May 2013

Zagreb International Review of Economics and Business
Volume XVI, Number 1 (May 2013)


ABSTRACTS
  

Housing Prices and Cultural Values: A Cross-nation Empirical Analysis
Polina Stoykova
Linjie Chou

Abstract:  Most real estate studies have been concerned with exploring the macroeconomic determinants of housing prices. Little attention has been paid to the context in which property markets function. This study, however, goes beyond macroeconomic factors and explores how country specific factors such as cultural values influence residential property markets. We have tested and verified the assumption that the cultural dimension of survival values versus self-expression values infl uences housing price growth, using a sample of 30 countries. As a result of this research, we suggest that culture should be adopted as a long-term housing price determinant.

Key words: Housing Markets, Property Prices, House Price Determinants, Culture, Cultural Values
JEL Classification: R2

 

The Evolution of Competition of the Tunisian Banking Sector: An Empirical Analysis
Niazi Kammoun
Ahmed Ammar

Abstract:  This paper analyzes the evolution of competition in the Tunisian banking sector in the period 2000 - 2008, which is a period of deregulation, liberalization and consolidation of the sector. For this purpose, we use two indicators of the competition from the theory of the industrial organization (the Lerner index and the Panzar and Rosse’s H-statistic). The empirical evidence does not permit us to reject the existence of monopolistic competition. The evolution of Lerner index over the period of study shows a low tendency to concentration. The movements of the mergers of the banking institutions seem to be slow, as a big effort of cleaning their balance sheets remains to be achieved before banks can merge.

Key words: Banking Competition, Concentration, Market power, Panzar and Rosse Methodology, Lerner index
JEL Classification: G28

 

Controlling and Sustainability: Empirical Evidence from Europe
Alexandra Rausch
Nidzara Osmanagić Bedenik
Irene Fafaliou
Davor Labas
Malgorzata Porada-Rochon

Abstract:  This paper analyses the level of development of current controlling practice and sustainable development in four selected European countries, i.e. Austria, Croatia, Greece, and Poland. It specifi cally aims to increase the awareness for country-specific differences and to capture key factors and shortcomings that companies experience in controlling and sustainable business practice. We hypothesize that companies in more mature countries have a higher level of development in this respect than companies in less mature countries. To this end, we use a questionnaire and a sample of 146 companies. Contrary to our hypotheses we reveal that besides Austrian Croatian companies are more advanced in controlling and sustainability than Greek companies. Furthermore, instead of Austria Poland appears to form a country-cluster with Greece. Based on these findings business executives and public officers should be able to cope with present shortcomings in a more appropriate way and to initiate improvements towards sustainability against country-specific backdrops.

Key words: Corporate sustainability; sustainable development; controlling practice; Europe; empirical survey.
JEL Classification: L2

 

Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange
Tihana Škrinjarić

Abstract: The Modern Portfolio Theory (MPT) has started a revolution in academic and investors’ circles since 1950s. In spite of the popularity of Markowitz’s portfolio selection, many critiques have been emerging throughout the years. One of them is the non normality of empirical return distributions. Accordingly, models have been developed in order to incorporate the aforementioned non normality. This paper focuses on the role of these models and optimizes a model with incorporated portfolio higher moments on Zagreb Stock Exchange. The results indicate that incorporating higher moments into the analysis changes the results sustainably when compared to the initial model.

Key words: portfolio selection, optimization, Zagreb Stock Exchange, stocks, polynomial goal programming
JEL Classification: G11

 

Public Expenditure and Economic Growth in Nigeria: Evidence from Auto-Regressive Distributed Lag Specification
Tajudeen Egbetunde
Ismail O. Fasanya

Abstract: This paper analyses the impact of public expenditure on economic growth in Nigeria during the period 1970 to 2010 making use of annual time series data. The study employs the bounds testing (ARDL) approach to examine the long run and short run relationships between public expenditure and economic growth in Nigeria. The bounds test suggested that the variables of interest put in the framework are bound together in the long-run. The associated equilibrium correction was also signifi cant confi rming the existence of long-run relationships. Our fi ndings indicate the impact of total public spending on growth to be negative which is consistent with other past studies. Recurrent expenditure however was found to have little signifi cant positive impact on growth. Therefore, government should increase its spending on infrastructure, social and economic activities.

Key words: Public Spending, Economic Growth, ARDL Cointegration, Nigeria
JEL Classification: C51, H50

 

Detecting Positive Feedback Trading when Autocorrelation is Positive
Julijana Angelovska

Abstract: The temporary convergence of beliefs and actions is a possibility. Positive feedback trading as a stock exchange trading strategy is commonly used as one of the oldest theories about financial markets. Sentana-Wadhwani model was used to test Positive feedback trading. Even though the model supposes that low volatility is associated with positive autocorrelation and high volatility is associated with negative autocorrelation, empirical research for small and young emerging stock exchange shows that high volatility is followed by positive autocorrelation and positive feedback strategy. Accordingly this is evidence in favour of behavioral over traditional finance. Investors prefer to follow positive feedback strategy, ignoring fundamental values.

Key words: Positive feedback trading; Behavioral fi nance; GARCH; EGARCH; GJR GARCH
JEL Classification: G10; C5