Level Of Return Research Articles

The interaction between volatility and high frequency trading

In this study, we explore the linkage between high frequency trading activity and market volatility. Though the findings of existing studies for this topic until now are rather inconclusive, they agree with the impact HFT exert to volatility. In our design, we take advantage of the trading activity to predict real time trading. We use the VIXY which is an ETF of VIX and focuses on short term performance, finding that the ask side of high frequency trading activities has far more significant predictability for both the level of VIXY and return of VIXY, while the bid side seems to be trivial.

СВІТОВИЙ ДОСВІТ ВПРОВАДЖЕННЯ АРМ В УПРАВЛІННЯ ПІДПРИЄМСТВАМИ ЦИВІЛЬНОЇ АВІАЦІЇ

Objective. The study is devoted to determining the features of the global experience of using WA for the management of civil aviation enterprises, which will ensure an increase in the efficiency of operations, reduce the costs of managing cases due to the automation of information processing processes, ensure reliable accounting and control of information at all levels of management, and increase the efficiency of data exchange between individual units , branches and central office. Methods. The research uses methods of analysis and synthesis in order to substantiate the theoretical provisions of the use of WA and information technology as an element of increasing the efficiency of management of civil aviation enterprises. Automation methods of WA from the company SITA, CHAMP Cargo systems, Aviareto, CertiPath. The complex system of using WA as a general information management element of the enterprise in the field of civil aviation is substantiated. Results. In order to improve the quality of service to consumers of air transport services, airlines and especially airports need to regularly introduce advanced information systems and technologies into the organizational process of providing air transportation. The international company SITA is the world leader in the field of information and telecommunication solutions for the air transport industry. SITA provides comprehensive services to airlines, airports, government entities and global distribution systems, providing access to a large telecommunications network and providing consulting services for the development, implementation and integration of technological solutions. Among the applications and services intended for airlines and airports are passenger registration systems and integrated baggage management systems, air traffic management systems, communication systems with ground services, as well as distribution and fare management systems. Scientific novelty. The system of adaptation of WA, in accordance with world practice, to the activity of civil aviation entities of Ukraine has been substantiated. Practical significance. It was established that the WA system contributes to the combination of these features within the framework of one integrated program. It is based on a single database, so all units/departments will be able to freely share information, communicate with each other, etc. It has been proven that this integrated approach to the introduction of WA into the practice of civil aviation enterprises using world experience will ensure a high level of return in the future, especially if it is correctly installed and used. Keywords: aviation enterprise, automated workplace (WA), civil aviation industry, management.

Папилломавирусная инфекция и беременность. Опыт применения комбинированной терапии на прегравидарном этапе

In the recent decades, the incidence of viral urogenital pathology increases, with papilloma viral infection (PVI) dominating in the structure of such diseases. The occurrence and development of PVI-associated pathology, the severity and probably outcome directly depend on the immune status and the body ability to react to the pathogen. PVI may constitute a serious problem during pregnancy, which determines the need to examine and treat women at the stage of its planning. Regardless of the technique of destruction of anogenital warts, the probability of the pathology return remains high, sometimes reaching 60%. The use of Imunofan in complex therapy of women with repeated anogenital papilloma viral pathology showed its high efficacy, which is characterized by a high percentage of virus elimination, a low level of return, an activation of the antiviral immunity system, and a good tolerance to treatment.

Перспективы расширения посевных площадей в регионах России за счёт ввода в оборот неиспользуемой пашни

The problem of ensuring the country’s food security, which has recently become particularly acute, involves accelerating the search for reserves for the growth of agricultural production, one of such reserves is unused agricultural land. Therefore, in view of the strengthening of international sanctions against Russia and the adoption of a state program for the effective involvement of agricultural land in the turnover, the author’s approach to ranking regions according to the degree of prospects for large-scale expansion of acreage due to the introduction of unused arable land into circulation is proposed. Based on the results of calculations of resource and financial indicators of agricultural development in regions with large areas of unused arable land, an assessment of the potential of the regions was made on the possible level of efficiency of the use of arable land put into circulation, so that additional measures of financial and organizational support for these regions had the maximum level of return in the form of high growth rates of gross agricultural output. The article emphasizes that agriculture in only 22 regions has sufficient conditions and opportunities for effective development after large-scale involvement in the turnover of unused arable land, but subject to mandatory state support, without which it is impossible to bring individual economic and production indicators of the agricultural sector of individual regions to an acceptable level.

