Issue #4 (Volume 13 2016)

This paper aimed to study the interaction and profitability of the five most well-established calendar effects: Halloween effect, January effect, turn-of-the-month effect, weekend effect, and Thai holiday effect. The author found that turn-of-the-month effect (TOM) and weekend effect were the strongest and most profitable effects in Thai stock markets. The equity premium over the sample during 2000–2015 was 4.40 per cent if there was TOM effect or weekend effect, and -2.13 per cent in other cases. This study narrowed down the number of calendar effects from five to two, leading to more effective and less complex summary of different seasonal effects.

Keywords: calendar effects, Halloween effect, holiday effect, January effect, turn-of-the-month effect, weekend effect.
JEL Classification: C12, C22

The aim of the study is to identify the most important factors that influence the funding of Ukrainian NGOs and to determine how managing the changes in these factors can increase the income of NGOs.
The topicality of the research is stipulated by the unsatisfactory state of Ukrainian NGOs and the lack of similar studies in Ukraine. The research was conducted based on the data on the income of Ukrainian NGOs from 2006 to 2013, as well as statistics on macroeconomic indices of Ukraine over the same period. The article provides the research of the impact of indices quantitatively characterizing their activities and indices of GDP according to distribution method on the volume of funding of Ukrainian public organizations.
The authors have revealed that such indices as the number of registered members, the number of companies, institutions and organizations founded and created by the associations of citizens, compensation for hired employees; gross profit and mixed income have the greatest impact on funding. The authors have substantiated that the successful management of these parameters can significantly affect the funding of Ukrainian NGOs: the increase of the “Compensation of employees” parameter and the increase in “Profit and mixed income”, which is one of the priorities of the state, can lead to an almost proportional increase in the income of Ukrainian NGOs. The same result can be achieved by controlling "Number of registered members” parameter. The “Number of companies, institutions and organizations founded and created by the associations of citizens” parameter has the opposite effect on the income of Ukrainian NGOs.

Keywords: NGOs, NGOs incomes, scenario approach, factor analysis.
JEL classification: C61, H41

This paper studies what determines investment in R&D at major automobile companies of Japan and Germany as of from 2001 to 2015. For that purpose, accounting records and OECD and WWID databases were used. Based on regression models of panel data with random effects and fixed effects, some factors considerably influencing upon investment in R&D were found out. Such factors include: the total assets, amount of exports, market share, return on total assets, total revenue, profits and the income share of the wealthiest residents.

Key words: factors of investment in R&D, automobile industry, Japan, Germany.
JEL Classification: G39

This paper evaluates the effect of all European economic news releases on the US financial markets for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news release. Sharpe ratios are examined with the risk of the excess returns being estimated by the flat-top Bartlett kernel estimator of Barndorff-Nielsen et al. (2008) with an optimal (in a finite sample) choice for the number of autocovariances, as suggested by Bandi and Russell (2011). Volatility jumps are detected according to the jump detection scheme of Ait-Sahalia and Jacod (2009).

Keywords: European economic news releases,crisis; macroeconomic variables, Sharpe ratio,jumps.
JEL Classification: G01, G15

Monetary transmission mechanism is a key element of the central bank’s activity, where the asset price channel plays an important role among others. Although in Ukraine it is not used. The viability analysis of this channel implementation in the monetary transmission mechanism of Ukraine is executed and the finding about current unavailability for this is made. However, the perspectivity and necessity of asset price channel implementation in the monetary transmission of Ukraine already today requires the creation of theoretic base appropriate for this. Therefore some propositions on the assets price channel implementation in the monetary transmission mechanism of Ukraine are offered.

Keywords: Central Bank, the asset price channel, monetary transmission mechanism, monetary policy, Tobin’s q effect.
JEL Classification: Е52, Е58

The purpose of this study is to examine the moderating role of independency on the relationship between corporate governance mechanisms and institutional ownership, managerial ownership, independent commissioners, audit committee and the quality of public accounting firm towards the integrity of financial statements. This study used a sample of companies listed on the Indonesia Stock Exchange during in 2014. There were 138 companies that were examined. Moderated Regression Analysis (MRA) was used to test the hypotheses. Results show that independency has a full moderating role on the relationship between institutional ownership, independent commissioners and quality of public accounting firm towards the integrity of financial statements. Independency has no moderating role on the relationship between managerial ownership and audit committee towards the integrity of financial statements.

