Stock Market Efficiency in South Eastern Europe

2018 ◽  
pp. 214-237
Author(s):  
Vladimir Filipovski ◽  
Dragan Tevdovski
Keyword(s):  
Stock Markets ◽  
Ratio Test ◽  
Informational Efficiency ◽  
Eastern European ◽  
Dummy Variables ◽  
Calendar Effects ◽  
Random Walk Hypothesis ◽  
South Eastern ◽  
South Eastern Europe ◽  
Day Of The Week

The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets.

Problematic Terminology in a Tentative Research Methodology for the Visual Culture of the Balkans

2021 ◽  
Vol 66 (Special Issue) ◽  
pp. 67-78
Author(s):  
Anita Paolicchi ◽  
◽  
Keyword(s):  
Visual Culture ◽  
Eastern Europe ◽  
Research Methodology ◽  
Eastern European ◽  
The Balkans ◽  
South Eastern ◽  
South Eastern Europe ◽  
Methodological Problems ◽  
Western European ◽  
Interpretative Framework

"The aim of this paper is to highlight and briefly discuss some of the most problematic terms and concepts that recur in art historiography: for example, the words Byzantine, post-Byzantine, Eastern, Western and Local. These concepts are used in a misleading way not only by American and Western European authors, but also by Eastern and South-Eastern European ones: in fact, the “Balkan” art historiography based itself on the Western-European one, adopting its periodisation, terminology and interpretative framework, which led to a number of methodological problems that researchers are now trying to identify, discuss and, if possible, solve. Keywords: art historiography, South-Eastern Europe, silverwork, Byzantium. "

After 2008 Global Financial Crisis, Short-Term Dynamics of CDS, Bond, and Stock Markets in South Eastern European Economies

2013 ◽  
pp. 181-194
Author(s):  
Ali Sabri Taylan ◽  
Hüseyin Tatlidil
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Stock Markets ◽  
European Countries ◽  
Stock Index ◽  
Bond Markets ◽  
Eastern European ◽  
South Eastern ◽  
Eastern European Countries

Credit risk pricing is perhaps an understudied topic in comparisons to its profound impact on the world’s financial markets and economies. This study uses established price discovery techniques to develop a method of price discovery for credit risk in three financial markets: equity, debt, and credit derivative. This chapter is motivated by the development of credit-related instruments and signals of stock price movements of South-Eastern European countries—Bulgaria, Croatia, Greece, Hungary, Romania, Slovenia, Slovakia, and Turkey—during the recent financial crisis. In this study, the authors evaluate the dynamics of fiscal risk or country risk measured by sovereign Credit Default Swap (CDS), liquidity risk measured bond markets, and stock markets for the monthly based September 2008 – February 2011 period. The study examines monthly data observing 38 months and 8 countries. A panel vector autoregression model is proposed for changes in Long-Term Interest Rate (LTIR), changes in CDS spreads (CDS), and changes in stock index. In conclusion, CDS markets and stock markets are more significant than bond markets in explaining the post-crisis relationship among developing South-Eastern European countries. The analysis displays that long-term monetary policy did not affect CDS premium and stock index level. A strong relationship is found between the CDS spread and stock market. During financial crisis and after the crisis, the correlations among CDS, stock, and bond markets are collapsed by panicked investors’ rapid movement and wild speculators. This risk perception can explain the difference between the finance theory and practices in the market.

scholarly journals Early–Middle Pleistocene Magnetostratigraphic and Rock Magnetic Records of the Dolynske Section (Lower Danube, Ukraine) and Their Application to the Correlation of Loess–Palaeosol Sequences in Eastern and South-Eastern Europe

Quaternary ◽  
2021 ◽  
Vol 4 (4) ◽  
pp. 43
Author(s):  
Dmytro Hlavatskyi ◽  
Vladimir Bakhmutov
Keyword(s):  
Middle Pleistocene ◽  
Stratigraphic Correlation ◽  
Left Bank ◽  
Eastern European ◽  
Danube Basin ◽  
South Eastern ◽  
South Eastern Europe ◽  
Potential Basis ◽  
Isotope Stratigraphy ◽  
Lock In

We present new palaeomagnetic and rock magnetic results with a stratigraphic interpretation of the late Early–Middle Pleistocene deposits exposed on the left bank of the River Danube at Dolynske, southern Ukraine. A thick succession of water-lain facies is succeeded by reddish-brown clayey soils, topped by a high-resolution loess–palaeosol sequence. These constitute one of the most complete recently discovered palaeoclimate archives in the Lower Danube Basin. The suggested stratigraphy is based on the position of the Matuyama–Brunhes boundary, rock magnetic, palaeopedological and sedimentological proxies, and it is confidently correlated with other loess records in the region (Roksolany and Kurortne), as well as with the marine isotope stratigraphy. The magnetic susceptibility records and palaeosol characteristics at Dolynske show an outstanding pattern that is transitional between eastern and south-eastern European loess records. Our data confirm that the well-developed S4 soil unit in Ukraine, and S5 units in Romania, Bulgaria and Serbia, correlate with the warm MIS 11. Furthermore, we suggest the correlation of rubified S6 palaeosols in Romania and Bulgaria and the V-S7–V-S8 double palaeosol in Serbia with S6 in Ukraine, a strong Mediterranean-type palaeosol which corresponds to MIS 15. Our new results do not support the hypothesis of a large magnetic lock-in depth like that previously interpreted for the Danube loess, and they prove that the Matuyama–Brunhes boundary is located within the palaeosol unit corresponding to MIS 19. The proposed stratigraphic correlation scheme may serve as a potential basis for further regional and global Pleistocene climatic reconstructions.

