European studies: Taking stock and looking ahead

This essay is an attempt to generalize experiences of Central and Eastern European universities in the field of European Studies over the past 20 years. The paper follows the logic of business analysis in order to come up with proposals for future action.

Virtuális árhatás a Budapesti Értéktőzsdén = Virtual price effects on the Budapest stock exchange

Az árhatásfüggvények azt mutatják meg, hogy egy adott értékű megbízás mekkora relatív árváltozást okoz. Az árhatásfüggvény ismerete a piaci szereplők számára fontos szerepet játszik a jövőben benyújtandó ajánlataikhoz kapcsolódó árhatás előrejelzésében, a kereskedés árváltozásból eredő többletköltségének becslésében, illetve az optimális kereskedési algoritmus kialakításában. Az általunk kidolgozott módszer révén a piaci szereplők a teljes ajánlati könyv ismerete nélkül egyszerűen és gyorsan tudnak virtuális árhatásfüggvényt meghatározni, ugyanis bemutatjuk az árhatásfüggvény és a likviditási mértékek kapcsolatát, valamint azt, hogy miként lehet a Budapesti Likviditási Mérték (BLM) idősorából ár ha tás függ vényt becsülni. A kidolgozott módszertant az OTP-részvény idősorán szemléltetjük, és a részvény BLM-adatsorából a 2007. január 1-je és 2011. június 3-a közötti időszakra virtuális árhatás függvényt becsülünk. Empirikus elemzésünk során az árhatás függ vény időbeli alakulásának és alapvető statisztikai tulajdonságainak vizsgálatát végezzük el, ami révén képet kaphatunk a likviditás hiányában fellépő tranzakciós költségek múltbeli viselkedéséről. Az így kapott információk például a dinamikus portfólióoptimalizálás során lehetnek a kereskedők segítségére. / === / Price-effect equations show what relative price change a commission of a given value will have. Knowledge of price-effect equations plays an important part in enabling market players to predict the price effect of their future commissions and to develop an optimal trading algorithm. The method devised by the authors allows a virtual price-effect equation to be defined simply and rapidly without knowledge of the whole offer book, by presenting the relation between the price-effect equation and degree of liquidity, and how to estimate the price-effect equation from the time line of the Budapest Liquidity Measure (BLM). The methodology is shown using the time line for OTP shares and the virtual price-effect equation estimated for the 1 January 2007 to 3 June 2011 period from the shares BML data set. During the empirical analysis the authors conducted an examination of the tendency of the price-effect equation over time and for its basic statistical attributes, to yield a picture of the past behaviour of the transaction costs arising in the absence of liquidity. The information obtained may, for instance, help traders in dynamic portfolio optimization.

Volt-e likviditási válság? Volatilitás és likviditás kapcsolatának vizsgálata (Was there a liquidity crisis? Analysis the relationship between volatility and liquidity)

Széleskörűen alátámasztott, empirikus tény, hogy önmagában a nagyobb volatilitás csökkenti a piac likviditását, vagyis változékonyabb piacokon várhatóan nagyobb lesz egy-egy tranzakció áreltérítő hatása. Kutatásomban azt a kérdést vizsgáltam, hogy a Budapesti Értéktőzsdén az OTP-részvény piacán a 2007/2008-as válságban tapasztalható, átmeneti likviditáscsökkenés betudható volt-e egyszerűen a megnövekedett volatilitásnak, vagy ezen túl abban más tényezők (pl. a szereplők körének és viselkedésének drasztikus megváltozása, általános forráscsökkenés stb.) is szerepet játszhattak-e. A volatilitást a loghozamok szórásával, illetve a tényleges ársávval, míg az illikviditást a Budapesti Likviditási Mértékkel (BLM) reprezentáltam. Egyrészt azt állapítottam meg, hogy az OTP esetében a tényleges ársáv szorosabban korrelál a BLM-mel, mint a szórás. Másrészt az is egyértelmű, hogy a válság előtti kapcsolat a volatilitás és a likviditás között a válságban és azután már jelentősen megváltozott. Válságban az illikviditás jóval nagyobb volt, mint amit a volatilitás növekedése alapján vártunk, a válság lecsengése után azonban megfordult ez a reláció. _________ It is a widely supported empirical fact, that the greater volatility in itself decreases the liquidity of the market, namely more volatile a market is, the higher a transaction’s price impact will be. I have examined in my paper the question, whether the decrease of liquidity during the crisis of 2007/2008 in case of the OTP stock – traded on the Budapest Stock Exchange – was the consequence of the increased volatility, or other factors had an effect on the illiquidity as well (e.g.: the drastic change of market participants’ behaviour; reduction of fi nancing sources; etc.). I have represented volatility with the standard deviation of the logreturns, and with the true range, while the illiquidity with the Budapest Liquidity Measure (BLM). On one hand I have identifi ed, that in case of the OTP, the true range has a stronger relationship with the BLM than the standard deviation has. On the other hand it was clear, that the relationship between volatility and liquidity has changed notably during and after the crisis. During crisis the illiquidity was greater than what I have estimated based on the volatility increase, but after the crisis this relation has changed.

