Investigating Causal Linkages Between International Stock Markets in Hungary and Austria in Terms of Economic Globalization

2019 ◽  
pp. 269-281
Keyword(s):  
Stock Markets ◽  
Economic Globalization ◽  
Stock Index ◽  
International Stock Markets ◽  
Time Period ◽  
Causality Tests ◽  
Long Time ◽  
Financial Asset Returns ◽  
Granger Causality Tests

The main aim of this chapter is to examine causal linkages between selected stock markets of Hungary and Austria in terms of economic globalization. The sample databases cover a long time period from January 2000 to December 2013. The selected ATX stock index represents Austria index, while BUX represents the main stock index of Hungary. The empirical findings highlighted that stock market in Hungary is significantly more volatile and provides comparatively higher investing opportunities for financial asset returns. There are strong evidences of no casual linkages between selected markets of Austria and Hungary. The econometric analysis includes BDS and Granger causality tests. The results are classified in a comparative manner. This book chapter will support decision makings on escalation ratios depending on the international financial market transmitting patterns.

scholarly journals International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets

2010 ◽  
Vol 11 (4) ◽  
pp. 527-544 ◽  
Author(s):  
Thomas Nitschka
Keyword(s):  
Stock Markets ◽  
Return Predictability ◽  
Cycle Frequency ◽  
Common Component ◽  
International Evidence ◽  
International Stock Markets ◽  
Long Run ◽  
Time Period ◽  
The Us ◽  
The Business Cycle

Abstract Temporary fluctuations of the US consumption-wealth ratio do not only predict excess returns on the US but also international stock markets at the business cycle frequency. This finding is the reflection of a common, temporary component in national stock markets. Exposure to this common component explains up to 50% of the pairwise covariation among long-horizon returns on the G7 stock markets for the time period from 1970 to 2008. This latter finding is less pronounced in the post-1990s period.

scholarly journals Uma Investigação Econométrica sobre a Relação entre as Taxas Econômicas e Contábeis de Retorno

2010 ◽  
Vol 8 (1) ◽  
pp. 69
Author(s):  
Rodrigo M Zeidan ◽  
Marcelo Resende
Keyword(s):  
Manufacturing Industry ◽  
Internal Rate Of Return ◽  
Rates Of Return ◽  
Accounting Data ◽  
Economic Concept ◽  
Causality Tests ◽  
Long Time ◽  
Granger Causality Tests ◽  
Dynamic Relationships

Many studies have questioned empirical utilization of accounting data, as internal rates of return would be more consistent with the relevant economic concept. The paper investigates the dynamic relationships between different measures of accounting rates of return (ARRs) and an estimated internal rate of return (IRR). In contrast with the prevailing case-study investigations, we consider a panel for quoted Brazilian firms in the manufacturing industry for the 1988-3/2003-2 period. Granger causality tests are considered and the results indicate a bi-directional causality pattern when ROA (Net Profits/Total Assets) is considered as the accounting measure. This seems to indicate that there is some validity in using accounting rates of return in certain economic settings, especially when long time series are considered.

scholarly journals The relationship between the bio-energy concept stocks in Taiwan and the international stock markets

2008 ◽  
Vol 5 (4) ◽  
pp. 437-443
Author(s):  
Chia-Hsing Huang ◽  
Liang-Chun Ho
Keyword(s):  
Composite Index ◽  
Stock Index ◽  
Test Results ◽  
Company Stock ◽  
Energy Company ◽  
International Stock Markets ◽  
Energy Concept ◽  
Causality Tests ◽  
Variance Decompositions ◽  
The Relationship

This research explores the relationship among the bio-energy company stock index in Taiwan, TAIEX, DJI, Nikkei 225 and SSE composite index for a period from January 1, 2005 to March 11, 2008. Test results indicate two things are noteworthy: 1. Granger causality tests show that the interaction between the bio-energy company stock index in Taiwan and TAIEX is one-way only; however, that between the bio-energy company stock index in Taiwan and DJI is two-way. 2. According to the results of variance decompositions, though TAIEX has the highest explanation power; nevertheless, the explanation strength tends to decrease. On the contrary, DJI and Nikkei 225 manifest constantly increasing strength in explanation. Accordingly, the influence of DJI upon the bio-energy company stock index in Taiwan keeps rising and can’t be ignored.

scholarly journals The Weekend Effect in African Stock Markets

2019 ◽  
pp. 24-28
Author(s):  
Brinwa Kra ◽  
Xing Lu ◽  
Haiyan Yin
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Stock Markets ◽  
Weekend Effect ◽  
Stock Index ◽  
Stock Exchanges ◽  
Market Anomalies ◽  
Time Period ◽  
Negative Effect ◽  
Stock Market Anomalies

This study investigates daily stock market anomalies in the African stock markets, using two most representative stock index ETFs, each over at least eleven-year time period spanning from pre-financial crisis era to ten years into the financial crisis. This research attempts to test the presence of the weekend effect on stock returns in the African stock exchanges during the financial crisis. The results indicate a significant negative effect on Mondays. Our results shed some light on the degree of market efficiency in one of the major emerging capital markets in the world.

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

Sign in / Sign up

Export Citation Format

Share Document