european stock markets
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2022 ◽  
Vol 12 ◽  
Author(s):  
Yunpeng Sun ◽  
Haoning Li ◽  
Yuning Cao

The effect of COVID-induced public anxiety on stock markets, particularly in European stock market returns, is examined in this research. The search volumes for the notion of COVID-19 gathered by Google Trends and Wikipedia were used as proxies for COVID-induced public anxiety. COVID-induced public anxiety was shown to be linked with negative returns in European stock markets when a panel data method was used to a sample of data from 14 European stock markets from January 2, 2020 to September 17, 2020. Using an automated trading system, we used this finding to suggest investment methods based on COVID-induced anxiety. The findings of back-testing indicate that these techniques have the potential to generate exceptional profits. These results have significant consequences for government officials, the media, and investors.


2021 ◽  
Vol 24 (4) ◽  
pp. 85-104
Author(s):  
Florin Aliu ◽  
Fisnik Aliu ◽  
Artor Nuhiu ◽  
Naim Preniqi

The study addresses the benefits of a unified stock market in terms of diversification risk for the eight CEE stock markets. For this purpose, each stock market was treated as a separate portfolio based on the companies listed during 2018–2019. Portfolio diversification techniques were used to identify risk linked with the eight Central Eastern European stock markets. The results show that the stock market with the lowest diversification risk was the Bulgarian Stock Exchange, followed by the Prague Stock Exchange, the Ljubljana Stock Exchange, and at the end stands the Zagreb Stock Exchange. The portfolio constructed from the Zagreb Stock Exchange carries the highest portfolio risk, but it also offers the highest weekly weighted average returns. Stock markets that benefit in terms of portfolio risk from unification are the Bratislava Stock Exchange, the Budapest Stock Exchange, the Bucharest Stock Exchange, the Warsaw Stock Exchange, and the Zagreb Stock Exchange. The indexes where the portfolio risk increases at the time of unification are the Bulgarian Stock Exchange, the Ljubljana Stock Exchange, and the Prague Stock Exchange. From a managerial perspective, financial investors get a novel outlook on the diversification possibilities offered within a hypothetical unified CEE stock market.


Author(s):  
Mohammad Mazibar Rahman ◽  
Chi Guotai ◽  
Anupam Das Gupta ◽  
Mahmud Hossain ◽  
Mohammad Zoynul Abedin

2021 ◽  
Vol 72 (05) ◽  
pp. 528-537
Author(s):  
CRISTI SPULBĂR ◽  
RAMONA BIRĂU ◽  
VICTOR OLUWI ◽  
ABDULLAH EJAZ ◽  
TIBERIU HORAȚIU GORUN ◽  
...  

This research study explores the diversification opportunity among 18 European stock market indices for the sample period from January 2001 to December 2019. However, financial education plays an important role in the development of the textile industry, considering the dynamics of the companies listed on the European stock exchanges. The correlation matrix, pairwise cointegration and Johansen cointegration reveal that selected 18 European stock market indices do not reduces the portfolio risk because exhibit higher positive correlation among them, and their movement pulsed in tandem. Potential investors are attracted by high investment opportunities in order to maximize their return based on portfolio diversification. Financial education can effectively contribute to the sustainable growth of the textile industry in Europe. This empirical research provides an integrated perspective on the long-term evolution of certain major European stock exchange indices. The findings have significant implications for investors interested in selecting these European stock indices in order to diversify their portfolio risk. Our study also imply that selected stock indices have been strongly affected by similar political and financial belies across Europe thus, eliminating the possibility of portfolio risk diversification.


