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Working Paper Series

2001

  • The Problem of Optimal Exchange Rate Systems for Central European Countries, Volbert Alexander, No. 1/2001.
  • Reaktion des deutschen Kapitalmarktes auf die Ankündigung und Verabschiedung der Unternehmenssteuerreform 2001, Adam Gieralka und Agnieszka Drajewicz, FINANZ BETRIEB.
  • Trading Volume and Stock Market Volatility: The Polish Case, Martin T. Bohl und Harald Henke, International Review of Financial Analysis.
  • The Valuation of Stocks on the German „Neuer Markt“ in 1999 and 2000, Gunter Fischer, FINANZ BETRIEB.
  • Privatizing a Banking System: A Case Study of Hungary, István Ábel und Pierre L. Siklos, Economic Systems.
  • Periodically Collapsing Bubbles in the US Stock Market?, Martin T. Bohl, International Review of Economics and Finance.
  • The January Effect and Tax-Loss Selling: New Evidence from Poland, Harald Henke, Eurasian Review of Economics and Finance.
  • Forecasting the Exchange Rate. The Model of Excess Return Rate on Foreign Investment, Michal Rubaszek und Dobromil Serwa, Bank i Kredyt.

2002

  • The Influence of Positive Feedback Trading on Return Autocorrelation: Evidence for the German Stock Market, Martin T. Bohl und Stefan Reitz, in: Stephan Geberl, Hans-Rüdiger Kaufmann, Marco Menichetti und Daniel F. Wiesner, Hrsg., Aktuelle Entwicklungen im Finanzdienstleistungsbereich, Physica-Verlag, Heidelberg.
  • Tax Evasion, Tax Competition and the Gains from Nondiscrimination: The Case of Interest Taxation in Europe, Eckhard Janeba und Wolfgang Peters, The Economic Journal.
  • When Continuous Trading is not Continuous: Stock Market Performance in Different Trading Systems at the Warsaw Stock Exchange, Harald Henke, No. 3/2002.
  • Redistributive Taxation in the Era of Globalization: Direct vs. Representative Democracy, Silke Gottschalk und Wolfgang Peters, International Tax and Public Finance.
  • Sustainability of Public Finances at the State Level: Indicators and Empirical Evidence for the German Länder, Helmut Seitz, No. 5/2002.
  • Structure and Sources of Autocorrelations in Portfolio Returns: Empirical Investigation of the Warsaw Stock Exchange, Bartosz Gebka, International Review of Financial Analysis.
  • The Overprovision Anomaly of Private Public Good Supply, Wolfgang Buchholz und Wolfgang Peters, Journal of Economics.
  • EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Processes, Maciej Rosolowski und Wolfgang Schmid, Sequential Analysis.
  • Distributional Properties of Portfolio Weights, Yarema Okhrin und Wolfgang Schmid, Journal of Econometrics, 2006.
  • The Present Value Model of US Stock Prices Redux: A New Testing Strategy and Some Evidence, Martin T. Bohl und Pierre L. Siklos, Quarterly Review of Economics and Finance.
  • Sequential Methods for Detecting Changes in the Variance of Economic Time Series, Stefan Schipper und Wolfgang Schmid, Sequential Analysis.
  • Handelsstrategien basierend auf Kontrollkarten für die Varianz, Stefan Schipper und Wolfgang Schmid, Solutions.
  • Key Factors of Joint-Liability Loan Contracts: An Empirical Analysis, Denitza Vigenina und Alexander S. Kritikos, Kyklos.
  • Monitoring the Cross-Covariances of Multivariate Time Series, Przemyslaw Sliwa und Wolfgang Schmid, Metrika.
  • A Comparison of Several Procedures for Estimating Value-at-Risk in Mature and Emerging Markets, Laurentiu Mihailescu, No. 15/2002.
  • The Bundesbank’s Inflation Policy and Asymmetric Behavior of the German Term Structure, Martin T. Bohl und Pierre L. Siklos, Review of International Economics.
  • The Information Content of Registered Insider Trading Under Lax Law Enforcement, Tomasz P. Wisniewski und Martin T. Bohl, International Review of Law and Economics.
  • Return Performance and Liquidity of Cross-Listed Central European Stocks, Piotr Korczak und Martin T. Bohl, Emerging Markets Review.

