EFS_2015_proceedings.pdf - Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market European

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Unformatted text preview: Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market European Financial Systems 2015 Proceedings of the 12th International Scientific Conference June 18-19, 2015 Brno, Czech Republic Suggested citation: AUTHOR, A. Tittle of the paper. In: European Financial Systems 2015. Proceedings of the 12th International Scientific Conference, Brno: Masaryk University, 2015, pp. xx-xx. ISBN 978-80-210-7962-5. Editors: Veronika Kajurová Jan Krajíček © 2015 Masarykova univerzita ISBN 978-80-210-7962-5 All published papers have been reviewed before publishing. The proceedings have not been amended or proofread. Editors are not responsible for the language used in the papers. Program Committee of the Conference Chair: Ing. Petr Valouch, Ph.D. (Masaryk University) Members: Prof. Ing. Viktória Čejková, Ph.D. (Masaryk University) Prof. Dr. Ing. Dana Dluhošová (VŠB – Technical University of Ostrava) Prof. Ing. Eva Horvátová, CSc. (University of Economics in Bratislava) Prof. Ing. Eva Kislingerová, CSc. (University of Economics, Prague) Prof. Ing. Juraj Němec, CSc. (Matej Bel University) Assoc. Prof. Ing. Petr Dvořák, Ph.D. (University of Economics, Prague) Assoc. Prof. Mag. Dr. Peter R. Haiss, MBA (Vienna University of Economics and Business) Assoc. Prof. Ing. Peter Krištofík, Ph.D. (Matej Bel University) Assoc. Prof. Ing. Danuše Nerudová, Ph.D. (Mendel University Brno) Assoc. Prof. Ing. Erika Pastoráková, PhD. (University of Economics in Bratislava) Assoc. Prof. Antonin Rusek, Ph.D. (Susquehanna University, USA) Assoc. Prof. Ing. Jaroslav Sedláček, CSc. (Masaryk University) Organizing Committee of the Conference Chair: Ing. Jan Krajíček, Ph.D. Members: Mgr. Bc. Bohuslava Doláková Mgr. Bc. Hana Florianová Ing. Barbora Chmelíková Ing. Veronika Kajurová, Ph.D. Conference website: PREFACE Dear readers, It is my pleasure to introduce you a collection of papers from the 12th annual international scientific conference The European Financial Systems 2015 organized annually by Department of Finance of the Faculty of Economics and Administration, Masaryk University in Brno, Czech Republic. This year's conference was focused especially on the current issues related to new regulation of financial markets, banks and insurance companies and their products and efficiency, different accounting and tax systems, corporate finance, public finance, financing of non-profit organizations and financial literacy. Because the collection of papers presents the latest scientific knowledge in this area, I believe you will get a number of new insights usable both for your scientific, and educational or practical activities. I would also like to express my conviction that we meet each other in occasion of the 13th year of this conference held in 2016. I wish you pleasant reading! Petr Valouch Chairman of the Program Committee Svetlana Bekareva Ekaterina Meltenisova Daria Prokhorova Katarína Belanová Agnieszka Bem Paweł Prędkiewicz Paulina Ucieklak-Jeż Rafał Siedlecki Karina Benetti Miloš Bikár Miroslav Kmeťko Hana Bohušová Alžběta Srnová Pavlína Brabcová Zuzana Brokešová Tomáš Ondruška Erika Pastoráková Barbora Chmelíková Martin Svoboda Viktória Čejková Michal Fabuš Oleg Deev Martin Hodula Ján Dobrovič Anton Korauš Bohuslava Doláková Tomáš Dráb Nadiya Dubrovina Jana Peliova Jiří Dvořák Karel Urbanovský Martina Janková David Ficbauer CONTENTS Determining Boundaries of Using Gold as a Defensive Asset Evaluation of Investment Activity in the SR through the Development of Gross Fixed Capital Formation 12 Profitability versus Debt in Hospital Industry 20 Natural Disasters and their Impact on Long-term Growth 28 Global Economy, Monetary Policies and their Impact on Financial Markets 37 The Effect of a New Lease Reporting in Transport Companies 45 Economic and Demographic Determinants of Life Insurance Industry Development 61 Fees or Taxes - The Hamlet