Leverage and financial performance of listed pharmaceutical enterprises in Nigeria

This study evaluated the association between leverage and financial performance of listed pharmaceutical companies in Nigeria. Specifically, the study ascertained the association between long-term debt and returns on assets of listed pharmaceutical companies in Nigeria. The study was an ex-post facto design. Data for the study was secondary data obtained from published financial statements of the companies between 2015 and 2020. Data was analysed with the use of multiple regression analysis. Findings of the study revealed that long term debt and return on assets have positive moderate relationship. The study concluded that long-term debt and return on assets have favourable correlation on the studied companies. It was however, recommended that, pharmaceutical companies should obtain some level of long-term obligation since it yields adequate level of returns, among others.

Efficiency of banks in Croatia

Croatian banking sector amounts to the majority of its financial sector. Therefore, it is necessary that Croatian banks operate efficiently. In the past two decades, the Croatian banking sector went through a consolidation process that steadily decreased the number of banks and allocated the majority of assets and market share to a few large banks. A simple definition of efficiency is cost minimization and profit maximization. Therefore, a bank is efficient when it strives to minimize its costs while maximizing its profits. This paper aims to estimate efficiency of Croatian banks using the DEA methodology within the period 2014-2019. In addition, the performance indicators (return on assets, return on equity) calculated for the same period aim at comparing performance indicators to efficiency results. The results indicate that larger banks are generally more efficient in operating on the frontier. And, in comparison to performance indicators, they achieve higher levels of returns on assets and equity. Furthermore, some small banks tend to be efficient, while the benefits of being a medium bank are inconclusive since the results reveal that some medium banks have below average efficiency. Overall, average efficiency improved in the observed period, which means that the consolidation process of financial institutions creates large and efficient banks.

Оценка ресурсного потенциала сельскохозяйственных организаций Курганской области

Abstract. The purpose of the research is to comprehensively assess the resource potential of agricultural organizations in the Kurgan region to form the trajectory of their development and determine the contribution to agricultural production in the region. Methods. The study was based on the use of statistical and econometric methods for collecting, processing, modeling data. It is based on the assessment of the use of the following functional components of the resource potential: land, material and technical, personnel, innovation and financial. At the same time, the dynamic assessment for each subspecies of the resource potential gives an idea of the trend in the volume and level of resource use, and the stochastic assessment – to identify the relationship between the indicators of resource investment and their return. Results. The presented assessment of the existing relationships between the quantitative and qualitative indicators of the resource potential and its subspecies indicate, on the one hand, an acute shortage of certain types of resources, and, on the other hand, an increasing intensity of their use without a proportional level of return. The study allows us to conclude that it is necessary to develop levers for managing the resource potential of agricultural organizations based on the symbiosis of the needs of agricultural producers and the territory in which they operate. Scientific novelty. The research methodology allows combining several methods of assessing (dynamic and stochastic) in achieving the final result, as well as assessing the elasticity between the general level of resource productivity of agricultural organizations and indicators of the efficiency of using the main types of resources. This approach makes it possible to form a sequence of actions to ensure an increase in the level of development and use of the resource potential of agricultural organizations.