Keywords: independency; corporate governance mechanism, quality, integrity.
JEL Classification: G34, M41, M48

The author compares the performance, growth, asset mix, risk, operational efficiency, profitability and capital holdings of the 20 largest banks in Japan, the U.S. and Europe from 2003-2015. Total revenue for each set of banks has declined by a full 20% since 2011. European banks are in a multiyear downward spiral, evidenced by dramatic declines in market capitalization, the book value of loans and total assets, and the level of deposits. Japanese bank performance is stagnant compared to Europe and the U.S. Both Japanese and European banks are particularly challenged by persistently lower net interest margins compared to U.S. banks.The percentage of impaired, restructured or nonperforming loans soared for U.S. and European banks post-crisis, but barely rose in Japan. All banks hold more Tier 1 capital than required by the Basel III accord, which has led to profound declines in their net profit margins and return on equity. Modeling the conditional volatility of U.S., Japanese and European banks provides evidence consistent with the idea that U.S. banks continue to exhibit a more robust post-crisis recovery, while Japanese and European banks continue to experience crisis-level conditions. Any evidence that Japanese and European banks have recovered from the financial crisis is fragile at best.

Keywords: commercial banking, bank capital, regulation, risk, stock returns, profits.
JEL Classification: G18, G21

The economic crisis has forced managers of joint stock companies to look for short-term solutions for the sharp changes in stock prices of their companies. Even the companies of the V4 countries are not the exception. The authors have focused on those companies where have been used either reverse stock split or stock split. They analyzed the effects of the reverse stock split or stock splits on the abnormal returns of stocks. In this paper, the authors analyzed a dataset from 1993 until 2015 with 124 reverse stock splits and 184 stock splits in total focused on the stock market in V4. Based on their own research they conclude that when reverse stock splits were used stock returns significantly decreased one day around the announcement date. They conclude that managers of a company might use this instrument to move the stock price back to the optimal trading range outside of the penny stock area. In the case of stock splits, the authors concluded that the use of this tool results in a significant increase in the returns of a stock after the announcement date. However, the results are in contrast to some former studies which found no positive effect on the returns caused by stock splits. The authors conclude that managers of a company might use this instrument to transport information content of future (positive) performance of a company to the traders.

Keywords: Vysegrad group countries, normal stock split, reverse stock split, abnormal returns.
JEL Classification: G11, G23, G32

Purpose - This research was designed to shed light on what is the role played by intellectual capital within firms for the achievement of leadership positions, according to two main perspectives: (i) intellectual capital commitment and (ii) financial/market performances.
Design/methodology/approach - An exploratory study design, involving 10-year data about 45 firms listed on Euronext 100, was devised. Firstly, firms were rated according to their intellectual capital commitment and their financial performances, by gathering indicators from a literature analysis; then, it was developed a new tool, was developed the Positioning Matrix, which is a new business space, where firms can be placed according to the rates received in the first phase. Finally, the authors analyzed all the changes that the sample firms experienced all over the ten years considered.
Findings - Findings showed how companies can get the market leadership by using strategies based on their intellectual capital commitment. It was empirically found that intellectual capital should be considered as a necessary, but not sufficient condition to be recognized amongst the market leaders.
Research limitations/implications - The main limitation of this study is that it is based on an empirical standpoint; therefore, it could be interesting to verify the findings by using quantitative approaches. Since there are no standard ways to disclose intellectual capital information, some companies had to be excluded from analysis.
Originality/value - This work was especially designed for practitioners who could use the Positioning Matrix to (i) figure out how intellectual capital could contribute to get a better position within the market and (ii) have a better understanding of the investments into intellectual capital made by other firms (i.e., competitors, partners, etc.) to get the market leadership.

Keywords: intellectual capital; business performances; financial performance evaluation, Euronext.
JEL Classification: 034, L1

The important role played by the Chinese commercial banks in the development of China’s economy has made the government and banking regulatory authority concerned about the performance of these banks.Indeedthe stability of the banking sector has attracted greater attention since the financial crisis of 2007-2009. The principal objective of this study is to investigate the inter-relationships between profitability and stability in the Chinese banking industry. Using a sample of Chinese commercial banks over the period 2003-2013, the study examines the inter-relationships under an auto-regressive-distributed linear model. Both Z-score and stability inefficiency were used as measures of stability, while Return on Assets (ROA) was used as the indicator of profitability. Different types of Generalized Method of Moments (GMM) estimators including difference GMM, one-step system GMM, two-step system GMM as well as two-step robust GMM were used. In order to the check the robustness of the results, alternative econometric techniques were used, such as ordinary least square (OLS) estimator, between effect estimator, as well as fixed effect estimator. The results show that higher insolvency risk/lower bank stability leads to higher profitability of Chinese commercial banks and also that higher profitability leads to higher bank fragility.

Keywords: bank profitability, bank risk, China.
JEL classification: G21, C23

The article considers the problem of estimating the communication of foreign direct investment, net exports and economic growth. As an example, the Republic of Kazakhstan is taken. Based on the method of calculation of the gross domestic product (GDP) expenditure and using the method of regression analysis, the impact of foreign direct investment (FDI) and net exports to GDP and interaction of FDI and net exports as components of GDP are evaluated.

Keywords: investment, FDI, GDP, net exports, economic growth, correlation and regression analysis.
JEL Classification: А10, C20, C35, E22, F37, F43