Fatih Burak Gümüş1 and Feyyaz Zeren2
The efficient market hypothesis is one of most important theories in finance and one of the most important research areas for both developed and developing stock markets. In this study, the random-walk hypothesis is tested for the main stock markets of the G-20 countries. The linearity of the series is determined in the first stage. In this context, 16 of 17 markets have a linear structure; therefore, the Fourier ADF unit root test that uses trigonometric functions in order to capture deviations greater than the average of the dependent variable and takes into account multiple structural breaks, is applied to these series. Furthermore, the Fourier KSS unit root test that has the same functions as the Fourier ADF unit root test is used for the Japanese stock market, being the only one market with a non-linear structure. As the result of these analyses, while the markets of the nine countries are observed as effective in the weak form, this hypothesis is not valid for the remaining eight countries. While the prediction of the future price of all of these nine markets will be impossible through a technical analysis, investors in the remaining eight markets can provide returns by carrying out the same analysis.
Mikica Drenovak and Vladimir Ranković
Active portfolio management implies periodic rebalancing, i.e. a change in the structure of the existing portfolio. Rebalancing is aimed at improving the performance of the managed portfolio by adjusting it with respect to the given objective. The main objective of this research is to test two portfolio rebalancing strategies, one based on market risk and another on optimal risk-return tradeoff. We use optimal volatility or Sharpe of portfolio as a criterion for the initial portfolio allocation and rebalancing over the observed period. In order to obtain solutions that can be applied in practice, we impose rebalance triggers designed to control the portfolio turnover and corresponding transaction costs. the results suggest that the minimum volatility strategy can be accepted as an eligible investment alternative for risk adverse investors since it provides superior risk performance compared to the reference S&P 100 index and 1/n portfolio, with a relatively low level of turnover and a low rebalance frequency.
Jarosław Kaczmarek
The paper focuses on the phenomenon of a business failure and the assessment of the degree of the financial security of Polish companies, mainly industrial entities, during the period of the economic transformation (1990-2013), with special attention paid to the last economic crisis (2007-2013). With regard to the theoretical and cognitive aspects of the presented issues, attention is paid to corporate crises, the types of crises and their causes as well as the identification and quantification of the symptoms of deteriorating financial conditions. In its empirical dimension, the paper aims to measure the degree of the financial security of Polish industrial companies as well as the trends and dynamics of changes and the corresponding interdependencies. Additionally, the author presents the characteristics of industrial mezzo-structures from the perspective of their stability and the frequency of the movement of objects (changes to ranging positions). Finally, the paper confirms that the degree of financial security can be seen as a symptom of changes to macroeconomic business cycles.
Srđan M. Đinđić
of the repatriation of international income, the effects of the reallocation of international income and the effects of the current and perspective reform tendencies in the EU member countries on the achievements of international tax planning in the Republic of Serbia are valorized. By a meaningful restructuring of its global business transactions, a transnational corporation can gain an „extra” reduction in the effective tax burden, compared to the level of the tax burden standard, overlooked within the officially established procedure of international tax planning (OECD). As long as there are differences in the corporate income tax rates among the countries, there is a realistic incentive for TNCs to locate their income in low-tax countries and their expenses in high-tax countries. The actual reform tendencies in the EU have a two-sided influence on the achievements of tax planning in the Republic of Serbia, in the form of activating non-tax instruments for an improvement of the competitiveness of the Serbian industry as well as in the form of prolonging international pressure on the budget of the Republic of Serbia.
Slavica P. Petrović
In addition to the endeavors of the Journal Editorial Board aimed at improving the quality of the published contributions as well as increasing the visibility of the Journal through including it in the referent bases of the academic journals EconLit, EBSCO, Cabell’s Directories, ProQuest ABI/INFORM, Index Copernicus, Ulrich’s Web, we point out – particularly in relation with the openness of the Journal for scientific contributions from abroad – that the six original scientific papers written by the authors from abroad have been published in the Volume 16, Issues 1, 2 and 3 of the Economic Horizons, after the double-blind review process and revisions.
Nenad Tomić
Petar Veselinović
The economy of the Republic of Serbia is at an important turning point now. The first phase of the implementation of the transition process is completed, the reform processes are gaining a new momentum and entering the European Union is becoming more certain. In order to successfully finalize the transition processes,the reform of the public sector’s system of functioning is inevitable, among other reforms. The public sector in Serbia is low-productive and inefficient, irrationally set, with a multitude of problems that for many years have constantly been growing and becoming more complicated. The high rate of employment and average salaries in the public sector, on the one hand, and the poorly-formulated operational systems, on the other, are so designed that the public sector has a bad influence on economic development in general. The paper will analyze the situation in the public sector of the Republic of Serbia, with a special emphasis on creating a realistic basis for its reform, as a key determinant of the successful completion of the transition process, taking into account the specifics of the Republic of Serbia’s economy.
Nada Trivić and Viktorija Petrov
Each specific economic growth rate indicates relevant characteristics of current development, but also reflects the chances for achieving satisfactory future growth rate. Therefore, it is about a general interdependence and law of growth rate convergence. The main objective of this paper is to show that substandard growth could, sooner or later, result in the economic slowdown, and that the temporary growth acceleration can be achieved at the expense of the long-term growth rate. Scientific instruments applicable for achieving this research goal are the method of scientific analysis, historical method and the method of comparative analysis, as well as a number of techniques in the form of modern information resources. A key result of this paper is that all growth rates of endogenous production factors, without increasing the efficiency of resource use, are converging to the arithmetic mean of exogenous production factors growth rates. Therefore, the growth rate can be significantly increased at the expense of its quality and the substandard growth contains the „germs of its own limiting”.