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Systematic risk factors and stock return volatility
61-70Views:425This study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Systematic risk factors used in this study are industrial production, real interest rate, inflation, money supply and exchange rate from 2000-2014. Results indicate that there exists relationship among the volatility of macroeconomic factors and that of stock returns in Pakistan. The relationship among the volatility of macroeconomic variables and that of stock returns is bidirectional; both affect each other in different dynamics.
JEL code: C32, C58, G11, G12
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Automated valuation model for livestock appraisal in loaning practice
37-42Views:99Actualization of loan security (mortgage) value is of major importance in Hungarian loaning practice. Due to the recession in economics, the value of agricultural portfolio of banks has decreased a great deal, though not to such a great extent as other branches of the economy. Depreciation of estate stock is compensated with additional collateral security. Besides other stock, often temporarily and out of necessity, livestock is presented as additional collateral security. From the loaners’ point of view, however, the registered inventory value does not guarantee security. The authors have set up an appraisal method giving professional guidance through automated valuation as to how dairy stock can be used as mortgage for loan security. Hereby we are to present the details of both the theory and the methodology of a model that is appropriate for the valuation of dairy livestock on an MS Excel basis. Thus, the process is fast and has more prospects for all parties in the loaning or leasing business. The method involves the features of livestock technology, the expected realized profit, and breed stock value. By the implementation of this method, the loaners can calculate the value of loan recovery (loan to value) with acceptable security.
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Note on simple and logarithmic return
127-136Views:652In this paper we describe and clarify the definitions and the usage of the simple and logarithmic returns for financial assets like stocks or portfolios. It can be proven that the distributions of the simple and logarithmic returns are really close to each other. Because of this fact we investigate the question whether the calculated financial risk depends on the use of simple or log returns. To show the effect of the return-type on the calculations, we consider and compare the riskiness order of stocks and portfolios. For our purposes, in the empirical study we use seven Hungarian daily stock prices and for the risk calculation we focus on the following risk measures: standard deviation, semivariance, Value at Risk and Expected Shortfall. The results clearly show that the riskiness order can depend on the use of the return type (i.e. log or simple return). Generally, often – due to missing data or the nature of the analysis – one has to use approximations. We also examine the effect of these approximations on the riskiness order of stocks and of portfolios. We found differences in the riskiness order using exact or approximated values. Therefore, we believe, if this is possible, exact values instead of approximated ones should be used for calculations. Additionally, it is important that one uses the same type of return within one study and one has to be aware of the possible instabilities when comparing return results.
JEL Code: C18
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Agricultural development and government expenditures in the new EU countries
21-35Views:128The main ambition of this paper is to analyse agricultural developments in selected new EU member states with particular emphasis on government expenditures in agriculture. The main objective is to identify the relationship between government expenditures development on one side, and agrarian sector performance (the value of production) in selected member states on the other. The conclusions drawn from this analysis are that the agricultural sector has changed its structure and position within the national economy of selected new EU member states significantly in the 20 years since the early 1990s. Member states included in the analysis reduced both the size of their agricultural sector (number of people working in agriculture, total arable areas, number of animals, etc.), and the value of agricultural output. Despite the significant reduction of the agricultural output, member states became more efficient – and in particular their productivity per farmer increased significantly. Selected country’s agricultural sector, its structure and production value development are closely related to government expenditures. Significant correlation is apparent between agricultural government expenditures and the change in the number of economically active persons in agriculture, development of agricultural production, agricultural area, agricultural GDP and agricultural capital stock. Regarding the elasticity of new EU member states’ agricultural sector in relation to changes in government expenditures, significant elasticity is apparent in the case of the number of economically active persons in agriculture, agricultural production (especially livestock production), area of arable land, agricultural GDP and capital stock.
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Hungarian spirits pálinka as a “Hungaricum” I. Literature review and practical approaches
133-141Views:247The history of alcoholic distillation dates back over thousands of years. Spirits arrived in Hungary by the mediation of foreign countries, and were used as medicine in the royal court already in the XIV. Century. The first written presence of the pálinka as a word originated in Debrecen (1572). The quality and alcohol degree of these drinks were increased continuously, and rose to ’Hungaricum’ rank due to several factors such as the quality of the fruit stock grown in our country, the technical development of distillers and several centuryold professional experience. Mitterpacher, who distinguished the main parts of the equipment, reviewed the determination methods of alcohol content, and made a proposal for coating the inner surface of the cauldron with tin in favour of the preparation of the high quality product, played an important role in the establishment of the literature of pálinka distillation. Subcontract distillation, considered as an individual peculiarity in the European Union, developed during a long time in Hungary. It was facilitated by the regulation of distillery plants allowing the operation also for private persons from 1983. The fame of Hungarian national drink increased greatly when the meaning of pálinka was defined punctually: those drinks could be called ’pálinka’, which had 100% fruit content containing no additives, prepared in Hungary and their alcohol content was at least 37.5%.
