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The effectiveness of the investment is strongly dependent on the liquidity of the shares and the degree of asymmetry of information between the market participants. There is a strong evidence in the literature that stock illiquidity should increase with information asymmetry. An important question is, if different approximations of information asymmetry are consistent in their indications. This study examines the various adverse selection measures including bid–ask spreads calculated on the basis of real transaction data and measures calculated from daily data. We consider stocks listed constantly from 2006 through 2016 on the Warsaw Stock Exchange and calculate the Pearson and the Spearman rank correlations for daily effective spread proxies across the sample. The capitalization and different periods of time are taken into account. We find that various adverse selection measures are characterized by different informational contents, resulting in relatively low coherence of the proxies used in the study.
Barbara Będowska-Sójka; Przemysław Garsztka. Liquidity on the Capital Market with Asymmetric Information. Sustainable Transport Development, Innovation and Technology 2019, 383 -392.
AMA StyleBarbara Będowska-Sójka, Przemysław Garsztka. Liquidity on the Capital Market with Asymmetric Information. Sustainable Transport Development, Innovation and Technology. 2019; ():383-392.
Chicago/Turabian StyleBarbara Będowska-Sójka; Przemysław Garsztka. 2019. "Liquidity on the Capital Market with Asymmetric Information." Sustainable Transport Development, Innovation and Technology , no. : 383-392.
Developed market economies demonstrate a growing interest in issues concerning Corporate Social Responsibility (CSR) and its effects, confirmed by the sizeable theoretical and empirical literature on this issue. A substantial research proves also the positive relation between CSR commitment and financial results of banks in mature markets. However, there is less evidence on CSR existence and its impact in other geographical areas, especially in the research concerning Central and Eastern European Countries (CEEC). In our study we analyze the interrelation between being socially responsible and tangible financial outcome (Corporate Financial Performance—CFP) of banks in the CEEC. The aim is also to empirically verify the relation between efficiency of corporate social-environmental performance (CSP) and the efficiency of CFP for CEEC banks. In our study, we analyze the financial and CSP data of the biggest public banks in CEEC. The researched period is 2012–2016. The empirical part analyzes the interrelation between CSP and CFP based on the panel regression. Moreover, in order to evaluate the CSP efficiency and the CFP efficiency we use the Data Envelopment Analysis (DEA) approach. The empirical results reveal that in case of banks in the Central and Eastern Europe (CEE) region being socially responsible is not reflected in the bottom line. The financial condition of the banks also does not impact the CSR engagement. Our study confirms, however, that CEEC banks with better financial efficiency have higher efficiency of CSR activities. The conclusions may lead to the improved decision-making processes concerning CSR activities and their communication in banks in CEEC.
Justyna Fijałkowska; Beata Zyznarska-Dworczak; Przemysław Garsztka. Corporate Social-Environmental Performance versus Financial Performance of Banks in Central and Eastern European Countries. Sustainability 2018, 10, 772 .
AMA StyleJustyna Fijałkowska, Beata Zyznarska-Dworczak, Przemysław Garsztka. Corporate Social-Environmental Performance versus Financial Performance of Banks in Central and Eastern European Countries. Sustainability. 2018; 10 (3):772.
Chicago/Turabian StyleJustyna Fijałkowska; Beata Zyznarska-Dworczak; Przemysław Garsztka. 2018. "Corporate Social-Environmental Performance versus Financial Performance of Banks in Central and Eastern European Countries." Sustainability 10, no. 3: 772.
The article analyses the relationship between investment risk (as measured by the variance of returns or standard deviation of returns) and liquidity risk. The paper presents a method for calculating a new measure of liquidity risk, based on the characteristic line. In addition, it is checked what is the impact of liquidity risk to the volatility of daily returns. To describe this relationship dynamic econometric models were used. It was found that there was an econometric relationship between the proposed measure liquidity risk and the variance of returns.
Przemysław Garsztka; Krzysztof Hołubowicz. The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment. Folia Oeconomica Stetinensia 2015, 15, 83 -100.
AMA StylePrzemysław Garsztka, Krzysztof Hołubowicz. The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment. Folia Oeconomica Stetinensia. 2015; 15 (1):83-100.
Chicago/Turabian StylePrzemysław Garsztka; Krzysztof Hołubowicz. 2015. "The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment." Folia Oeconomica Stetinensia 15, no. 1: 83-100.
Stabilne dochody publiczne zapewniają środki na realizację zadań publicznych i gwarantują szeroko rozumiane bezpieczeństwo finansów publicznych. Pojęcie stabilności dochodów publicznych nie zostało jednak jednoznacznie zdefiniowane. W artykule przybliżono pojęcie stabilności dochodów publicznych oraz zaproponowano metody pomiaru tej stabilności za pomocą tzw. współczynnika zmienności. Analizę przeprowadzono na przykładzie systemu zasobów własnych Unii Europejskiej obowiązującego w latach 2000-2010. Badania empiryczne przeprowadzono dla poszczególnych rodzajów dochodów w różnych ujęciach i uzyskano zróżnicowane wyniki. Zaproponowany współczynnik zmienności pozwala w sposób transparentny opisać i porównać stabilność różnych dochodów publicznych, niezależnie od cyklu koniunkturalnego. Ta metoda pomiaru może również być stosowana do porównania stabilności dochodów na różnych szczeblach władzy publicznej.
Przemysław Garsztka; Maciej Cieślukowski. Ocena stabilności dochodów publicznych na przykładzie zasobów własnych Unii Europejskiej w latach 2000-2010. Ruch Prawniczy, Ekonomiczny i Socjologiczny 2014, 76, 193 -209.
AMA StylePrzemysław Garsztka, Maciej Cieślukowski. Ocena stabilności dochodów publicznych na przykładzie zasobów własnych Unii Europejskiej w latach 2000-2010. Ruch Prawniczy, Ekonomiczny i Socjologiczny. 2014; 76 (3):193-209.
Chicago/Turabian StylePrzemysław Garsztka; Maciej Cieślukowski. 2014. "Ocena stabilności dochodów publicznych na przykładzie zasobów własnych Unii Europejskiej w latach 2000-2010." Ruch Prawniczy, Ekonomiczny i Socjologiczny 76, no. 3: 193-209.