Managerial Economics
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ISSN 1898-1143
e-ISSN: 2353-3617
Issue Date
2023
Volume
Vol. 24
Number
No. 1
Description
Journal Volume
Managerial Economics
Vol. 24 (2023)
Projects
Pages
Articles
Hedging the investment portfolio with derivatives present on the Polish market
(Wydawnictwa AGH, 2023) Bernat, Tomasz; Ruszkiewicz, Robert
This paper explores the evolving nature of the capital market in the second and third decades of the 21st century, characterized by its widespread accessibility to individual investors. How- ever, the emergence of inexperienced investors driven by profit-seeking motives has led to non-conventional investment decisions resulting in significant losses. To address this challenge, the study investigates practical methods to minimize risk, focusing on the limited availability of derivatives in the Polish capital market. The research develops and tests an investment port- folio, drawing on Markowitz’s portfolio construction theory and Hull’s hedging strategy. The findings support the hypothesis that resilient investment portfolios can be constructed under Polish conditions using available tools and strategies.
A statistical interpretation of a market demand curve for a commodity obeying the law of demand
(Wydawnictwa AGH, 2023) Lahiri, Somdeb
In this note we provide a statistical interpretation of the Marshallian market demand curve of a commodity that obeys the law of demand and which has a finite and positive level of satiation. A consequence of our approach is that in the context of two goods, we are able to obtain demand functions which are very similar to those obtained by “budget-constrained Cobb–Douglas util- ity maximization”, but now as a result of a “budget-constrained linear utility maximization” exercise, although our budget constraint is “slightly different” from the one that would be used for the former optimization problem.
Expiration day effects of stock and index futures on the Warsaw Stock Exchange before and in the initial phase of the COVID-19 pandemic
(Wydawnictwa AGH, 2023) Suliga, Milena
This paper examines the existence of expiration day effects of stock and index derivatives on the Warsaw Stock Exchange. Event study analysis is employed to high-frequency data to check the occurrence of four types of anomalies: abnormal increase in trading volume and in intraday volatility of underlying stocks, price reversal and price shock. The study confirms that on expi- ration days trading volume of underlying stocks increase unusually during the time when final settlement prices of expiring futures are being calculated. Intraday volatility of stock prices is also abnormally high on expiration days. However, before 2020 this price effect occurred on expiration days during triple withing hour, while in the initial phase of COVID-19 pandemic it has been visible on expiration days only at the close and additionally at the beginning of the next trading session. The analysis of price reversal and price shock effects revealed that only the second anomaly is a phenomenon which constantly appears after futures expiration, indicating the distortion of stock prices on expiration days and their return to normal levels at the beginning of the next trading session. Division of the research period (2018-2020) into two parts allow to find out that after the outbreak of the pandemic, when the importance of hedgers’ activity on the futures market have increased, some of the analyzed anomalies have weakened and their duration have been shortened. However, distortions of underlying stock prices have been still visible at the close of the trading session on expiration days. This suggests that as long as the final settlement prices of stock future are equal to closing prices of underlying stocks, expiration day effects will occur on the WSE.
The decision making criteria of a rational investor on the example of an investment portfolio analysis of listed companies and a basket of currencies
(Wydawnictwa AGH, 2023) Tadla, Karolina
In today’s globalized world, investing is a key financial management strategy related to the hope of obtaining future economic benefits. Access to more and more information has created new opportunities for wealth creation, including investments in stocks, cryptocurrencies, gold, real estate and many other assets. The work emphasizes the importance of investing and diversifying the investment portfolio, especially in periods of inflation, using the example of a portfolio of listed companies compared to a currency portfolio. The study covers the period from December 2019 to December 2020, and the analysis aims to estimate the rate of return on investment based on the Markowitz and CAPM theories. The presented analysis method is applicable both in the academic environment and in real economic scenarios, encouraging further research on investments.