Dorota Żebrowska-Suchodolska

Research background: Investment funds are an important part of the capital market. Household savings in this type of asset are increasing every year. From an investor’s point of view, the performance of funds is important. These, along with the risks, are what most often determine the choice of fund type and finally the specific fund. The performance of a fund is often determined by both the size of the fund and the application of the managers’ selectivity and market sense. Purpose: The aim of this research is to investigate the impact of fund size on performance through the use of selectivity and market sense by managers. Dividing funds into size groups will allow the search for patterns in terms of managers’ use of market timing. Research methodology: The research used a Treynor-Mazuy model as a market timing model and Ward’s method as the cluster analysis methods. The performance of the funds was determined using an investment performance indicator, i.e., Omega. Results: The obtained results indicate that the funds are similar within the groups. However, there were differences in the results between the groups. During periods of high volatility, it is recommended to invest in units of funds with an average size below the median. Novelty: The added value is the study of market timing in groups of funds similar in size. In each group, the results of the Treynor-Mazuy model estimation, and the Omega investment efficiency index were determined, and the differences in the obtained results between the groups were examined. Finally, all funds were clustered using the Ward method.

Purpose: The study checks relations between different developed and Visegrad stock markets and mainly concentrates on the analysis of the American market influence (reflected by S&P500) on other stock markets. It examines the influence of crisis situations such as Covid-19 pandemic and Russia-Ukraine war on the strength of the linkage between markets. Methodology/approach: The study of changes in the dependence of stock market indices over 2018 – 2023 is conducted using rolling windows for the Pearson correlation coefficient. The similarity strength of indices is indicated using the DTW measure. The influence of the S&P500 index on other stock indices is examined by the Granger causality. Findings: We show that both the Covid-19 pandemic and the war increased the linkage between stock markets, although for the latter this rule refers only to markets that are geographically close to the conflict zone. The research also shows that the American stock exchanges are the most strongly interconnected. Another important notice is that crises decrease the similarity of shapes between stock exchanges represented by market indices. Moreover, greater similarity between stock exchanges leads to lower volatility in correlations over time. Originality/value: The paper adds value in three aspects. The first one is that it examines changes in relations between indices, both in their correlations and their similarities strength during Covid-19 pandemic and Russia-Ukraine war – recent crisis situations. Contrary to the previous literature which is rather concentrated on the Covid-19 pandemic and its influence on stock markets, we show that such events that are not global also influence relations between stock markets close to the conflict zone. The second one is combining in one paper connections between both different indices from developed countries and Visegrad countries. The third one is using DTW method rarely used for financial time series analysis to examine shapes similarity between S&P500 index and so many stock markets, both from developed and Visegrad countries in one paper.

Private households are an important group of energy consumers. Based on Eurostat data, their energy consumption constituted 30% of the final consumption of energy use across the European Union in 2021. The cost of energy is one of the main components of household budgets; thus, the prices provided by energy carriers have a significant impact on energy consumption. The price offered to the final consumer consists of three components: the price of energy and its supply, network costs, and taxes and levies. The values of the three components, however, depend on several factors, among which the structure of the energy markets and energy policies in individual EU countries play a key role. This work aimed to analyze and assess the structure of electricity prices offered to households across EU countries in the years 2019–2021. The differences and similarities between the pricing policies of selected products in the EU and their impacts on households’ purchasing capacity were captured and a non-pattern classification method (k-means) was applied as a research tool. The results indicated that the heterogeneity of the electricity price structure increased significantly over the period analyzed. This may be a consequence of the use of strongly differentiated tools to mitigate electricity price increases and the steps being taken towards low-carbon economies.

Statistics in Transition new series vol.24, 2023, 4, Elimination of characteristics concerning the performance of open-ended equity funds using PCA, DOI https://doi.org/10.59170/stattrans-2023-057, Dorota Żebrowska-Suchodolska

Capital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the period from March 3, 2019, to March 31, 2021. The aim is to identify sectors and indices similar to each other at the local level and to identify, among pairs of similar indices, those that provide a boost to another sector. The research uses the hierarchical cluster analysis method (Ward’s method) and the Granger causality test. This work presents a novel approach to sectoral comparison at the local level.

Investment funds are an attractive form of investment, especially for those investors who do not want to invest on their own, but rather entrust their funds to professional managers. However, the question arises as to whether the fund managers can diversify the asset portfolio, or whether it is only a passive investment policy that largely imitates the stock market index. In this context, it becomes important to examine the long-term relationships between open-ended equity funds and the funds’ benchmarks (stock exchange indices). This study analyses series of weekly quotations for 15 FIOs and 4 indices of the Warsaw Stock Exchange (WSE) from 2004 to 2021. The Johansen method was used as the main tool. The results indicate a lack of long-term relationships between the quotations of the selected indices and the valuation of the vast majority of funds. This result may be due to the analysis covering quite a long period in which the stock exchange situation changed more than once. In the long-term, this may result in disturbances of the long-term balance to such an extent that the relation can no longer return to its long-term path, so the vast majority of the analysed funds do not follow the indices (their benchmarks). This observation can apply to both developed and emerging capital markets.

One of the types of anomalies in the capital market are calendar anomalies. They are associated with the occurrence of various calendar relationships in the rates of return. The aim of this study is to examine whether calendar effects occur for companies in the food industry and the WIG-food index. More specifically, the article examines the occurrence of such anomalies for 14 companies in the food industry and the WIG-food index. It focuses on the effects of the day of the week, the month of the year and the half of the year. The study covers the period from December 2007 to January 2019, divided into three shorter sub-periods, and uses daily percentage logarithmic return rates. The method applied is a linear regression model, and the data was drawn from the stooq.pl website. The day of the week effect was found for Wawel in the 1st examined sub-period and for Astarta in the 2nd sub-period. The effect of the month of the year was observed for Pamapol and Seko in the 1st sub-period. The effect of the half of the year did not occur for any of the surveyed companies. Particular statistically significant variables indicate the presence of variability over time, both in the case of days of the week and months of the year. What was also observed was diminishing of the above-mentioned effects from period to period.

Energy plays a crucial role in the modern world. The acquisition and consumption of energy is unfortunately associated not only with economic development or the facilitation of everyday life, but also with a negative impact on the environment. To prevent these, measures are being taken which are part of a broad programme referred to as sustainable energy development (SED). A special place among energy consumers is occupied by households, as access to energy is a fundamental factor affecting the quality of life. The aim of this paper is to look at and assess the current situation of the household sector in the EU energy market in the context of SED and to point out similarities and differences between EU countries. The analysis considers factors based on SED indicators: final energy consumption per capita, energy prices offered to households, and the share of renewable energy in household energy consumption. The k-means method was used as a research tool. The results obtained indicate first of all that the EU countries are highly differentiated in terms of the analysed factors. It can be said that these differences result not only from the wealth of a given country, geographical location, or natural possibilities to use renewable energy sources, but mainly from the energy policies implemented in individual countries.