МОДЕЛІ ПОВЕДІНКИ ІНВЕСТОРІВ НА ФІНАНСОВОМУ РИНКУ

The article summarizes the approaches to the formation of the model of investor behavior and identifies the cause and effect relationships between the actions of individual financial market players, highlights their sustainable priorities and irrational components of behavior, as well as market conditions and experience. It is argued that in unstable conditions the behavior and opinion of individual investors is transformed into collective behavior and market sentiment on the basis of which stable advantages of investors are formed: macroeconomic status, market maturity, political and social structure, values, quality of life, human capital. The characteristics of the investor behavior model that take into account both sustainable priorities and the irrational component are presented, and a detailed classification of investor behavior models is proposed. The Asian, Islamic, Latin American and post-Soviet models are singled out and characterized, the similarities and differences between them are highlighted. It is proposed to understand the model of investor behavior as sustainable benefits (risk, expected levels of return, liquidity, propensity to invest in certain financial instruments) and the consequent consistent actions of market players, as well as a set of factors that explain it, including expectations moment of time. It is substantiated that the behavior of investors is also explained by the irrational component (anomalies, stress response, etc.). It is proved that emerging markets are more volatile than developed ones, are in a state of instability and a significant manifestation of the irrational component, which must be taken into account when assessing their behavioral characteristics. The Asian, Islamic, Latin American and post-Soviet models are singled out and characterized, the similarities and differences between them are highlighted. It is established that the Latin American and post-Soviet models of investor behavior are similar in the following characteristics: low risk tolerance, high income orientation, prominent role of the banking system, concentration of property, behavioral anomalies, manipulation and corruption, high collectivism.

Pengaruh Volume Perdagangan, Laba Akuntansi, dan Profitabilitas Terhadap Return Saham Syariah Dimoderasi Pengungkapan ISR

The level of profit obtained by investors on a stock investment that they dois known through stock returns. A stock return can be influenced by severalfactors, one of which is the trading volume of its shares, the level of profit thatcan be known through the company's performance by analyzing accountingprofits and the level of Return on Equity (ROE). In addition to this, the disclosureof Islamic Social Reporting (ISR) activities can have an impact on the company inthe future. The populations in this research are companies listed in JakartaIslamic Index (JII) in period of 2016-2019. The sampling technique was carriedout using purposive sampling method and based on the criteria that had beencarried out, the number of samples obtained was 12 samples of companies.Testing the research hypothesis used multiple linear regression analysistechniques and Moderating Regression Analysis (MRA) with the help of SPSS 21software. The results of this study indicate that the variables (1) trading volumehas an effect and significant on sharia stock returns (2) accounting profit has noand no significant effect on sharia stock returns (3) Profitability proxied byReturn on Equity (ROE) has no and no significant effect on sharia stock returns(4) ISR disclosure is not able to moderate the effect of trading volume, accountingprofit and profitability on sharia stock returns.

Using Artificial Neural Networks to Support the Decision-Making Process of Buying Call Options Considering Risk Appetite

During the COVID-19 pandemic, uncertainty has increased in many areas of both business supply and demand, notably oil demand and pricing have become even more unpredictable than before. Thus, for companies that buy large quantities of oil, effective oil price risk management is crucial for business success. Nevertheless, businesses’ risk appetite, specifically willingness to accept more risk to achieve desired business benefits, varies significantly. The aim of this paper is to deepen the analysis of the effectiveness of employing artificial neural networks (ANNs) in hedging against oil price changes by searching for buy signals for European WTI (West Texas Intermediate) crude oil call options, while taking into account the level of risk appetite. The number of generated buy signals decreases with increasing risk appetite, and thus the amount of capital necessary to buy options decreases. However, the results show that fewer buy signals do not necessarily translate into lower returns generated by networks in a given class. Thus, higher levels of return on the purchase of call options may be obtained. The conducted analyses clearly proved that ANNs can be a useful tool in the process of managing WTI crude oil price change risk. Using the analyzed network parameters, up to 29.9% of the theoretical maximum possible profit from buying options every day was obtained in the test set. Furthermore, all proposed networks generated some profit for the test set. The values of all indicators used in the analyses confirm that the ANNs can be effective regardless of the level of risk appetite, so in this respect they may be described as a universal decision support tool.

