Timotej Jagric

Does the efficient market hypothesis hold? Evidence from six transition economies

In this paper, a wavelet analysis of long-range dependence (LRD) based on the Hurst exponent is presented. An estimator is used to perform an analysis of LRD in the capital markets of six transition economies. The results suggest that we can divide the stock markets into two groups: markets with strong LRD (the Czech Republic, Hungary, Russia, and Slovenia), and markets with no or only a weak form of LRD (Poland and Slovakia). Additionally, if the Hurst exponent is estimated on a sliding time window, the results show some additional properties, which we believe are representative for the markets in transition economies.

Business Cycles in Central and East European Countries

The article studies the properties of business cycles in seven Central and East European countries (CEEC-7). The properties are compared using multivariate wavelet analysis. The evidence of the study suggests that the length of the business cycles in the CEEC-7 is gradually decreasing to the business cycle length of the Organization for Economic Cooperation and Development, and volatility seems to decline after transformation depression. From the viewpoint of synchronization between the European Union (EU) and the CEEC-7, the study suggests three groups of countries. More synchronization is found in countries where greater internationalization of enterprises and greater product and financial market linkages to EU markets are present.

Optimized spiral spherical self-organizing map approach to sector analysis - The case of banking

Optimized spiral spherical self-organizing map is applied to real-life data.We investigate the European Union banking sector in the 2000-2011 period.We use micro and macro economic data for two separate models.Both models reveal the existence of two separate banking clusters.Dynamic analysis indicates intensification of integration within the two groups. The paper presents a comprehensive treatment of the European Union banking sector in the 2000-2011 period. A wide set of economic indicators is used to derive two-level approach: micro and macro topologies. We use the methodology of the optimized spiral spherical self-organizing map, a version of Kohonens Self-Organizing Maps, which overcomes some of the major deficiencies found in standard methods. In dynamic analysis we recover the path of the integration process itself by calculating the dynamics of the countries around the sphere and by examining the measure of dispersion. The simultaneous comparison of the micro and macro levels provides deeper insights into the banking sector integration process. Both models, the micro and macro, unveil the formation of two banking clusters, which, with the exception for Greece, coincides with a division between new and old member states. Both clusters intensify integration within their cluster.

Demand models for direct mail and periodicals delivery services: results for a transition economy

This article examines the demand for services of the Slovenian national postal operator for the direct mail and periodicals market and separately for the direct mail market. The main factors of the demand are found to be various price indicators with respect to individual market, two income series and the variable of economic environment. The results of our empirical analysis suggest that the price elasticity of demand on both markets is below zero. The autonomy in price increases is limited due to positive cross-price elasticity of demand for direct mail with regard to price fluctuations for TV commercials. Substitution effects on the direct mail market are even more evident with regard to price fluctuations for advertisements in magazines and daily papers. An additional finding is that the demand on both markets varies seasonally in all models estimated by us. Finally, coefficients of income elasticity of demand for direct mail services show that the total number of mail deliveries on the direct mail market increases faster than the retail revenue in real terms.

Forecasting with Leading Economic Indicators — A Neural Network Approach

There is variety of important issues associated with the problem of business cycle forecasting, especially regarding forecast methodology and forecast evaluation. Overall, we can say that macroeconomic forecasting has a fairly poor reputation (Granger 1996). Still, even with the recognition that forecasting business cycles is a very difficult task, we find some hopeful signs for future progress. Our research on forecasting has focused on development of new approach in forecasting with classical NBER leading indicators by applying neural networks.

Cyclical patterns in aggregate economic activity of Slovene economy

This paper studies cyclic patterns in the Slovene economy with spectral analysis. It examines if the transition in Slovenia was marked by a statistically significant movement of aggregate economic activity, which corresponds to the definition of business cycle proposed by Mitchell and Burns (1946). It finds that in the period 1992–2000 a statistically significant cyclic component is present. The cyclic component oscillates with the frequency of 33.3 months. The results obtained in this paper suggest, that in the observed period two full-length cycles can be identified.

Identification of Auditor's Report Qualifications: An Empirical Analysis for Slovenia

An auditor’s report qualifies a company’s financial statements if the management’s representation of the company’s financial affairs is not in accordance with nationally generally accepted accounting pronouncements. The present research studies the qualification of auditors’ reports in relation to the circumstances in the company’s economic situation that lead to the qualification. Qualifications have been analysed on a sample of 293 large Slovenian companies. The results reveal that companies with qualified auditors’ reports have high indebtedness, low liquidity, low efficiency and poor profitability in comparison with companies with unqualified auditors’ reports. From a statistical viewpoint, a logistic model can distinguish between companies that received a qualified auditor’s report and companies that received an unqualified auditor’s report on a sample of Slovenian large companies.

Is there a random character in a stock market? Some evidence from a small emerging market

In the last decade, the financial industry in Slovenia developed rapidly. Nevertheless, the capital market is, according to our findings, still not efficient. However, the dynamic analysis in our study shows that the market is rapidly approaching the properties of developed markets. By adopting these properties, the Slovenian market will give additional boost to the economic activity and also make it more attractive for small firms. The main challenge for small business is to use these favourable trends and to represent an additional stimulation for further concentration of ownership in the companies listed on the stock exchange.

VAT Gap Dependence and Fiscal Administration Measures

Abstract The paper examines the VAT gap estimated on the basis of VAT tax returns. The assessment of tax gap dependence is examined based on macroeconomic influences and the measures of the Slovenian fiscal administration. Regarding the latter, the number of audits being performed and the effects of audit activity (tax yield) have been considered. The results of the analysis support the thesis that the tax gap is reduced in conditions of economic growth. The fiscal administration measures showed the desired effect. An important factor lowering the gap was proven to be the number of (VAT) audits. A similar impact on the tax gap, although considerably smaller, was found to have effects of an audit. Audit planning might be considered as guidance for fiscal policies to lower the tax gap.

Estimating marginal infrastructure cost in new infrastructure charging model

Competitiveness of rail transport compared to road transport has been reducing, especially on regional railway lines. To improve this situation, the EU adopted various directives and regulations to increase efficiency of railway undertakings. In this paper we present an organizational and economic model based on European policies for local railway system. The organizational model is based on multi-criteria decision analysis. For the economic model we used an econometric approach to estimate the cost function and marginal costs in regional lines, which constitute the basis for railway charges. By implementing such an organizational model, the functioning of the railway network will improve. The research found that a change in the existing model of calculating costs of infrastructure use would bring economic effects for the railway infrastructure manager and the providers of transport. Using the proposed model we also found that it is reasonable to increase the flow of goods on unused regional railway lines because the railway infrastructure maintenance costs are inelastic with regard to transported gross tons.