Question for the Czech Municipality Comparative Study: The Financial Literacy of Students of Economics and Finance versus Students of Law Management of Insurance Mediation for Small and Medium Enterprises European Evidence on the Long-Run Superneutrality of Money Management Trends in Slovakia's Tax Revenue Administration and its Process Model for Slovakia's Economic Performance Capital Structure and Credit Risk in the Czech Republic Performance of Actively Managed Funds in Various Stages of Business Cycle 53 66 73 79 87 93 100 Optimal Strategies for Tax Policy and Social Policy Tools Mix 106 The Options of Adaptive Modeling Environment in Cyberspace of Secure Electronic Banking 114 Holding Company, Reasons for Creation, Advantages and Disadvantages 120 Premium Calculation for Critical Illness Products 135 Hana Florianová Influence of Volatility on Hedging Strategies Matus Grega Juraj Nemec Competitiveness in Slovak and Czech Public Procurement and its Effect on the Final Price Ján Gogola 5 129 143 Eva Grmanová Eva Grmanová Peter Haiss Wolfgang Rainer Gerhard Fink Taťána Hajdíková Štěpánka Ondoková Lenka Komárková Martina Hedvičáková Libuše Svobodová Irena Honková Jonáš Výbora Ján Horvát Eva Horvátová Juraj Hruška Oleg Deev Jana Hvozdenská Veronika Kajurová Věra Jančurová Anna Jędrzychowska Anna Jędrzychowska Ilona Kwiecień Pavla Jindrová Kateřina Seinerová František Kalouda Özcan Karahan Mária Klimiková Martin Vovk Anton Korauš Róbert Štefko Ján Dobrovič Petra Kozáková Jana Pevná Petra Kozáková Efficiency of National Life Insurance Markets in Europe Efficiency in Two-stage Data Envelopment Analysis: An Application to Insurance Companies 151 158 Foreign Currency Loans in Central and Eastern Europe: Did Regional Euro Internationalization Worsen Credit Quality? 166 Financial Models in the Nonprofit Sector 174 Analysis of Banking Fees and Clients' Needs 181 Financial Results of the Company Depending upon Accounting Procedures (Comparison of the Czech Accounting Standards and IAS/IFRS) Development of Oil Prices and Key Determinants Influencing its Development Coverage of Mortgage Bonds as Important Condition of Investor's Confidence Optimal Sampling for the Detection of Market Microstructure Noise 189 195 201 211 Sovereign Bond Spreads as a Predictors of Gross Domestic Product Growth in North America 218 Size of Compensation for Personal Injuries Offered by the Current Coverage Plans in Medical Liability Insurance 230 Behavioral Biases: Analyzes of Investment Strategies Classification of Work-related Accidents as the Basis of Analysis of Employer’s Liability Risk and Insurance Decisions Bayesian Estimates of the Regional Costs in Public Health System of the Czech Republic The Banking System of the Czech Republic as a Cybernetic System - a Unit Step Response Analysis Exchange Rate Pass-Through in Turkey under Inflation Targeting Regime Latest Developments in Banking Regulation in the European Union 224 238 246 253 262 269 Acqusition Activity in Financial Sector 277 Net Working Capital across Sectors in the Czech Republic 287 Profit versus Cash Flow in Sectors of the Czech Republic 295 Tomáš Krabec Percy Venegas Fields: Investigating the Visivility of the Flows in Digital Business 303 Miroslav Krč Vladimír Golik Resource Accounting and Budgeting for Managing Personnel Costs and the Amount of Capital Expenditures in the UK Armed Forces 320 Jan Krajíček Marian Kršiak Jiří Dvořák Michal Kuběnka Aneta Bolečková Pavla Kubová Oleksandra Lemeshko Veronika Končiková Oleksandra Lemeshko Oldřich Rejnuš Dagmar Linnertová Silvie Kafková Nikolay Markov Viktor Dmitriev Svetlana Maltseva Andrey Dmitriev Grzegorz Michalski Emilia Brozyna Joanna Soroczynska Dmitry Mitin Maria Ginzburg Nadezhda Yashina Krystyna Mitręga-Niestrój Blandyna Puszer Peter Mokrička Galina Mukhacheva Dennis Nchor Václav Klepáč František Ochrana Michal Plaček Veronika Abonyiová Milan Jan Půček Tomáš Ondruška Zuzana Brokešová Erika Pastoráková The Impact of Interbank Interest Rates to Banks' Profit Definition of Electronic Banking