2003

  • When Continuous Trading Becomes Continuous, Harald Henke, Quarterly Review of Economics and Finance.
  • Volume Shocks and Short-Horizon Stock Return Autocovariances: Evidence from the Warsaw Stock Exchange, Bartosz Gebka, Applied Financial Economics.
  • Institutional Trading and Return Autocorrelation: Empirical Evidence on Polish Pension Fund Investors’ Behavior, Bartosz Gebka, Harald Henke und Martin T. Bohl, Global Finance Journal.
  • Insiders’ Market Timing and Real Activity: Evidence from an Emerging Market, Tomasz P. Wisniewski, in: S. Motamen-Samadian, Hrsg., Risk Management in Emerging Markets (3), Palgrave Macmillan, New York.
  • Financial Contagion Vulnerability and Resistance: A Comparison of European Capital Markets, Dobromil Serwa und Martin T. Bohl, Economic Systems.
  • A Sequential Method for the Evaluation of the VaR Model Based on the Run between Exceedances, Laurentiu Mihailescu, Allgemeines Statistisches Archiv.
  • Do Words Speak Louder Than Actions? Communication as an Instrument of Monetary Policy, Pierre L. Siklos und Martin T. Bohl, Journal of Macroeconomics.
  • Die Aktienhaussen der 80er und 90er Jahre: Waren es spekulative Blasen?, Martin T. Bohl, Kredit und Kapital.
  • Institutional Traders’ Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors, Svitlana Voronkova und Martin T. Bohl, Journal of Business Finance and Accounting.
  • Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Swiching Approach, Jedrzej Bialkowski, South-Eastern Europe Journal of Economics.
  • Instability in Long-Run Relationships: Evidence from the Central European Emerging Stock Markets, Svitlana Voronkova, International Review of Financial Analysis.
  • Exchange Market Pressure and Official Interventions: Evidence from Poland, Szymon Bielecki, No. 12/2003.
  • Should a Portfolio Investor Follow or Neglect Regime Changes?, Vasyl Golosnoy und Wolfgang Schmid, No. 13/2003.
  • Sequential Monitoring of the Parameters of a One-Factor Cox-Ingersoll-Ross Model, Wolfgang Schmid und Dobromir Tzotchev, Sequential Analysis.
  • Consolidation of the Polish Banking Sector: Consequences for the Banking Institutions and the Public, Olena Havrylchyk, Economic Systems.
  • Do Central Banks React to the Stock Market? The Case of the Bundesbank, Martin T. Bohl, Pierre L. Siklos und Thomas Werner, Journal of Banking and Finance.
  • Reexamination of the Link between Insider Trading and Price Efficiency, Tomasz P. Wisniewski, Economic Systems.
  • The Stock Market and the Business Cycle in Periods of Deflation, (Hyper-) Inflation, and Political Turmoil: Germany 1913 – 1926, Martin T. Bohl und Pierre L. Siklos, in: Richard C. K. Burdekin und Pierre L. Siklos, Eds., Deflation: Current and Historical Perspectives, Cambridge University Press, Cambridge.
  • Revision Policy for the Two Assets Global Minimum Variance Portfolio, Vasyl Golosnoy, No. 19/2003.
  • Price Limits on a Call Auction Market: Evidence from the Warsaw Stock Exchange, Harald Henke und Svitlana Voronkova, International Review of Economics and Finance.
  • Efficiency of the Polish Banking Industry: Foreign versus Domestic Banks, Olena Havrylchyk, Journal of Banking and Finance.
  • The Distribution of the Global Minimum Variance Estimator in Elliptical Models, Taras Bodnar und Wolfgang Schmid, Statistics, 2007.
  • Intra- and Inter-regional Spillovers between Emerging Capital Markets around the World, Bartosz Gebka und Dobromil Serwa, Research in International Business and Finance.
  • The Test of Market Efficiency and Index Arbitrage Profitability on Emerging Polish Stock and Futures Index Markets, Jedrzej Bialkowski und Jacek Jakubowski, No. 24/2003.