2021 ◽  
Vol 14 (9) ◽  
pp. 443
Author(s):  
Joana Almeida ◽  
Raquel M. Gaspar

Equity studies are conducted by professionals, who also provide buy/hold/sell recommendations to investors. Nowadays, target prices determined by financial analysts are publicly available to investors, who may decide to use them for investment purposes. Studying the accuracy of such analysts’ forecasts is, thus, of paramount importance. Based upon empirical data on 50 of the biggest (larger capitalisation) European stocks over a 15-year period, from 2004 to 2019, and using a panel data approach, this is the first study looking at overall accuracy in European stock markets. We find that Bloomberg’s 12-month consensus target prices have no predictive power over future market prices. Our panel results are robust to company fixed effects and subperiod analysis. These results are in line with the (mostly US-based) evidence in the literature. Extending common practice, we perform a comparative accuracy analysis, comparing the accuracy of target prices with that of simple capitalisations of current prices. It turns out target prices are not better at forecasting than simple capitalisations. When considering individual regressions, accuracy is still very low, but it varies considerably across stocks. By also analysing the relationship between both measures—target prices and capitalised prices—we find evidence that, for some stocks, capitalised prices partially explain how target prices are determined.


2021 ◽  
Vol 9 ◽  
Author(s):  
Hao Fang ◽  
Chien-Ping Chung ◽  
Yen-Hsien Lee ◽  
Xiaohan Yang

Unlike past health crises that were more localized, the highly contagious coronavirus disease 2019 (COVID-19) crisis is impacting the world to an unprecedented extent. This is the first study examining how and whether the COVID-19 pandemic affects herding behavior in the Eastern European stock markets. Using samples from the stock markets of Russia, Poland, the Czech Republic, Hungary, Croatia, and Slovenia from January 1, 2010 to March 10, 2021, we demonstrate that the COVID-19 pandemic has increased herding behavior in all the sample stock markets. Our results show that the COVID-19 crisis reinforces the impact of global market returns on herding behavior in these specific stock markets. We find that COVID-19 strengthens the spillover effect of regional herding on herding behavior. Thus, financial authorities should monitor investors in the stock market to avoid the increase in herding behavior as well as the reinforcement of the global market returns and regional return dispersion on herding during the period of pandemic.


Laws ◽  
2021 ◽  
Vol 10 (3) ◽  
pp. 55
Author(s):  
Marius Cristian Miloș

The paper investigates whether the implementation of MiFID II, a packet of financial legislation applying broadly to European Union financial markets, has led to a change in the volatility of some European developed and emerging stock markets. We show that for the developed capital markets considered in the analysis, MiFID II did not lead to a decrease in the volatility of capital markets. On the contrary, for all analysis intervals considered (3 months, 6 months, 12 months, 18 months and 24 months), the impact on volatility is positive, with volatility increasing in the case of the FTSE 100, CAC40 and DAX stock indexes. There is a similar significant relationship for the Czech stock market, but only over the three-month interval. For the Polish and Romanian stock markets, which enforced MiFID II later, a negative impact of MiFID II on volatility could also be observed. In the Romanian market, MiFID II had a negative impact on volatility on the short-term horizon, while for the Polish market, the impact of MiFID II on volatility is noticeable on a longer term of 24 months.


2021 ◽  
Vol 14 (6) ◽  
pp. 249
Author(s):  
Nektarios Aslanidis ◽  
Charlotte Christiansen ◽  
Christos S. Savva

We investigate the risk–return trade-off on the US and European stock markets. We investigate the non-linear risk–return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk–return trade-off is significantly positive at the upper tail (0.9 quantile), where the upper tail is large positive excess returns. The positive trade-off is as expected from asset pricing models. For the lower tail (0.1 quantile), that is for large negative stock returns, the trade-off is significantly negative. Additionally, for the median (0.5 quantile), the risk–return trade-off is insignificant. These results are recovered for the US industry portfolios and for Eurozone stock market portfolios.


2021 ◽  
Vol 6 (1) ◽  
pp. 21-44
Author(s):  
Mercédesz Mészáros ◽  
Dóra Sallai ◽  
Gábor Dávid Kiss

Abstract Stock market indices are the benchmark of valuation uncertainty. Funding conditions can have an impact on the discounting process. Therefore time-premium, country-specific premia as well as (un)conventional monetary policy should be considered when studying market volatility. The aim of our research is to identify the effects of the unconventional monetary policy of European central banks on stock markets and to explore specific aspects of the relationship between domestic quantitative easing and the influence of the ECB, through the pattern of small, open economies in Europe. This study employs quantile panel regression to compare the 25% (calming) and 75% (stressed) scenarios of quarterly averaged conditional variance and compares them with an ordinary linear panel regression.


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