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SOVEREIGN CREDIT RATINGS AND ASIAN FINANCIAL MARKETS

Khansa Pervaiz, Zuzana Virglerová, Muhammad Asif Khan, Usman Akbar, József Popp

Sovereign credit rating (SCR) is an important utensil to judge the creditworthiness and competitiveness of an economy, which facilitates the potential investors to gain confidence in making investment decisions across the globe (Yang et al., 2019). It serves as a “credit passport” to investors to gain useful information about the financial markets in terms of dependable share prices, trim financial obstacles along with provocative effective investment (Mclean et al., 2012; Xu et al., 2019; Zhao et al., 2020). Higher SCR signals a relatively higher performance of companies/ economies (Cubas-Díaz et al., 2018). The efficient market hypothesis holds that financial markets are sensitive to new information, where a piece of information is translated into security prices, depending upon the development of such markets.
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BOOTSTRAP TESTING OF TRADING STRATEGIES IN EMERGING BALKAN STOCK MARKETS

Boris Radovanov, Aleksandra Marcikić

Technical analysis is an approach to predicting future prices based on detecting regularity patterns in prices, volume and other market indicators. It ordinarily proceeds by noting market activity in some graphical form and then deducing possible future trends from the observed historical data. This paper stands on the postulate that stock prices manifest various regularities; once these regularities are identified, technical analysts and/or market participants should be consulted about what is likely to happen next.
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THE DOWNSIDE RISK APPROACH TO COST OF EQUITY DETERMINATION FOR SLOVENIAN, CROATIAN AND SERBIAN CAPITAL MARKETS

Mirela Momcilovic, Dejan Zivkov, Sanja Vlaovic Begovic

The cost of equity represents significant input in the investment process evaluation, company valuation or in the process of an acquisition. In developed countries, the cost of equity is usually determined on the basis of Capital Asset Pricing Model – CAPM (Sharpe, 1964; Litner, 1965) according to which in the state of market equilibrium investors expect return from the security proportional to its systematic risk. The model uses beta coefficient of secutity as a measure of systematic risk. The CAPM disregards unsystematic risk, because the model assumes that investors hold highly diversified portfolios, which enable investors to eliminate unsystematic risk (see Wagner & Lau, 1971; Klemosky & Martin, 1975). Investors at developed markets, besides CAPM often use some other asset pricing models, like Arbitrage Pricing Model (Ross, 1976) or Fama-French Three-Factor Model (Fama & French, 1992; 1993).
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WAVELET ANALYSIS OF STOCK RETURN ENERGY DECOMPOSITION AND RETURN COMOVEMENT – A CASE OF SOME CENTRAL EUROPEAN AND DEVELOPED EUROPEAN STOCK MARKETS

Silvo Dajčman, Alenka Kavkler

Stock market integration, stock market comovement and return spillovers between developed and developing stock markets,particularly CEE markets, are of great importance for international investors making financial decisions. Increased comovement of stock markets returns may diminish the advantage of internationally diversified investment portfolios.
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Odhad tržního rizika na bází Lévyho modelů a časový horizont

Aleš Kresta, Tomáš Tichý

Nedílnou součástí aktivit na finančních trzích je modelování, kvantifikace a řízení rizik, kterým daný subjekt je nebo může být vystaven v důsledku neočekávané změny tržních cen akcií, měnových kurzů, úrokových sazeb č komodit. Aplikace adekvátních modelů je důležitá jak z pohledu akcionářů, tedy držitelů vlastnických podílů, tak – v případě finančních institucí – orgánů dohledu.
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Implications of the New Basel Capital Accord for European Banks

Petr Teplý, Liběna Černohorská, Karel Diviš

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