The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility 

• Renata Karkowska

Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study was calculated the impact of the hedge fund market development (measured in assets, leverage, the price volatility in various financial  markets). Due to data availability study has been limited to 10-year period of analysis (2001-2011). The results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge funds on financial markets. 

JEL classification: G1, G11, G10, M21 

Keywords: financial market, hedge fund, market instability, volatility 

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Cross country linkages as determinants of procyclicality of loan loss provisions – empirical importance of SURE specification

• Małgorzata Olszak, 
• Mateusz Pipień

Procyclicality in banking may result in financial instability and therefore be destructive to economic growth. The sensitivity of different banking balance sheet and income statement variables to the business cycle is diversified and may be prone to increasing integration of financial markets. In this paper we address the problem of the influence of financial integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss provisions to the business cycle. We also aim to find out whether earnings management hypotheses are supported throughout the whole business cycle.  Application of the SURE approach to 13 OECD countries  in 1995-2009 shows that the procyclicality of LLP is statistically significant almost in thewhole sample of countries. Independent of the econometric specification, the earnings management hypotheses are hardly supported.

 JEL classification: E32, G21, G28

Keywords: loan loss provisions, procyclicality, earnings management

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The capital structure of Polish small and medium-sized enterprises and its impact on their competitiveness

•   Robert Wolański

The article discusses the problem of the relationship between the capital structure and the level of competitiveness of SMEs in Poland. The objective of the article is to determine the impact capital structure has on the level of competitiveness of SMEs in Poland. The capital structure of SMEs is dominated by internal funds. Among external sources of financing, bank loans and leasing are predominant. This structure is consistent with the relevant theoretical models. The study shows no significant differences in the financing of current operations, innovation, and competitiveness improvement. The lack of relationship indicates that the capital structure of SMEs has little impact on their competitiveness. The results of the study demonstrate that all external sources of financing improve the competitiveness of SMEs, but the strength of their impact is different. The strongest impact is shown for venture capital, guarantees, and leasing; the weakest – for bank loans and the issuance of shares and bonds. A significant factor is the degree of alignment of a particular financing source with the special needs of SMEs. This significant relationship is demonstrated for all the sources most commonly used by SMEs

 JEL classification:  L25, L26

Keywords:  SMEs, competitiveness, capital structure                  

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