2004

  • Firm-initiated and Exchange-initiated Transfers to Continuous Trading: Evidence from the Warsaw Stock Exchange, Harald Henke und Beni Lauterbach, Journal of Financial Markets.
  • A Test of the Weights of the Global Minimum Variance Portfolio in an Elliptical Model, Taras Bodnar und Wolfgang Schmid, Metrika, 2008.
  • Testing for Financial Spillovers in Calm and Turmoil Periods, Jedrzej Bialkowski, Martin T. Bohl und Dobromil Serwa, Quarterly Review of Economics and Finance.
  • Do Institutional Investors Destabilize Stock Prices? Emerging Market’s Evidence Against a Popular Belief, Martin T. Bohl und Janusz Brzeszczynski, Journal of International Financial Markets, Institutions & Money.
  • Do Emerging Financial Markets React to Monetary Policy Announcements? Evidence from Poland, Dobromil Serwa, Applied Financial Economics.
  • Natural Shrinkage for the Optimal Portfolio Weights, Vasyl Golosnoy, No. 6/2004.
  • Are Financial Spillovers Stable Across Regimes? Evidence from the 1997 Asian Crisis, Bartosz Gebka und Dobromil Serwa, Journal of International Financial Markets, Institutions & Money.
  • Managerial Ownership and Informativeness of Accounting Numbers in a European Emerging Market, Adriana Korczak, No. 8/2004.
  • Stock index futures arbitrage in emerging markets: Polish evidence, Jedrzej Bialkowski und Jacek Jakubowski, International Review of Financial Analysis.
  • Financial Contagion, Spillovers, and Causality in the Markov Switching Framework, Jedrzej Bialkowski und Dobromil Serwa, Quantitative Finance.
  • Foreign Acquisitions and Industry Wealth Effects of Privatisation: Evidence from the Polish Banking Industry, Martin T. Bohl, Olena Havrylchyk und Dirk Schiereck, No. 11/2004.
  • Insiders and the Law: The Impact of Regulatory Change on Insider Trading, Aaron Gilbert, Alireza Tourani-Rad und Tomasz Piotr Wisniewski, Management International Review.
  • Do Insiders Crowd Out Analysts?, Aaron Gilbert, Alireza Tourani-Rad und Tomasz Piotr Wisniewski, Finance Research Letters.
  • Measuring the Probability of Informed Trading: Estimation Error and Trading Frequency, Harald Henke, No. 14/2004.
  • Discount or Premium? New Evidence on the Corporate Diversification of UK Firms, Rozalia Pal und Martin T. Bohl, No. 15/2004.
  • Surveillance of the Covariance Matrix of Multivariate Nonlinear Time Series, Przemysław Śliwa und Wolfgang Schmid, Statistics, 2005.
  • Specialist Trading and the Price Discovery Process of NYSE-Listed Non-US Stocks, Kate Phylaktis und Piotr Korczak, No. 17/2004.
  • The Impact of Regulatory Change on Insider Trading Profitability: Some Early Evidence from New Zealand, Aaron Gilbert, Alireza Tourani-Rad und Tomasz Piotr Wisniewski, in: M. Hirschey, K. John and A.K. Makhija, Eds., Corporate Governance: A Global Perspective, Advances in Financial Economics, Vol. 11, Elsevier, Amsterdam.
  • Macroeconomic Uncertainty and Firm Leverage, Christopher F. Baum, Andreas Stephan und Oleksandr Talavera, No. 19/2004.
  • Is the Close Bank-Firm Relationship Indeed Beneficial in Germany?, Adriana Korczak und Martin T. Bohl, No. 20/2004.
  • International Evidence on the Democrat Premium and the Presidential Cycle Effect, Martin T. Bohl und Katrin Gottschalk, North American Journal of Economics and Finance.
  • Technological Change, Technological Catch-up, and Capital Deepening: Relative Contributions to Growth and Convergence During 90's. A Comment, Oleg Badunenko und Valentin Zelenyuk, No. 22/2004.
  • The Distribution and Heterogeneity of Technical Efficiency within Industries – An Empirical Assessment, Michael Fritsch und Andreas Stephan, No. 23/2004.
  • What Causes Cross-Industry Differences of Technical Efficiency? – An Empirical Investigation, Michael Fritsch und Andreas Stephan, No. 24/2004.
  • Correlation of Order Flow and the Probability of Informed Trading, Harald Henke, No. 25/2004.