According to conservative evaluation, more than 50% of the Hungarian adult population consumes pálinka occasionally. The majority of the adult population believes that a small amount of pálinka is good for health; many people use it for the alleviation of toothache, sore throat and stomachache. Pálinka has a mood-enhancing impact at social parties and pleasant family events, if consumed in moderation. This paper is an overview of the history of Hungarian pálinka. This is the first part of the article. In the second part we analyze cost-benefit circumstances, and we also deal with the main problematic issue, namely the effect of tax-free production in Hungary and in the European Union. -
Determinants of dividend payout policy: An empirical study of banking sector of Pakistan
101-106Views:378One good way to communicate financial performance of a bank to its shareholders is the payment of dividend. The present study is attempted to explore the influence of financial efficiency, safety, risk and profitability on dividend policy using panel data of 10 commercial banks listed at Pakistan Stock Exchange (PSX) for a period of 9 years between 2006 to 2014. The panel regression technique is used to analyze the data. The analysis shows a positive relationship of dividend payout ratio with safety and profitability in banking sector of Pakistan. The study identifies a negative association of dividend payout measure with financial efficiency and risk. The results show the statistically significant association of safety, risk and profitability with dividend payout ratio. Based on these findings it is concluded that safety, risk and profitability measures are relatively strong measures for defining dividend policy. The results are strongly indicating that safer the banks, the greater payout ratio the bank has. Moreover; banks with higher profitability and lower non-performing loans (NPLs) are believed to pay more dividends.
JEL code: G21, G23, G35
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Some possibilities for risk analysis in the decision support of crop production
79-85Views:118This article has been made according to my dissertation in which I present some opportunity of risk analysis and risk management in the decision support of crop production. Plant production is one of the most hazardous agricultural enterprises. Among risk sources seasonal fluctuation of average yields plays an important role in the assessment of enterprises. Therefore, I analyzed the production risk of the produced crops in Hungary compared to the European Union’s, after that I took into consideration the production site’s circumstances as well. Decision-makers must possess such means, by which they can measure, oversee and manage the effects and consequences of risk. In crop production linear programming models can be used to determine the optimal crop structure, by which income-sensitivity can be taken into account, but it does not reflect the behavior to risk. This deficiency can be avoided by using risk programming models. By the complementary usage of linear programming and risk programming models the optimizing and adaptive planning can be executed. It often causes a problem for the producers to decide when and how much to sell to realize a maximum turnover. The decision is mostly influenced by the selling prices, but also important factors are the financial status of the business, the amount of credit and its conditions, the stock piling opportunities and costs, and the short-term investment opportunities as well. For the resolution of the problem I set up a dynamic, simultaneous financial model by which the system-conceptual analysis of the above mentioned factors and a sound decision-making can be executed.
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The Position Losing of Animal Husbandry in Agriculture
63-66Views:59The author in the presentation deals with the fact that what caused the decline of animal husbandry in contrast with plant production; how this unfavourable ratio of 60:40 could evolve when comparing plant production and animal husbandry What the reason is for the decreasing animal stock; and how the effect of changes in the elements of the economic efficiency such as yields, prices, subsidies, production value, inputs, costs, profits can be evaluated in case of more important animal husbandry enterprises highlighting several significant animal products.
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Structured commodity finance
77-83Views:171Over the past years, the financial stock market – providing the capital demand that is the result of stockpiling and the characteristic strong seasonality observed in the agricultural sector – has increasingly grown and become more “used” by market participants. Its size had reached an annual value of 200 billion HUF, of which agricultural products had received the largest proportion through the various market participants (producers, integrators, traders, feed producers, mills). In the meantime, this market had become part of the competition between the commercial banks that are the largest financers of the sector, due to which the financing credit institutions had undertaken increasing risk levels, with respect to both degree of financing and the VAT financing related to stockholding. The practice of commodity financing by banks display a rather varied picture at present. Considering the exceptional degree of fall in prices and the actions of companies totally disregarding business ethics in 2008, it seems necessary to reveal the full scope of risks inherent in commodity financing. The primary aim of such an exercise is to ensure the prudent operation of refinancing activities for commercial banks. The inherent risks in trade financing – as has been proven by the experiences of previous years – are not found primarily in the goods themselves, but rather at the actual storage facility and also emerge in relation to clients, as well as the inadequate and ineffective risk management of price volatility by the financers. Therefore, the establishment of banking risk management and risk prevention techniques, including the development of new financing procedures become indispensable, minimizing all types of risks that had emerged in previous years.
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Subsidies are Potential Sources of Profitable Management – Their Payment Between 2010 and 2016
97-120Views:167Based on the allocations and distributions of subsidies in the sheep sector in the previous years (2004-2009), the authors examined the sum of aids claimed and paid from 2010 to 2016 and their farm-size related changes. The following data were collected from the Agricultural and Rural Development Institute on payments under specific subsidy titles, classified by sheep and goat farm sizes: 0-50; 51-100, 101-200, 201-300 and also 0-100, 101-300, 301-500, 501-1000, 1001-5000 and above 5000. Data procession was carried out by the SPSS for Windows 22 program. The size and population of the examined sheep sector underwent visible changes during the studied years leading to a reduction rather than growth. Their analysis highlights that size distribution of sheep farms has changed significantly in recent years, combined with simultaneous modifications of their sheep stock sizes in production. Their conclusions suggest that effects of years and farm sizes in the sheep and goat sector have considerably modified the aid sums paid under different titles.
JEL Classification: H5, Q14
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