Crisis Management in Financial Markets Cyberspace Determination and Analysis of Actual IN05 Accuracy in Prediction of Creditworthiness Compulsory Insurance of Liability for Environmental Damage: Arguments and Consequences Application of Gravity Framework to Bilateral Mutual Fund Flows in the Asia Pacific Region Timing Abilities of Mutual Funds in Countries of the Central and Eastern Europe 313 326 335 343 349 359 Cross-sectional Analysis of Short Sale Determinants in the U.S. Market Sectors 367 Application of the Nonlinear Oscillations Theory to the Study of Non-equilibrium Financial Market 375 Cash Levels and its Role in Full Operating Cycle Enterprises: 2005-2013 Czech, Slovak, Hungarian and Polish Enterprises Case 382 Political Uncertainty as an Economic Risk Factor: the Regional Perspective from Russia 391 The Threats of the Banking Union for the Polish Banking Sector 400 Systematization of Modern Structured Products according to the Parameters Common to all these Instruments Comparing Stock Market Efficiency with Detrended Fluctuation Analysis 408 414 Prediction of Oil Depletion in Ghana Based on Hubbert’s Model 421 Evaluation Criteria for Public Procurement 428 Identification of the Consumer of Insurance Services: Evidence from the Slovak Republic 436 Gabriela Oškrdalová Dalibor Pánek Martina Pokorná Miroslav Sponer Stanislav Polouček Martin Hodula Ewa Poprawska Lenka Přečková Ryszard Pukala Peter Adamišin Oldřich Rejnuš Jaroslav Sedláček Roman Skalický Rafał Siedlecki Daniel Papla Małgorzata Kwiedorowicz Barbora Smoradová Martin Svoboda Ivan Soukal Jan Draessler Jana Steklá Tereza Stloukalová Radek Jurčík Michala Strnadová Mária Režňáková Michal Karas Petr Suchánek Maria Králová Veronika Svatošová Patrik Svoboda Hana Bohušová Libuše Svobodová Martina Hedvičáková Lebanese Loop and Protection Techniques against this Type of Fraud 443 Credit Risk Assessment 455 The Costs of Deflation: Are they Really so High? 462 The Interest Rates of the Central Bank and the Banking Sector Analysis of the Effectiveness of Selected New Types of Bonus-Malus Systems – A Simulation Approach Vienna Insurance Group’s Development on the Slovak Insurance Market between 2005 and 2013 Unit-linked Insurances as an Element that Shapes the Savings Portfolio of Households in Poland after the Accession to the European Union Contemporary Development of the European Monetary Union and its Risk Factors The Brand in Accounting and Economic Concepts - Comparison of the Czech and the International Approach 451 472 481 490 498 507 Valuation of Companies in an Early Stage of Development Using S-curve 514 Assessment of Institutions of Financial Education and Literacy in the Czech Republic, the Slovak Republic and the United Kingdom of Great Britain and Northern Ireland 521 Could Financial Literacy Overcome Price Information Asymmetry: Empirical Study Labour Costs and Capital Employed of Limited Liability Companies in the Czech Republic Relationship between Estimated Value of Public Contract and its Price 528 536 544 Impact of Selected Value Drivers on the Performance of Companies in the Manufacturing Industry 552 Evaluation of Financial Strategy in Agricultural Companies 568 Consumer Satisfaction and Enterprise Performance Is Methodology Based on Rights-of-use Transfer Suitable for SMEs Lease Reporting? The Payment Cards and their Utilization in the Czech Republic 561 579 587 Irena Szarowská Łukasz Szewczyk Jana Šimáková Michal Šindelář Ľudomír Šlahor Peter Stanko Mária Barteková Paulina Ucieklak-Jeż Agnieszka Bem Paweł Prędkiewicz Tomáš Urbanovský Karel Urbanovský Jiří Dvořák Martina Janková Petr Valouch Maria Králová Relationship between Government Bond Yield Spread and Fiscal Fundamentals in Selected EU Countries The Role of ECB as a Supervisory Authority within European Union Augmented Gravity Model of International Trade: An Empirical Application to Poland's Trade Flows 596 605 611 The Analysis of Market Concentration of Audit Services in the Czech Republic 618 Monetary Aggregates and Consumer Price Inflation