2005

  • Steht der deutsche Aktienmarkt unter politischem Einfluss?, Martin T. Bohl und Katrin Gottschalk, FINANZ BETRIEB.
  • Optimal Investment Decisions with Exponential Utility Function, Roman Kozhan und Wolfgang Schmid, No. 2/2005.
  • Institutional Investors and the Information Content of Earnings Announcements: The Case of Poland, Piotr Korczak und Amir Tavakkol, Economic Systems.
  • Regional Disparities in the European Union: Convergence and Agglomeration, Kurt Geppert, Michael Happich und Andreas Stephan, No. 4/2005.
  • Do Eurozone Countries Cheat with their Budget Deficit Forecasts? Tilman Brück und Andreas Stephan, Kyklos.
  • The Role of Asset Prices in Euro Area Monetary Policy: Specification and Estimation of Policy Rules and Implications for the European Central Bank, Pierre L. Siklos und Martin T. Bohl, No. 6/2005.
  • Trading Behavior During Stock Market Downturns: The Dow, 1915 – 2004, Martin T. Bohl und Pierre L. Siklos, No. 7/2005.
  • The Bundesbank’s Communications Strategy and Policy Conflicts with the Federal Government, Pierre L. Siklos und Martin T. Bohl, Southern Economic Journal.
  • The Relationship between Insider Trading and Volume-Induced Return Autocorrelation, Aaron Gilbert, Alireza Tourani-Rad und Tomasz P. Wisniewski, Finance Letters.
  • The Individual Micro-Lending Contract: Is it a Better Design than Joint-Liability? Evidence from Georgia, Alexander S. Kritikos und Denitza Vigenina, Economic Systems.
  • Tail Behaviour of a General Family of Control Charts, Wolfgang Schmid und Yarema Okhrin, Statistics & Decisions.

2006

  • Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume, Bartosz Gębka, No. 1/2006.
  • Stock Market Volatility around National Elections, Jedrzej Bialkowski, Katrin Gottschalk und Tomasz Piotr Wisniewski, Journal of Banking and Finance.
  • Investment Decisions with Distorted Probability and Transaction Costs, Roman Kozhan und Wolfgang Schmid, European Journal of Operational Research.
  • Multiple Priors And No-Transaction Region, Roman Kozhan, No. 4/2006.
  • Mean-Variance Portfolio Analysis under Parameter Uncertainty, Taras Bodnar und Wolfgang Schmid, No. 5/2006.
  • Institutional Investors and Stock Market Efficiency: The Case of the January Anomaly, Martin T. Bohl, Katrin Gottschalk, Harald Henke und Rozália Pál, No. 6/2006.
  • Allocative efficiency measurement revisited – Do we really need input prices? Oleg Badunenko, Michael Fritsch und Andreas Stephan, Economic Modelling.
  • Statistical Inference of the Efficient Frontier for Dependent Asset Returns, Taras Bodnar, Wolfgang Schmid und Taras Zabolotskyy, Statistical Papers.
  • Political Orientation of Government and Stock Market Returns, Jedrzej Bialkowski, Katrin Gottschalk und Tomasz Piotr Wisniewski, Applied Financial Economics Letters.
  • Econometrical Analysis of the Sample Efficient Frontier, Taras Bodnar und Wolfgang Schmid, The European Journal of Finance, 2008.

