Template-Type: ReDIF-Article 1.0
Author-Name: Sercan Demiralay
Title: Global Risk Factors and Stock Returns during Bull and Bear Market Conditions: Evidence from Emerging Economies in Europe
Abstract: This paper explores the dependence of emerging European stock markets (Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Russia, Turkey and Ukraine) on global risk factors (changes in gold prices, US implied volatility index and oil prices) based on daily data from 6 January 2004 to 31 December 2013. We employ a quantile regression model to analyse how the global factors affect stock returns under different market circumstances, such as bearish (lower quantiles), normal (intermediate quantile) and bullish (higher quantiles) times. Empirical results reveal that the response of stock markets is heterogeneous; larger equity markets, such as Poland, Russia and Turkey, are highly sensitive to the global factors while Bulgaria is the least sensitive. Overall, the dependence on gold and oil prices is positive while the dependence on US stock market uncertainty is negative. Additionally, in most of the cases, the dependence intensifies during bear market conditions, in which stock prices fall.
Keywords: emerging markets, quantile regression, global risk factors
Classification-JEL: C21, G10, G11
Pages: 402-415
Volume: 2019
Issue: 4
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=680.pdf
File-URL: http://www.vse.cz/pep/680
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:680:p:402-415
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/680

Template-Type: ReDIF-Article 1.0
Author-Name: Jana Poláková
Title: Subsidies to Less Favoured Areas in the Czech Republic: Why Do They Matter?
Abstract: Subsidy to less favoured area (LFA) farms is central to rural development policy in the European Union. Here, three categories of LFA support are assessed: farm competitiveness measures, LFA measures, and agri-environment measures. These categories of measures are complementary to safeguarding land management and delivering ecosystem benefits. Based on historical data for the Czech Republic, this paper endeavours to illustrate potential methods for assessing the LFA subsidies. In sum, rigorous methods to evaluate LFA evidence are still at their very starting point, even as they are necessary in order to ascertain the Community’s capability, alongside the local, regional, or national institutional capability. A positive trend has been identified with regard to stabilizing the available rural development budget for the policy priority “Restoring, preserving and enhancing agroecosystems”.
Keywords: LFA support, rural development funding, land-based measures
Classification-JEL: H41, N50, Q10, R10
Pages: 416-432
Volume: 2019
Issue: 4
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=701.pdf
File-URL: http://www.vse.cz/pep/701
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:701:p:416-432
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/701

Template-Type: ReDIF-Article 1.0
Author-Name: Jiangli Dou
Author-Name: Bing Ye
Title: Versioning Goods and Joint Purchases with Network Externality
Abstract: This paper analyses the monopolist’s production and pricing decisions on two vertically differentiated versions of a product in the presence of network externality. We show that offering only the higher-quality version of the product is the optimal strategy when negative externality exists and the utility from joint purchase is not large. If both versions are provided, the monopolist will charge a monopoly price for each version to induce separate purchases if these two versions are too close substitutes. Moreover, in the equilibrium with joint purchases, with an increase in externality or the utility from a joint purchase, the prices of both versions increase. In addition, with an increase in network externality, the equilibrium region for separate purchases first increases and then decreases.
Keywords: versioning goods, vertical differentiation, joint purchase, network externality
Classification-JEL: D21, D42, L12, L25, M11
Pages: 433-448
Volume: 2019
Issue: 4
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=702.pdf
File-URL: http://www.vse.cz/pep/702
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:702:p:433-448
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/702

Template-Type: ReDIF-Article 1.0
Author-Name: Milan Fičura
Title: Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies
Abstract: Profitability of a trading system based on the momentum-like effects of asset price jumps was tested on four currency markets (EUR/USD, GBP/USD, USD/CHF and USD/JPY) and three futures markets (Light Crude Oil, E-Mini S&P 500 and VIX), on 7 frequencies (1-minute to 1-day), over a period of more than 20 years. The proposed trading system entered long and short trades in the direction of asset price jumps and held the positions for a fixed horizon, optimized on the insample period. The system achieved statistically significant out-sample profits for the USD/CHF, EUR/USD and GBP/USD exchange rates, especially on the 15-minute, 30-minute and 1-hour frequencies, with expected returns of up to 20-30% p.a., including transaction costs. On the 1-day frequency, on the USD/JPY and on the three analysed futures markets, only insignificant profits or losses were achieved. On the 1-minute frequency, the system ended with a loss for all of the assets.
Keywords: asset price jumps, L-estimator, high-frequency trading, momentum trading
Classification-JEL: C14, C58, G11, G14, G17
Pages: 385-401
Volume: 2019
Issue: 4
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=703.pdf
File-URL: http://www.vse.cz/pep/703
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:703:p:385-401
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/703