Развитие промышленности Юга России в условиях коронакризиса

The coronavirus pandemic caused significant damage to the economy of the regions. The comprehension of the impact of pandemic on industrial development of the territory is the goal of many scientific studies. The purpose of this article is to identify trends in the development of certain industrial sectors in the South of Russia and to suggest managerial measures arising from the experience of the COVID-19 pandemic. The study was founded on monitoring data from the Federal Service for State Statistics of Russia. The object of the research was the old industrial regions in the South of Russia. During the study, it was determined that at the beginning of the pandemic, the economy of the regions under analysis was characterized by a low potential for innovative development and a low level of return on assets. With a high demand for digital technologies, they have become most widespread in the automation of internal business processes of enterprises. The impact of the COVID-19 crisis on individual sectors of industry turned out to be multidirectional. The most affected industrial sector was oil production. The economic growth was demonstrated by enterprises of agricultural engineering, metallurgy and a number of others. It is shown that the recovery of industrial production is complicated by a low level of development of its material and technical basis; high import dependence of production on components, raw materials, spare parts; high competition from foreign market players; shortage of human capital. It is concluded that industrial ecosystem structures are the drivers of economic growth in the conditions of the pandemic. Management recommendations which are aimed at the development of industrial ecosystems are provided. They are focused on the environmental component of industrial production, development of cooperative business interactions to maintain the sustainability of the supply chain, digitalization of business processes with the simultaneous development of smart competencies of personnel, import substitution production and focus on the domestic market.

FORECASTING THE EFFECTIVENESS OF THE USE OF MEANS OF LABOR ACCORDING TO TREND MODELS

The main purpose of this article is to forecast the effectiveness of the use of fixed assets to improve the effectiveness of the technical potential of the business entity. The scientific article considers the process of predicting the effectiveness of the means used for labor by extrapolation. The analysis of the level of capital effectiveness of the business entity is carried out and its forecasting based on polynomial dependence is carried out. During the study period, the effectiveness of the means used for labor has an ambiguous trend. The worst situation is observed in 2013 when the level of return on assets is the lowest, but by 2015 its value is gradually increasing, then decreasing, in 2017 increasing, and then decreasing again. The largest increase in return on assets took place in 2019, but in the reporting, year compared to the previous year, its level decreased again. Therefore, it was necessary to identify factors that would improve the effectiveness of labor. Five factors were selected (the share of the active part of fixed assets, the ratio of fixed assets, technical capital, labor intensity, the share of workers in the workforce), which have a significant impact on the level of effectiveness of fixed assets. Since the constructed models are adequate in terms of the coefficient of determination and Fisher's criterion, the forecasting is carried out in terms of trend models. This allowed to determine the influence of the time factor on the change in return on assets and the factors that significantly affect its change. The results of the forecast show a further stable increase in return on assets, both in terms of its actual and estimated value. Thus, the effectiveness of the means used for labor of the production enterprise is realized through the systematic management of the business entity to improve the effectiveness in the production process of its technical potential. Keywords: means of labor, capital effectiveness, forecasting, extrapolation method, effectiveness of means used for labor, trend model.

Impact of the Electronic Trading on the Stock Prices of Jordanian Listed Companies

The development of economies has been significantly hampered by inadequate financing. The introduction of securities exchanges is considered as a key strategy for improving access to financing for organizations. The introduction of electronic trading systems in these markets is meant to enable them take advantage of technology and improve access to financing for listed companies. However, the system may have the adverse effect of increasing the level of stock price volatility. A quantitative study using data collected from the ASE is undertaken here. The increase in price volatility for the industrial stocks in the ASE was not statistically significant. The mean returns for the shares were similar in the period before and after the introduction of the system. The findings indicate that the electronic system increases the level of transparency in the market and improvement in efficiency is not accompanied by a change in the price volatility. It was expected that the change in market liquidity and portfolio flows would influence price changes in the market. This was not the case and it may be an indication that the level of returns in the market did not significantly increase.The market returns for the stocks of industrial listed companies are calculated. Using independent samples tests, the returns are evaluated for a period of 5 years before and after the introduction of the system.