scholarly journals Seasonality in the Indian Stock Markets: A Study of Calendar Effects

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Harish Kumar ◽  
Mridul Dawar
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Estimation Procedure ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Relevant Information ◽  
Informational Efficiency ◽  
Stock Market Returns ◽  
Calendar Effects ◽  
Year Effect

Theoretical and technological advances in Behavioural Finance over the last decades seem to have shifted the paradigm away from the Efficient Market Hypothesis proposed by Fama in 1970s. The hypothesis implied that securities are always priced efficiently since all the relevant information is fully reflected in their prices. However, this normative statement comes under heavy scrutiny with the existence of seasonality in stock returns. This paper investigates seasonality in the Indian stock markets through the existence of calendar effects. Employing time series analysis on data from January 1999 to December 2015, the presence of calendar effects is studied in three BSE indices-Sensex, BSE200 and BSE 500 using a dummy variable regression model in both the daily returns (using EGARCH modelling process) and monthly returns (using OLS estimation procedure). It is found that the while the SENSEX index does not show any significant calendar effect, seasonality does manifest in the larger BSE 200 and BSE 500 indices in form of both days-of-the-week effect and month-of-the-year effect, thereby suggesting that Indian stock markets do not show informational efficiency even in the weak form. The study concludes that the observed patterns are useful in timing the deals by exploiting the observed irregularities in the Indian stock market returns.

Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe

2021 ◽  
pp. 127-153
Author(s):  
Saša Jakšić
Keyword(s):  
Eastern Europe ◽  
Stock Markets ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Equity Prices ◽  
Eu Member States ◽  
South Eastern ◽  
South Eastern Europe ◽  
Central Eastern ◽  
Real Shocks

At the start of the third decade of the 21st century, the countries of Central, Eastern, and South-Eastern Europe (CESEE) are still lagging behind ‘old' EU Member States in regards to various macroeconomic and social indicators. This is particularly evident when considering the development of the financial sector, especially the non-banking part. This chapter focuses on the stock markets of eleven CESEE countries and analyzes potential macroeconomic factors that contribute to explaining the dynamics of real equity prices. To account for cross-country linkages and potential spillovers, global vector autoregressive (GVAR) methodology is applied. The estimated impact elasticities enabled the pinpointing of CESEE countries with stronger linkages to foreign stock markets. Generalized impulse response functions indicated the existence of statistically significant spillovers, the strongest spillovers coming from the German stock market. The empirical results also showed spillovers from CESEE countries' stock markets, bond markets, as well as from real shocks.

Realities and Challenges of the Social Enterprises in South-Eastern European Countries

2019 ◽  
pp. 214-236
Author(s):  
Ani Matei ◽  
Corina-Georgiana Antonovici ◽  
Carmen Săvulescu
Keyword(s):  
Eastern Europe ◽  
Social Inclusion ◽  
Social Economy ◽  
Social Enterprises ◽  
Eastern European ◽  
South Eastern ◽  
The Social ◽  
South Eastern Europe ◽  
Eastern European Countries

The chapter objectives focus on mapping the sector of social economy in some states from South-Eastern Europe, presenting their role and impact due to the activities achieved in society. The theoretical part of the chapter comprises the evolution of social economy in Europe, in general, and in South-Eastern Europe, in particular, the identification of the types of organizations in this area. The case study identifies and presents the stages of development of the social enterprises in countries such as Romania, Bulgaria, Cyprus, Serbia, Slovenia, Croatia, Greece, Republic of Moldova, and explores, by comparative analysis the institutional frameworks, the regulations of social enterprises, the eligible judicial forms, presenting similarities and differences, as well as the contribution to social inclusion and impact on community in general. The chapter identifies and explains the influence of the European actors and presents the factors specific to each country which have influenced and supported the emergence of social enterprises as well as the challenges faced.

scholarly journals POTENTIALS OF SMALL AIRLINES IN SOUTH-EASTERN EUROPEAN COUNTRIES UNDER THE NEW ECONOMIC CIRCUMSTANCES

2018 ◽  
Vol 9 (2) ◽  
pp. 24-49
Author(s):  
Konstantinos Malagas ◽  
Nikitas Nikitakos ◽  
Ayse Kucuk Yilmaz ◽  
Alexandros Argyrokastritis ◽  
Ebru Yazgan
Keyword(s):  
Eastern Europe ◽  
Relevant Literature ◽  
Secondary Data ◽  
Eastern European ◽  
Strategic Choices ◽  
South Eastern ◽  
South Eastern Europe ◽  
Eastern European Countries ◽  
Regional Jets ◽  
Depth Interviews

South-Eastern Europe holds a key geopolitical position and has a promising economy and aviation market. Small airlines operating in the region can succeed by taking advantage of the region’s characteristics and selecting appropriate strategies. This study’s objective is to examine the potentials of the region’s small airlines, focusing on their key strategic choices regarding destinations to serve, aircraft types to use, airports to operate from, and whether to operate independently or partner with larger carriers. In-depth interviews were conducted with key aviation experts from across the region, and secondary data were used to provide further insight. The study’s main findings show that small airlines may benefit from initially partnering with larger carriers, feeding their networks from secondary airports via regional jets and turboprops. This study adds to the relevant literature and may help managers from the region’s smaller and bigger airlines and airports identify new opportunities and develop sustainable strategies.

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