Mixed duopolies with advance production

Production to order and production in advance has been compared in many frameworks. In this paper we investigate a mixed production in advance version of the capacity-constrained Bertrand-Edgeworth duopoly game and determine the solution of the respective timing game. We show that a pure-strategy (subgame-perfect) Nash-equilibrium point exists for all possible orderings of moves. It is pointed out that unlike the production-to-order case, the equilibrium of the timing game lies at simultaneous moves. An analysis of the public firm's impact on social welfare is also carried out. All the results are compared to those of the production-to order version of the respective game.

The impact of perceived corporate environmental performance on the behavior of capital market decision makers : analysis of food industry companies

Environmental protectionism and sustainable development has been gaining increased attention among governments, investors and consumers alike. As a result, firms are facing growing pressure from the various stakeholders to improve their environmental performance. This study is focusing on the food industry, which in recent years has been a subject of increased scrutiny due to their role in resource consumption, waste generation and unsustainable production practices. Our research is aiming to examine how the financial community evaluates the environmental stewardship of food industry companies as proxied by market reactions in response to environmental news. Are all company related environmental news items evaluated equally, and which financial and non-financial firm-specific attributes can influence market responses? Have there been changes in reactions on the stock exchange in the past two decades?

Comparative efficacy and safety of biosimilar infliximab and other biological treatments in ankylosing spondylitis: systematic literature review and meta-analysis.

OBJECTIVES: To compare the efficacy and safety of infliximab-biosimilar with other biological drugs for the treatment of active ankylosing spondylitis (AS). METHODS: Systematic literature review for randomized controlled trials (RCTs) with adalimumab, etanercept, golimumab, infliximab and infliximab-biosimilar in AS was performed and indirect meta-analysis (Bayesian mixed treatment comparison) was carried out. The proportion of patients reaching 20 % improvement by the assessment of Spondyloarthritis International Society response criteria (ASAS20) at weeks 12 and 24 was used as efficacy endpoints, and the occurrence of serious adverse events at week 24 was applied to compare the safety of the biologicals. RESULTS: Altogether, 13 RCTs, identified by the systematic literature search, were included in the analysis. Results on the ASAS20 efficacy endpoint were reported for week 12 in 12 RCTs involving 2,395 patients, and for week 24 in 5 RCTs comprising 1,337 patients. All the five biological agents proved to be significantly superior to placebo. Infliximab showed the highest odds ratio (OR) of 7.2 (95 % CI 3.68-13.19) compared to placebo, followed by infliximab-biosimilar with OR 6.25 (95 % CI 2.55-13.14), both assessed at week 24. No significant difference was found between infliximab-biosimilar and other biological treatments regarding their efficacy and safety. CONCLUSIONS: This is the first study which includes a biosimilar drug in the meta-analysis of biological treatments in AS. The results have proven the similar efficacy and safety profile of infliximab-biosimilar treatment compared to other biologicals.

Efficacy and safety of infliximab-biosimilar compared to other biological drugs in rheumatoid arthritis: a mixed treatment comparison.

OBJECTIVE: The aim of this meta-analysis was to compare the efficacy and safety of infliximab-biosimilar and other available biologicals for the treatment of rheumatoid arthritis (RA), namely abatacept, adalimumab, certolizumab pegol, etanercept, golimumab, infliximab, rituximab and tocilizumab. METHODS: A systematic literature review of MEDLINE database until August 2013 was carried out to identify relevant randomized controlled trials (RCTs). Bayesian mixed treatment comparison method was applied for the pairwise comparison of treatments. Improvement rates by the American College of Rheumatology criteria (ACR20 and ACR50) at week 24 were used as efficacy endpoints, and the occurrence of serious adverse events was considered to assess the safety of the biologicals. RESULTS: Thirty-six RCTs were included in the meta-analysis. All the biological agents proved to be superior to placebo. For ACR20 response, certolizumab pegol showed the highest odds ratio (OR) compared to placebo, OR 7.69 [95 % CI 3.69-14.26], followed by abatacept OR 3.7 [95 % CI 2.17-6.06], tocilizumab OR 3.69 [95 % CI 1.87-6.62] and infliximab-biosimilar OR 3.47 [95 % CI 0.85-9.7]. For ACR50 response, certolizumab pegol showed the highest OR compared to placebo OR 8.46 [3.74-16.82], followed by tocilizumab OR 5.57 [95 % CI 2.77-10.09], and infliximab-biosimilar OR 4.06 [95 % CI 1.01-11.54]. Regarding the occurrence of serious adverse events, the results show no statistically significant difference between infliximab-biosimilar and placebo, OR 1.87 [95 % CI 0.74-3.84]. No significant difference regarding efficacy and safety was found between infliximab-biosimilar and the other biological treatments. CONCLUSION: This is the first indirect meta-analysis in RA that compares the efficacy and safety of biosimilar-infliximab to the other biologicals indicated in RA. We found no significant difference between infliximab-biosimilar and other biological agents in terms of clinical efficacy and safety.