Template-Type: ReDIF-Article 1.0
Author-Name: Milan Hrdý
Author-Name: Markéta Pláničková
Title: Meaning and Problems of Identification of Beta Coefficient When Valuing Financial Institutions
Abstract: The aim of this article consists in the analysis of the beta coefficient presented in different areas for three types of financial institutions: banks, investment banks and life insurance companies. In the final evaluation, we analyse whether the beta coefficient has a high tendency to reach number one and whether there is a relatively stabilized position of the beta coefficient different from one for a certain period and a certain financial institution on a certain market and whether it is possible to avoid a relatively complicated process of beta coefficient identification in income valuation. For that reason, the analysis of the five-year beta coefficient in the years 2000-2014 was performed for the USA, developed European, emerging European, developed Asian and emerging Asian regions. The analysis proved that the beta coefficient values are lower than the “magic one”, meaning that using a beta coefficient equal to one is possible only in some specific cases. Also, stability of the beta coefficient with some permitted deviation was identified only for some financial institutions and for some markets, for example 0.6 for banks on the developed Asian market and 0.35 on the US market.
Keywords: valuation, beta coefficient, analysis, financial institutions
Classification-JEL: G21, G22, G32
Pages: 479-495
Volume: 2019
Issue: 4
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=704.pdf
File-URL: http://www.vse.cz/pep/704
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:704:p:479-495
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Template-Type: ReDIF-Article 1.0
Author-Name: Andrea Feher
Author-Name: Bogdan Virgil Condea
Author-Name: Daniela Harangus
Title: Impact of Harmonization on the Implicit Tax Rate of Consumption
Abstract: This paper brings to the foreground an indicator rather less used in specialized studies - the implicit tax rate of consumption - as an effective tax rate of consumption. In an empirical analysis, we try to analyse the impact of the main determinants on the implicit tax rate of consumption. The analysis is based on the panel technique in order to show the impact of tax harmonization on consumer taxation at EU27, EU15 and NMS12 levels, testing three hypotheses: (1) the implicit tax rate of consumption is directly influenced by the economic growth rate; (2) the effects of harmonization are more pronounced in the new EU member states; (3) during an economic crisis, the budget deficit and public debt determine changes in the implicit tax rate.
Keywords: public debt, value added tax, econometric modelling, implicit tax rate, budgetary deficit
Classification-JEL: F36, F37, F38
Pages: 449-464
Volume: 2019
Issue: 4
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=705.pdf
File-URL: http://www.vse.cz/pep/705
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:705:p:449-464
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/705

Template-Type: ReDIF-Article 1.0
Author-Name: Maciej Malaczewski
Title: Household Ecological Preferences and Renewable Energy Spending
Abstract: In this paper, we propose a model that demonstrates the influence of household ecological preferences on their acceptance of spending on renewable energy. The model discusses the production of energy from both non-renewable and renewable sources, the quality of the natural environment, pollution emissions, and utility maximization. If households choose to reduce pollutant emissions, they should reduce their levels of consumption. The main aspect that distinguishes the proposed model is the assumption of complementarity between physical capital and energy. This complementarity exists due to the fact that non-renewable natural resources are the main energy source throughout the world. The presented model is solved and analysed in detail. Our analysis of the model leads to the conclusion that maximizing the utility share of the total production spent on renewable energy generation depends on the relation of both preference parameters, not on each individual preference parameter. Since the presented model helps to explain several economic mechanisms, it may become incorporated into a larger model.
Keywords: pollution, ecological preferences, complementarity between natural resources and capital, energy, natural resource use
Classification-JEL: O44, Q32, Q43
Pages: 465-478
Volume: 2019
Issue: 4
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=713.pdf
File-URL: http://www.vse.cz/pep/713
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:713:p:465-478
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/713