in the Euro Area 626 Relationships between Health Care Services and Health System Outcomes – Empirical Study on Health System Efficiency 633 Nexus of Ruble Exchange Rate and Other Macroeconomic Factors in the Period of Recent Economic Instability The Possibilities of Modern Simulation Modeling of Electronic Banking in Cyberspace of Information Society 641 649 Impact of Mergers of Czech Companies on their Value Added 656 Eva Vávrová Insurance Solutions of Covering Agricultural Risks: The Case of the Czech Republic 663 Jana Vodáková The Long-term Assets Reporting in the Czech State Administration Organizations 670 Mirka Wildmannová Joanna Wyrobek Nadezhda Yashina Maria Ginzburg Nataliia PronchatovaRubtcova Alexander Zureck Martin Svoboda What is the Future of Public Expenditure in the European Countries? 678 The Conflict between the Frequency of the Polish Firms’ Liquidity Problems and the Polish Bankruptcy Law Interpretation 686 Socio-economic Situation of the Countries and their Public Debt: Perspective 2015 696 Financial Literacy: An International Comparison between Germany and the Czech Republic 704 Determining Boundaries of Using Gold as a Defensive Asset Svetlana Bekareva, Ekaterina Meltenisova, Daria Prokhorova Novosibirsk State University Economics Faculty Pirogova Street 2, 630090 Novosibirsk, Russian Federation E-mail: [email protected], [email protected], [email protected] Abstract: Gold plays special role on the financial market. It connected with its history and nowadays investors’ attitude to the gold as a defensive asset. We have investigated conditions of being gold such asset with the help of the realized volatility theory and the CAPM model. Using statistical data from the Moscow Exchange, the IMF and other official sources we have found criteria of using gold as a defensive asset and analyzed key factors that influence gold price. We have made conclusions that gold has characteristics of defensive assets during the period under consideration; and the monetary indices of the USA economy influence gold price heavily. Keywords: gold, defensive asset JEL codes: G11 1 Introduction The role of gold in a modern world is changing. It connected with some world economic instability and use gold as a defensive asset by different kinds of investors and official monetary regulators as well. Gold can be used as a real asset and a financial one. Gold demand structure has differed from one that was ten years ago. In case of economic crises it would become one of the key instruments of saving money by all kinds of economic subjects. In general, defensive assets are expected to provide return in any economic conditions. So, usually investors refer to defensive assets such ones as money in bank deposits, money in short-term money market securities, fixed interest investments, and others. Some researches refer to them such financial assets as reserve currencies and real assets as oil, gold, and real estate. Does gold have characteristics of a defensive asset? There is a lot of evidence of using gold for hedging against risk by different kinds of investors. Factors that determine use gold in investors’ portfolios connected with historical, political, and economical issues. From the economical point of view the key factor is return. To make an investor decision it is necessary to manage risk which is defined by volatility. Usually volatility refers to the interpretation of unpredictable fluctuations in the values of a data series. As a rule, volatility could not be observed directly, and large variety of measurement methods is used. However a traditional concept of volatility does not totally reflect volatility of an asset and its Value-at-Risk. Recently, the approach of a realized volatility is getting more popular in investigation of finance issues. For the first time it was presented by Andersen and others (2003). This topic was developed by Andersen and Benzoni (2008). An important point in calculating the realized volatility is finding jumps which are characterized by abnormal