Faktor–Faktor Yang Memengaruhi Tingkat Solvabilitas Perusahaan Asuransi Di Indonesia

The purpose of this study is to obtain and analyze empirical evidence about the effect of profit rate, return on investment and risk retention on the level of solvency of insurance companies in Indonesia from 2017 to 2019. Sample was selected using purposive sampling method and the valid data was 38 company. The data used are from financial reports published on the official websites of each company used in this study. Data processing techniques using multiple regression analysis what helped by E-views 11 and Microsoft Excel 2016. The results obtained, indicate that the profit rate has a significant and negative effect on the level of solvency and investment return have a significant and positive effect on the level of solvency. Meanwhile, the risk retention has no significant effect on the level of solvency. The implication of this study is the need to increase the role of the board of commissioners and ownership to increase social responsibility activities that will increase the firm value which will bring a good signal for investors.

Reverse Logistics in Polish Commercial Companies from Economic and Management Perspective

Purpose: The aim of the article is to present the essence of reverse logistics from the perspective of theoretical concepts and determinants implying its development. The subject of reverse logistics in terms of product flows will also be discussed. Design/Methodology/Approach: The article is based on the analysis of the literature, the results of secondary research and own research carried out in 2017, 2019 and 2021 among online stores in Poland. Findings: The issue of reverse logistics is becoming increasingly important as the development of e-commerce and Industry 4.0 progresses, as well as in the times of the coronavirus pandemic, when consumers massively use the possibility of online shopping. It should be emphasized that returns and complaints are an inherent element of e-commerce business, and also constitute a competitive advantage factor. This research shows that the level of returns recorded by Polish company in the analyzed period is stable, and the factors determining it are the same as those defined globally. Therefore, a question arises about the further development of this area in Poland its determinants in the future. Practical Implications: Reverse logistics of B2C is a big challenge for companies, which is subject to adaptation to their internal and external environment. Assuming that the dynamics of the trade growth as well as e-commerce will continue, it is necessary to observe the emerging trends. This is desirable from the point of view of businesses and customers. Originality/Value: The article and the research carried out refers to an important topic, which is reverse logistics. It was presented with the example of Polish trading companies. It focuses on the aspects that create the atmosphere for this phenomenon. At the same time, attention was drawn to the global dynamics of the reverse logistics market, which is determined by the development of the e-commerce industry, government regulations of individual countries, as well as restrictions related to the Covid-19 pandemic.

Volatility Factors of Returns and Risk Analysis Using Quantile Risk Measures in the Gold and Silver Market

The aim of the paper is to identify unobservable factors that may significantly determine the level of gold and silver returns and to assess the risk of investment in these metals. To measure risk, the value at risk and other, less popular measures are used: the ES, MS, Rachev ratio and GlueVaR risk measure. Normal and Student’s t‑distributions are used as theoretical distributions. The results of the study show that we can identify latent factors based on observable variables that have a significant impact on the level of gold and silver returns. In addition, it was observed that the risk measures would vary depending on the period of research. It was shown that the estimates of the risk measures using Student’s t‑distribution have a lower estimation error than those based on the normal distribution.

Understanding the economic barriers to the adoption of agroforestry: A Real Options analysis

Agroforestry has a potentially important role in helping agriculture address both the climate and biodiversity crises. It provides a means of producing additional marketable goods from agricultural land and enhancing biodiversity at the same time as increasing carbon sequestration and, in silvo-pastural systems, reducing carbon emissions if livestock stocking rates are reduced. However, the uptake of agroforestry in the UK has been limited. This paper adopts Real Options techniques to explore how the decision to adopt agroforestry is influenced by the relative levels of returns from agriculture, forestry and the price of carbon under the scenario where there are financial penalties from livestock Greenhouse Gas (GHG) emissions, financial benefits from carbon sequestration in trees and reversibility in land use decisions. The results are compared to the equivalent findings from a Land Equivalent Value capital budgeting approach to agroforestry adoption. Analysis is based on data from a case study upland livestock farm in Scotland, comparing the impacts of introducing agroforestry into the hill sheep enterprise or the low ground cattle and sheep enterprise. The results suggest that the adoption of agroforestry is far less likely than would be suggested by standard budgeting approaches, especially in more extensive upland enterprises (hill area) where sequestration benefits are low relative to more productive farmland areas (low ground area). Upfront support payments are shown to increase the likelihood of agroforestry adoption. They also have the effect of reducing the rotation length of forestry in such systems.

