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    (Technická Univerzita v Liberci, ) Šperka, Roman; Szarowská, Irena; Ekonomická fakulta
    The aim of this paper is to investigate the impact of fi nancial transaction taxes (FTTs) on the stability of fi nancial markets. This paper presents an agent-based fi nancial market model and simulations in which agents follow technical and fundamental trading rules to determine their speculative investment positions. The model developed by Westerhoff (2009) was chosen for implementation and was extended by FTT and arising transaction costs. Because FTTs may be defi ned in various ways, this paper defi nes assets as tax objects. The model includes direct interactions between speculators, which may lead them to decide to change their trading behavior and addresses a technical and a fundamental strategy of market participants. The results suggest that the modifi ed model has a tendency to stabilize itself in the long term if fundamental trading rules outweigh the technical trading method. This model could be used when bubbles and crashes occur in fi nancial markets. Asset prices would be stabilized because their value targets near the fundamental value and volatility would also be minimized. Setting FTTs at a low rate for market stabilization is important. If FTTs and consequent transaction costs are too high, then the fi nancial system will destabilize and prices will grow without limit. The model described in this paper explores dependence market stability to the extent of FTTs. However, the model should not be interpreted as a model only for the introduction of FTT, but as a general model of transaction costs’ infl uence on the fi nancial market.
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    (Technická Univerzita v Liberci, ) Krištofík, Peter; Lament, Marzanna; Musa, Hussam; Ekonomická fakulta
    CSR (Corporate Social Responsibility) is an important part of communication with stakeholders and a response to the need for non-fi nancial reports. Regrettably, the rules of non-fi nancial reporting are almost not regulated. CSR reports are drafted using a variety of principles and guidelines, which limits comparisons across enterprises, transparency and assessment of progress. The reasons for reporting non-fi nancial information cited in the specialist literature, and by enterprises preparing CSR reports are examined, and the benefi ts of standardising reports of nonfi nancial information are determined. The literature review and empirical research into the motivations for CSR reporting and the trends in reporting of non-fi nancial information helped to verify the initial hypotheses: 1. Communication with stakeholders is the fundamental reason for reporting non-fi nancial information. This is confi rmed by the literature review, with most authors believing this is the prime reason for preparing CSR reports. Authors indicating other motivations still treat it as the fundamental cause which exists jointly with other motivations. 2. The need to standardise CSR reporting to ensure its transparency and clarity is noted by reporting organisations. This is proven by surveys of organisations drafting CSR reports – approximately 80% of all reports follow the GRI guidelines. This means the reporting enterprises wish their reports to be clear, transparent and comparable and for their stakeholders to be able to fully satisfy their information requirements. This is also evidence of the care for good relations with stakeholders, who receive standardised data although this is not binding on enterprises. A growing tendency for CSR reporting to follow guidelines other than the GRI can be noted in the entire period under analysis. This will not necessarily be a single compulsory standard, yet a model report would need to be followed to assure transparency and comparability. The Regulations of the Directive 2014/95/EU are a step forward since they will help to standardise rules of reporting non-fi nancial information and will improve its transparency and utility.
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    (Technická Univerzita v Liberci, ) Svoboda, Milan; Ekonomická fakulta
    This paper deals with stochastic modelling and short time prediction of share price development in Czech stock market. The aim of this research is to create such models which can be used for creating automatic trading strategies that will beat the market. Reliability of these models is being checked in three highly liquid shares from Prague Stock O2, CEZ and KB in seven years long period in years 2006–2012. We used Markov chain analysis for modelling. In our models a state space is defi ned on the basis of cumulative daily changes of share price and a state space with eight states is used. The state space is defi ned parametrically as a multiple of standard deviation of daily yields for each share. There were 14 parameters calculated in total and for each parameter nine trading strategies for all shares were applied. It means that 378 trading strategies were calculated. We succeeded in fi nding a set of compact state space models and in applying a compact group of trading strategies on these models which always beat the market when invested in portfolio. The average annual market yield was 3.6%. The average yield of our portfolios oscillates between 4.7% and 14.8%. Strategies overcame the market also even after including transaction costs. After including transaction costs in amount of 0.1% from the trade volume a decrease of average annual yields would occur in the range from 0.45 to 2.1 percentage points. We reached the best results in the sideway trend and in shares with less changing volatility. Conclusions of this research are in contradiction to the Effi cient Market Hypothesis. Results indicate that Czech stock market is not effective in any of its form.
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    (Technická Univerzita v Liberci, ) Veselý, Štěpán; Dohnal, Mirko; Ekonomická fakulta
    The paper presents a simple qualitative model of online trust in the context of e-commerce. Qualitative models use just three values: Positive/Increasing, Zero/Constant and Negative/ Decreasing. Such quantifi ers of trends are the least information intensive. Qualitative models can be useful, since models of online trust include such variables as e.g. Perceived website quality and ease of use (SIT) or Company’s positive reputation (REP) that are sometimes diffi cult or costly to quantify. Hence, a signifi cant fraction of available information about online trust is not of numerical nature, e.g. if SIT is decreasing then online trust is decreasing as well. Such equationless relations are studied in this paper. The model has 13 variables and 32 pair-wise interrelations among them. The set of variables and interrelations was established based on discussions with experts and internet users. The model is solved and 23 solutions, i.e. scenarios are obtained (thus, we reduce a vast set of all “imaginable” scenarios concerning online trust to a manageable list of scenarios). All qualitative states, and the fi rst and second qualitative derivatives of all variables are specifi ed for each scenario. Many modifi cations, upgrades and extensions of the present model are easy within the methodological framework introduced in the paper. Qualitative modeling can be seen as one of the uncertainty calculi, such as fuzzy sets and rough sets, that can be helpful e.g. under information shortage (for example when new website is about to be launched and/or when novel, subjective or diffi cult to measure variables are considered). The paper is self-contained and no a priori knowledge of qualitative modeling is required on the reader’s part.
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    (Technická Univerzita v Liberci, ) Faraji Sabokbar, Hassanali; Hosseini, Ali; Banaitis, Audrius; Banaitiene, Nerija; Ekonomická fakulta
    Many real-life problems are multi-objective by nature that requires evaluation of more than one criterion, therefore MCDM has become an important issue. In recent years, many MCDM methods have been developed; the existing approaches have been improved and extended. Multi criteria decision analysis has been regarded as a suitable set of methods to perform sustainability evaluations. Among numerous MCDM methods developed to solve real-life decision problems, Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) continues to work satisfactorily in diverse application areas. In this paper, a novel sorting method (TOPSIS-Sort) based on the classic TOPSIS method is presented. In the TOPSIS-Sort approach an outranking relation is used for sorting purposes. The proposed approach uses characteristic profi les for defi ning the classes and outranking relation as the preference model. Application of the proposed approach is demonstrated by classifying 22 districts of Tehran into fi ve classes (but none of the districts fi ts into Classes 4 and 5), representing areas with different levels of environmental quality. An analysis and assessment of the environmental conditions in Tehran helps to identify the districts with the poor environmental quality. Priority should be given to these areas to maintain and improve the quality of environment. The results obtained by the TOPSIS-Sort give credence to its success, because the results of sorting confi rm our and specialists’ evaluation of the districts. This research provides appropriate results with respect to the development of sorting models in the form of outranking relations. The model, proposed by this study, is applicable to the other outranking methods such as ELECTRE, PROMETHEE, etc.