TY - THES A1 - Voronkova, Svitlana T1 - Institutional Trading, Trading Mechanisms and Equity Market Integration: Essays on the Polish Stock Market N2 - The launch of financial reforms in Central and Eastern Europe (CEE) at the beginning of the 1990s stimulated increased interest of investors and academics in the newly-born stock markets of this region. Most of the existing studies, however, consider a group of the CEE markets, stressing their commonalities and discarding the fact that though these markets started at approximately the same time, due to the different starting conditions and reform paths, nowadays they differ considerably in terms of size and significance for domestic economies. In the present thesis, we focus on the Polish stock market, as it is considered to be an example of consistent and successful financial market reforms. There are, however, several important features pertaining to the institutional and regulation aspects of the Polish stock market that may impact formation of equity prices, which nevertheless failed to attract the interest of the researchers so far. Some of these features are common with other emerging markets, which makes the results of our study interesting to a broader international audience. This thesis consists of four separate self-contained essays. They extend four streams of the empirical literature on the developing European stock markets: investment behavior of institutional investors; impact of institutional demand on individual and aggregate stock prices; effects of trading mechanism regulation on stock return autocorrelation and volatility; predictability of stock returns due to long-run relationships between developing European and mature markets. Some of the results of the present research appear to challenge findings documented in the previous literature and question the extant policies, thus suggesting areas for future research. KW - Polen KW - Aktienmarkt KW - Anlagepolitik KW - Institutioneller Anleger KW - Mikrostrukturtheorie KW - Polen KW - Aktienmarkt KW - Anlagepolitik KW - Institutioneller Anleger KW - Mikrostrukturtheorie KW - Financial Markets KW - Stock Returns KW - Emerging Markets Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:521-opus-00125 ER - TY - THES A1 - Henke, Harald T1 - Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange T1 - Handelssysteme, Volatilität und die Regulierung von Aktienmärkten: Eine Untersuchung der Mikrostruktur der Warschauer Börse N2 - The present thesis is a microstructure study of the Warsaw Stock Exchange (WSE). In the first part, I find evidence in favor of the so-calles mixture of distributions hypothesis according to which the time-variant daily order flow translates into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is neither accompanied by higher liquidity/price efficiency nor by persistent abnormal returns of continuously listed stocks upon transfers. The third part demonstrates that continuous trading became more attractive and liquidity in this system increased due to the appearance of a large number of institutional traders after the Polish pension reform. In the fourth and final part I show that price limits in the call auction system of the WSE constitute a costly regulation by causing excessive volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this regulation. N2 - Die vorliegende Arbeit stellt eine Untersuchung der Mikrostruktur der Warschauer Börse (WSE) dar. Im ersten Abschnitt wird Evidenz für die sogenannte Mixture-of-Distributions-Hypothese gefunden, nach der ein tagesvariabler Informationsfluß für Volatilitätspersistenz in Aktienrenditen verantwortlich ist. Im zweiten Abschnitt wird gezeigt, daß die Einführung des kontinuierlichen Handels an der WSE nicht zu höherer Liquidität/Preiseffizienz und zu Überrenditen um den Transferzeitpunkt für in dem System gelistete Aktien führt. Der dritte Abschnitt analysiert, daß nach Auftreten einer großen Anzahl institutioneller Investoren nach der polnischen Rentenreform der kontinuierliche Handel an Attraktivität und Liquidität gewann. Im vierten und letzten Abschnitt wird gezeigt, daß Preislimits im Auktionssystem der WSE mit hohen Kosten in Form von exzessiver Volatilität nach Limittreffern und positiver Autokorrelation der Aktienrenditen einher gehen. Mögliche Vorteile bleiben unbestimmt. KW - Warschau KW - Börse KW - Aktienmarkt KW - Aktienrendite KW - Volatilität KW - Mikrostrukturtheorie KW - Volatilität KW - kontinuierlicher Handel KW - Call-Auktion KW - Preislimits KW - polnischer Aktienmarkt KW - Volatility KW - continuous trading KW - call auction KW - price limits KW - Polish stock market Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:521-opus-00104 ER - TY - THES A1 - Vigenina, Denitsa T1 - Analysis of the Incentive Mechanisms of Individual and Group- Microlending Contracts N2 - the group- and the individual-based micro-lending contracts. The success of group lending has been attributed to the ability of the lender to alleviate asymmetric information problems. The existing theoretical literature offers a number of explanations for this phenomenon including the building of homogeneous groups, strong social ties between group members, internal group pressure to repay loans, and a willingness to help fellow group members. Using data from a questionnaire given to 236 borrowing groups of the microfinance institutions Constanta (Georgia) and FORA (Russia), this study describes to what extent borrowers behave as predicted by theory. According to the empirical results, the assortative matching brings informational advantages to the lenders and helps them mitigate the adverse selection problem. It is, however, not an absolutely necessary condition for the success of the group lending. When the selection period is very short borrowers oft The analysis of the individual lending mechanism - based on the experience of 130 borrowers of the Microfinance Bank of Georgia – shows that there are three core elements, a) the demand for non-conventional collateral, b) a screening procedure which combines psychological with economic elements, and c) dynamic incentives, which ensure high repayment rates of up to 100% if small amounts of capital are lent on an individual basis. Finally, the analysis of the key characteristics of the surveyed borrowers reveals that the target group, which can be efficiently served by either one of the two mechanisms, is different. Individual loan contracts better fit to businesses with a dynamic perspective, joint-liability approaches better fit to rather static businesses. Only borrowers with a dynamic perspective but without collateral are forced to make use of the joint-liability approach until they are able to switch to individual loans. The conclusion is that there is no better design than a combination of individual-based and joint-liability loan contracts if a micro-lender aims to reach all types of micro-entrepreneurs in a certain region. KW - Georgien KW - Mikrofinanzierung KW - Kreditvertrag KW - Risikoverteilung KW - Agency-Theorie KW - Russland KW - Georgien KW - Mikrofinanzierung KW - Kreditvertrag KW - Risikoverteilung KW - Agency-Theorie KW - Russland KW - microfinance KW - joint liability KW - peer monitoring Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:521-opus-00117 ER - TY - THES A1 - Wisniewski, Tomasz Piotr T1 - Empirical Evidence on Economic and Financial Aspects of Intensive Insider Trading N2 - This thesis contributes to the literature by providing new insights into the patterns and market implications of insider trading. The inferences presented here are based on the insider trading reports filed with the Polish Securities and Exchange Commission and the New Zealand Exchange. First, the empirical inquiry examines the undue transaction profits accruing to supervisory and executive boards members, and their next of kin. Second, a hypothesis that an aggregate insider trading index can be used to formulate forecasts about future stock market development and macroeconomic fluctuations is tested. Third, the assertion that insider trading promotes more accurate pricing of assets is verified against the actual data. Last, it is argued that the presence of informed trading in the market increases the volume-induced return autocorrelation. KW - Polen KW - Aktienmarkt KW - Insidergeschäft KW - Asymmetrische Information KW - Kapitalmarkteffizienz KW - Polen KW - Aktienmarkt KW - Insidergeschäft KW - Asymmetrische Information KW - Kapitalmarkteffizienz KW - Insider Trading KW - Market Efficiency KW - Asymmetric Information Y1 - 2004 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:521-opus-00139 ER -