The Analysis of Optimal Portfolio Formation: The Evidence from LQ-45 during the Covid-19

The purpose of this research was to determine the shares of the LQ 45 index members that can form an optimal portfolio during the one year of the Covid-19 pandemic, and to determine the proportion of each selected stock as well as the level of return and risk of the resulting portfolio. The method used is the Single Index Model approach. The results of the analysis show that using the Single Index Model approach, the shares of the LQ 45 Index members for the period April 2020 to March 2021 which can form an optimal portfolio consist of: ERAA of 0.3065, INKP of 0.217, ANTM of 0.216795, TKIM of 0.108794, PTPP is 0.058829, INCO is 0.064533, and BBTN is 0.027549 © Review of International Geographical Education

Managing risk and uncertainty in systematic conservation planning with insufficient information

Abstract Recent advances in systematic conservation planning make use of modern portfolio theory (MPT)—a framework to construct and select optimal allocation of assets—to address the challenges posed by climate change uncertainty. However, these methods are difficult to implement for fine‐scale conservation planning when the information on future climate scenarios is insufficient. Insufficient information makes the estimators of the key inputs in the optimisation procedure unreliable leading to technical problems for the construction of optimal asset allocation. We identify three statistical methods—constant correlation model, the Ledoit–Wolf approach and the weighted non‐negative least‐squares approach—that can overcome the lack of sufficient information and enable the use of MPT for fine‐scale conservation planning. We illustrate the use of the three methods for identifying efficient portfolio allocation strategies, that is, strategies that give minimum amount of risk for a chosen level of return or maximum return for a chosen level of risk, using case studies of wetland conservation planning in North America and coastal conservation planning in Australia. We compare conservation planning strategies with complete information using standard portfolio theory and with insufficient information using the three methods to highlight their advantages and disadvantages. We find the Ledoit–Wolf and weighted non‐negative least‐squares approaches perform well and can identify risk‐return outcomes that are close to those identified with complete information. The methods presented in this study broaden the range of cases where the application of MPT is possible in conservation planning to enhance its uptake and lead to more efficient allocation of conservation resources.

Influence of Renewable "Green" Energy on the Economic Development of the EU States

This article reveals the economic importance of solar energy development in the European Union in recent years. It defines the structure of energy consumption in EU countries. This structure allows us to determine how much income energy companies receive from solar electricity consumption by the population and industry. The article determines that solar energy is essential for the countries. Therefore, like any other sectors of the national economy, it forms the gross domestic product. In addition, energy companies pay taxes to the budget, which shows the economic importance of solar energy development, comparing state investments with tax revenues. The research aims to show the financial importance of solar energy for the state, i.e., how much income the state will receive in the budget by supporting solar energy development. To achieve the goal, methods of economic analysis and economic-mathematical modeling were used. They allowed confirming the hypothesis about the feasibility of investing in solar energy in European countries. The research is based on the statistical materials of 2014-2019 on the generation of solar energy, investments in it, and state budget revenues from the taxation of produced solar power. This study proves for the first time that an increase in solar energy production is beneficial to the state, despite the low level of return on investment in the construction of solar power plants by the state. Based on economic and mathematical modeling results, a linear dependence was built, which allows forecasting the volume of tax revenues from the construction of solar power plants and electricity prices. Thus, the hypothesis about the economic feasibility of investing in solar power is confirmed.