 58 - 66

Résumé

Abstract

An essential condition for asserting responsibility in public finances is that they are open and transparent. The Public Finance Act mentions ways of applying the principles of openness, and also stipulates the entities obliged to present data and information on public finances. There is, however, no legislation connected directly with transparency. So do the general requirements of classification and of accountancy and reporting principles constitute sufficient premises for accountability and asserting responsibility? An analysis of the reports and documents concerning the Polish public finance sector indicates that the processes of collecting and spending public funds are insufficiently transparent. The information system enables formal verification of discipline of public finances; however, it does not provide a sufficient basis to assess the effectiveness and efficiency, which are of key importance in terms of accountability. The aim of the article is to analyse the requirements and standards in the field of openness and transparency insofar as these concern the responsibility and accountability of public authorities, along with elements of how these are assessed in the Polish public finance system. A normative descriptive method was applied which took into consideration elements of finance theory, as well as an analysis of practical experience in the field of how public sector bodies function in Poland. The research objectives are realised mainly on the basis of a critical review of the literature on the subject, and an analysis of legal acts, reports and other documents of domestic and international institutions. The considerations and analyzes have led to several key applications to develop the principles of openness and transparency in relation to improving the accountability of public finances.

Mots clés

  • public finance
  • openness
  • transparency
  • accountability

JEL Classification

  • H10
  • H11
  • H83
Accès libre

Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels

Publié en ligne: 14 Feb 2019
Pages: 67 - 82

Résumé

Abstract

In the literature, there is no consensus as to which Value-at-Risk forecasting model is the best for measuring market risk in banks. In the study an analysis of Value-at-Risk forecasting model quality over varying economic stability periods for main indices from stock exchanges was conducted. The VaR forecasts from GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and historical simulation models in periods with contrasting volatility trends (increasing, constantly high and decreasing) for countries economically developed (the USA – S&P 500, Germany - DAX and Japan – Nikkei 225) and economically developing (China – SSE COMP, Poland – WIG20 and Turkey – XU100) were compared. The data samples used in the analysis were selected from the period 01.01.1999 – 24.03.2017. To assess the VaR forecast quality: excess ratio, Basel traffic light test, coverage tests (Kupiec test, Christoffersen test), Dynamic Quantile test, cost functions and Diebold-Marino test were used. Obtained results show that the quality of Value-at-Risk forecasts for the models varies depending on a volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility periods. The results show as well that the CAViaR model forecasts were less appropriate in the increasing volatility period. Moreover, no significant differences for the VaR forecast quality were found for the developed and developing countries.

Mots clés

  • Value-at-Risk
  • CAViaR
  • GARCH
  • combined forecasts
  • quality assessment
  • risk management

JEL Classification

  • C22
  • C52
  • G32
Accès libre

Corporate Income Tax Contribution of the Polish Financial Sector

Publié en ligne: 14 Feb 2019
Pages: 83 - 91

Résumé

Abstract

The financial crisis has stimulated debate on the taxation of the financial sector. The focus is on the bank levy and financial transaction tax, whereas corporate income tax attracts less attention in the public debate. Accordingly, this study analyses the contribution of the financial sector to Polish revenue from corporate income tax. Based on tax statistics of the Ministry of Finance from 1998 to 2016, the aggregated effective tax burden of the financial sector is determined and compared with the tax burden of corporations from other sectors. In addition, the study deals with loss deduction of the financial sector in comparison to non-financial corporations.

The study shows that the effective tax burden of the financial sector - measured as a ratio of the tax due to income - is higher than the corresponding burden for corporations from outside this sector. A higher corporate income tax burden of the financial sector also applies if it is measured by aggregated profits reduced by losses. An exception to this is the period up to 2002 and the year 2009, when the effective tax burden of the financial sector was lower after the inclusion of losses when compared to other sectors of the Polish economy. This can be explained by the relatively low losses of the Polish financial corporations compared to other corporations. Furthermore, the study shows that tax losses in the financial sector are used much more effectively. The minimum ratio of the expired loss carry-forward - due to its limitation up to five years – to the reported losses accounts for 20.2% for this sector and is thereby significantly lower than the corresponding share of 54.6% for non-financial corporations.

Mots clés

  • corporate income tax
  • effective tax burden
  • financial sector
  • Poland
  • tax revenue

JEL Classification

  • E62
  • G20
  • H25

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