Modeling Volatility in the Stock Markets using GARCH Models: European Emerging Economies and Turkey

Uğurlu, Erginbay; Thalassinos, Eleftherios; Muratoğlu, Yusuf

doi:10.35808/ijeba/49

Cited by 32 publications

(25 citation statements)

References 13 publications

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“…Based on the problems stated and the research gaps which show discrepancies among research result, the researcher is attracted to compose a research with the focus on price to book value through the analysis of their financial performance which are firm size, earnings growth, current ratio, debt to equity ratio, and return on assets (Ugurlu et al, 2014). The sample is taken from basic industry and chemicals firms listed in Indonesia Stock Exchange.…”

Section: Introductionmentioning

confidence: 99%

Financial Performance towards Value of Firms in Basic and Chemicals Industry

Purwanto¹,

Agustin²

2017

ERSJ

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This research aims to empirically prove the significant influences of financial performance towards value of firm. This research chose the population in basic and chemicals industry during the period of 2009-2014. Through purposive sampling and panel data, this research had 60 observations which was obtained through each firm. This research adopted quantitative research with random effect model, which used some analysis methods of descriptive analysis, classical assumption, multiple regression analysis and hypotheses testing. The result was concluded that firm size, earnings growth, current ratio, DER and ROA had partial significant influences towards PBV. Simultaneously, those five independent variables provided 66.594% influences while the rest 33.406% was influenced by other factors. Moreover, firm size was chosen as the most significant factor which influences price to book value.

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Section: Introductionmentioning

confidence: 99%

Financial Performance towards Value of Firms in Basic and Chemicals Industry

Purwanto¹,

Agustin²

2017

ERSJ

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“…Such an approach is applicable for the analysis of some phenomenon without making strong preliminary assumptions about its characteristics, contrary to the panel approach (GMM system). Therefore, pVAR allows for the unobserved heterogeneity of individual panel units (Love and Zicchino, 2006;Ugurlu et al, 2014).…”

Section: Methodsmentioning

confidence: 99%

A Liquidity Redistribution Effect in Intercorporate Lending: Evidence from Private Firms in Poland

Białek‐Jaworska¹,

Faff²,

Zięba³

2020

ERSJ

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Purpose: We examine the mechanism of intercorporate lending outside the business group, and a reaction of capital expenditures (CAPEX) and capital engagement in other firms to shocks in the provision of such loans. We diagnose the causes and effects of intercorporate lending outside the business group. Design/Methodology/Approach: We use panel data from annual reports (balance sheets and income statements) of 4,600 private Polish companies that provided loans to other firms in the period 2003-2014. We apply the vector autoregression panel model for microeconomic data and analysis of Granger causality, impulse response functions, and forecast error variation decomposition to explore the mechanism of intercorporate loan provision. Findings: Non-financial firms provide loans outside the business group through redistribution of their cash holdings generated from operating activity (cash flow) and longterm bank loans. The provision of loans by non-financial enterprises decreases CAPEX, as a result of the absence of free cash flows that were already used for loan provision. Shareholder loans substitute for capital engagement in other firms. Practical Implications: The findings could assist policymakers to notice that emergency borrowings from other companies are being used to defer defaults and introduce a new credit risk into the business sector. Originality/Value: The redistribution effect of cash holdings and money borrowed from banks provided to unrelated firms outside the business group is dangerous for the stability of the financial system due to the risk that these "indirect borrowers" will default.

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“…The business sector, when seeking capital, in the absence or limited possibilities to take out a credit or to obtain funds directly from the financial market, uses indirect instruments in the form of loans and loan guarantees as well as grants and subsidies in the form of projects obtained and co-financed through EU programmes (Živělová et al, 2002;Rossi, 2014;Pociovalisteanu et al, 2010;Ugurlu et al, 2014).…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Do European Union Funds Have an Impact on the Volume of Corporate Lending? The Case of the Czech Republic, Slovakia and Poland

Beata¹,

Dylewski²,

Kalinowski³

et al. 2020

ERSJ

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Purpose: The research problem of this article is to determine the existence of a direct relationship between the EU funds spent and the volume of bank lending in the corporate sector in the Czech Republic, Slovakia and Poland. Design/Methodology/Approach: The statistical analysis aimed to achieve the objective of this study consisted in revealing some interesting associations between the variables: EU funding to individual countries and lending to non-financial companies in the category of short and long-term loans. A linear regression analysis procedure was carried out, and an additional tool to support the course of the study was a relationship analysis measured by the Pearson's product moment correlation coefficient of the individual variables. Findings: The research hypothesis adopted was that EU funds significantly modify the market for credit services offered by banks and, therefore, EU funds have an impact on the volume of bank lending in the corporate sector. The absorption of EU funds, based on the observation of their disbursements in the countries concerned which are members of the Community, demonstrates basically a similar regularity. This is consistent with the process of the implementation of programmes under particular EU perspectives. However, EU funding for the Czech Republic and Slovakia has a similar structure, and it can be seen that an increase in funding is in line with a decrease in lending (short-term loans) while this phenomenon does not occur in Poland. Practical Implications: The research results can be used by EU funds disposers as well as by banks authorities to create their future policy. Originality/Value: Original research.

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Modeling Volatility in the Stock Markets using GARCH Models: European Emerging Economies and Turkey

Cited by 32 publications

References 13 publications

Financial Performance towards Value of Firms in Basic and Chemicals Industry

Financial Performance towards Value of Firms in Basic and Chemicals Industry

A Liquidity Redistribution Effect in Intercorporate Lending: Evidence from Private Firms in Poland

Do European Union Funds Have an Impact on the Volume of Corporate Lending? The Case of the Czech Republic, Slovakia and Poland

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