2007

  • Corporate Debt Maturity Choice in a Transition Economy, Andreas Stephan, Oleksandr Talavera and Andriy Tsapin, No. 1/2007.
  • Macroeconomic Uncertainty and Bank Lending: The Case of Ukraine, Oleksandr Talavera, Andriy Tsapin and Oleksandr Zholud, No. 2/2007.
  • On the Existence of Unbiased Estimators for the Portfolio Weights Obtained from the Sharpe Ratio, Wolfgang Schmid and Taras Zabolotskyy, AStA - Advances in Statistical Analysis, 2007.
  • An Exact Test on Structural Changes in the Weights of the Global Minimum Variance Portfolio, Taras Bodnar, Quantitative Finance, 2008.
  • Mergers & Acquisitions and Innovation Performance in the Telecommunications Equipment Industry, Tseveen Gantumur and Andreas Stephan, No. 5/2007.
  • Comparison of Different Estimation Techniques for Portfolio Selection, Yarema Okhrin and Wolfgang Schmid, AStA - Advances in Statistical Analysis, 2007.
  • Surveillance of Univariate and Multivariate Linear Time Series, Yarema Okhrin and Wolfgang Schmid, Financial Surveillance, Wiley.
  • Surveillance of Univariate and Multivariate Nonlinear Time Series, Yarema Okhrin and Wolfgang Schmid, Financial Surveillance, Wiley.
  • Estimation of Optimal Portfolio Weights, Yarema Okhrin and Wolfgang Schmid, International Journal of Theoretical and Applied Finance, 2008.
  • Sample Efficient Frontier in Multivariate Conditionally Heteroscedastic Elliptical Models, Taras Bodnar and Taras Zabolotskyy, under revision in Statistics.
  • Was zeichnet erfolgreiche Automobilzulieferer aus – mehr als nur hohe Rentabilität?, Igor Bartkowiak, No. 11/2007.

2008

  • Surveillance of the Risk Behaviour of a Time Dependent Process, Wolfgang Schmid and Svitlana Zabolotska, No. 1/2008.
  • EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes, Maciej Rosołowski and Wolfgang Schmid, Sequential Analysis.
  • Surveillance of the Covariance Matrix of Multivariate Nonlinear Time Series, Przemyslaw Sliwa and Wolfgang Schmid, Statistics.
  • On the Structure and Estimation of Hierarchical Archimedian Copulas, Ostap Okhrin, Yarema Okhrin and Wolfgang Schmid, No. 4/2008.
  • EWMA Control Charts for Monitoring Optimal Portfolio Weights, Vasyl Golosnoy and Wolfgang Schmid, Sequential Analysis.
  • Comparison of Different Estimation Techniques for Portfolio Selection, Yarema Okhrin and Wolfgang Schmid, Advances in Statistical Analysis.
  • Eighty Years of Control Charts, Wolfgang Schmid, Sequential Analysis.
  • Surveillance of the Mean Behaviour of Multivariate Time Series, Olha Bodnar and Wolfgang Schmid, Statistica Neerlandica.
  • New Characteristics for Portfolio Surveillance, Vasyl Golosnoy, Iryna Okhrin and Wolfgang Schmid, forthcoming in Statistics.

2009

  • Why do Firms Switch Their Main Bank? Theory and Evidence from Ukraine, Andreas Stephan, Andriy Tsapin, Oleksandr Talavera, No. 1/2009.