fluctuations. The jump detection is used, for example, by Alexis (2014). The role of defensive assets under uncertainty is observed by many economists (Apokin, 2013, Suetin, 2013). They prove advisability of investment in such assets as gold, oil, currencies, and real estate. There are strong links among return volatility of some assets (Gencer and Kilic, 2014). Nowadays gold is getting more attractive for some kinds of investors and became an object of many research. World Gold Council provides investors with statistics and useful information about gold as an investment instrument. Numerous papers are devoted to the topical issues about investment process (Artigas et al, 2010, 2011, and 2015). 5 There are many investigations which use econometric analysis of factors that drive gold. R.Faff and al. (2010) defined conditional beta for gold for Australian and South African financial markets. Arayssi M. (2013) examined the relationship of gold price and S&P 500 and Dow indexes, various currencies and consumer price indexes. Fan W., Fang S. (2014) defined macroeconomics factors that influenced gold price. In our investigation we have used the concept of realized volatility and the jumps detection to determine if gold is a defensive asset. For this purpose the CAPM model is used as well. Then we have observed some key factors influenced gold price and return with the help of correlation analysis. 2 Methodology and Data Our investigation is devoted to the gold role on the financial markets. So, it is one of financial assets. To analyze gold as one of the assets in a portfolio we decided to consider a national financial market. So, the statistics were used from the Moscow Exchange. We examined the gold price and the RTS index for the period 1996 – 2014 of every day frequency. To observe factors that drive gold price we used the IMF statistics of money sector and some macroeconomics indices, Brent oil price and national equity indices. The statistics were used for such countries as the USA, the UK, Japan, China, and the Russian Federation. The total number of indicators was 33. The first point of our analysis is connected with volatility assessment. To the purpose of our investigation we applied jumps detection to eliminate them before computing the realized volatility. We determined periods of time when jumps were observed and compared them with economic conditions in those periods. There are some approaches to price jump determining. In our research we implemented approach of Chan (2008). To register jumps we applied the threshold method after Truck et al. (2007) that detect jumps in case of exceeding the standard deviation three times in the month i. Let’s assume that P (t) – the spot price of gold at time t, is governed by the following price jump-diffusion process: dPt t dt t dWt kt dqt (1) where µt is a drift term, σt is the local volatility and Wt is a standard Brownian motion, dqt is a counting process with dqt=1 that corresponding to a jump at the time t and zero otherwise, kt is a parameter indicating the size of jump. The continuous representation of the local volatility, so-called integrated variance (IV), is defined as: IV 2 ( s)ds (2) RVt rt ,i 2 (3) t t 1 By the theory of quadratic variation in case of absence of jumps and as the time between two observations goes to zero, the realized volatility (RV) is an efficient estimator of integrated variance. For a period of T years of M, equally spaces intermonth returns (i=1…M), RV is expressed as: M i 1 where rt,i is the return on gold, i.e. log-difference between two monthly price realizations i (i=1,..12) in year t. To eliminate jumps we used approach implemented by Ullrich (2002). In case of jumps are presented the realized volatility is calculated as: 6 lim RV M t t 1 2 ( s )ds kt2,i ( s) N (4) i 1 The meaning of the realized volatility for the period under consid...
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  • Fall '15
  • ADAM
  • Economics, Defensive Asset

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