An Investigation of Cointegration and Casualty Relationships between the PIIGS’ Stock Markets

Christopoulos, Apostolos; Papathanasiou, Spyros; Kalantonis, Petros; Chouliaras, Andreas; Katsikides, Savvas

doi:10.35808/ersj/421

Cited by 7 publications

(8 citation statements)

References 32 publications

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“…This section summarises the main findings and conclusions from previous analyses and studies on the stock exchange market analysis in Southeast Europe (Sinisa et al 2016;Christopoulos et al 2014;Saman and Szeles 2020). The overview is helpful to match the research path between this assignment and previous empirical research mostly mentioned in Kubiszewska and Potrykus (2020), specifically for Montenegro (Kaščelan et al 2014(Kaščelan et al , 2015Filipovski and Tevdovski 2017;Milošević-Avdalović and Milenković 2017;Stratimirović et al 2018;Živkov et al 2019).…”

Section: Review Of the Scientific Literaturementioning

confidence: 78%

Montenegrin Stock Exchange Market on a Short-Term Perspective

Backović

Karadžić

Gričar

et al. 2023

JRFM

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The objective of this study is to analyse the constitution of the emerging Montenegrin stock exchange. Four methodological time-series econometric steps are involved: the augmented Dickey–Fuller (ADF) test, run test, autocorrelation function (ACF) test, and Hurst test. The study utilises a daily data vector from 5 January 2004 to 20 June 2023, with a specific focus on the period encompassing the growth and peak of market stocks in 2007, followed by the significant 2008 financial crisis and subsequent developments thereafter. The analysis culminates on 28 May 2018, which is considered one of the lowest points in the Montenegrin stock exchange market in a comparative time-series assessment. The results of the tests conducted in this study do not provide empirical evidence supporting the random walk theory and its returns on aggregated shocks in the Montenegrin stock exchange market. By reviewing previous empirical studies and presenting new empirical findings, this study confirms the presence of stochastic trends in co-movements in finance, contributing to a deeper understanding of emerging stock exchange markets. Study implications support greater reliance on market efficiency, risk management, and portfolio diversification.

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Section: Review Of the Scientific Literaturementioning

confidence: 78%

Montenegrin Stock Exchange Market on a Short-Term Perspective

Backović

Karadžić

Gričar

et al. 2023

JRFM

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“…In addition, according to contracting theory, compensation plan incentives can drive managers to manipulate earnings and increase private gains. Although stock options could align management interests with shareholders' and reduce agency costs, they could also incentivize managers to take improper actions to increase earnings numbers (Christopoulos et al 2014;Dobbin and Jung 2010). Marrakchi Chtourou et al (2001) indicate the association between short-term stock options held by non-executive committee members and income-increasing earnings management.…”

Section: Background Information On Earnings Managementmentioning

confidence: 99%

“…Managers, whose compensation is linked to earnings targets and/or is concerned with short-term analyst forecasts, may engage in real earnings management. Such behavior often comes in the form of reduced R&D expenses to inflate earnings, collect earnings-linked bonuses, and gain a good reputation (Christopoulos et al 2014;Dobbin and Jung 2010;Marrakchi Chtourou et al 2001;Burgstahler and Dichev 1997;Graham et al 2005;Bartov et al 2002). However, this is likely to impede innovation, which is a crucial factor for economic growth and society's prosperity.…”

Section: Introductionmentioning

confidence: 99%

The Effect of Religion in European Financial Statement Disclosures: A Real Earnings’ Management Case

Toudas,

Zhu

2023

JRFM

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Prior research has extensively examined the relationship between religion and accrual-based earnings management. However, there is currently little research on the relationship between religion and real (non-accrual) earnings management, especially in Europe. This paper aims to fill this research gap and examines whether and how the effect of religion could be linked with firms’ real earnings management activities. Four hypotheses are developed and tested, with our results providing indications that the degree of overall religiosity is negatively and significantly associated with real earnings management. Furthermore, when investigating the effects of different religions in Europe, Christianity and Islam have the opposite impact on firms’ real earnings management activities. Overall, our paper indicates that in European countries, the religious environment can mitigate firms’ manipulations on earnings.

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“…Many studies [10,11] (Dempse & Edwards, 2008; Belle, 2007) have suggested that too much money is chasing too few green technology stocks, thus forming an uncanny bubble. Researchers have coined the term for this as a "Green Bubble" [10][11][12][13][14][15][16][17][18][19][20] Wimmer, 2016). However, inconsistent observations over a rather short period of time cannot even create a "stylized fact", let alone a "theory".…”

Section: Introductionmentioning

confidence: 99%

Deconstruction of the Green Bubble during COVID-19 International Evidence

et al. 2022

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Bubbles are usually chaotic but can be predictable, provided their formation matches the log periodic power law (LPPL) with unique stylized facts. We investigated Green Bubble behaviour in the stock prices of a selection of stocks during the COVID-19 pandemic, namely, those with the highest market capitalization from a basket of North American and European green energy or clean tech companies and the S&P Global Clean Energy Index. Moreover, the biggest Exchange Traded Fund (TAN) by market capitalization was also considered. The examined period is from 31 December 2019 to 11 October 2021, during which we detected 35 Green Bubbles. All of these followed the LPPL signature while calibrated through the 2013 reformulated LPPL model. In addition, the average drawdown emerged as four times that of the regular S&P-500 stock index (108% vs. 27%) under stressed conditions, such as the COVID-19 pandemic (stylized fact). Finally, the aftermaths of Green Bubbles, unlike regular bubbles, are not destructive, as these bubbles increase economic activity and infrastructure spending and are hence beneficial for holistic growth (described as Social Bubble Hypothesis). We document that there are benefits in adapting greener and more sustainable business models in energy production. Green and sustainable finance offers benefits and opportunities for stock exchanges, especially for energy stocks. As a result, many businesses are focusing on sustainability and adopting an eco-friendly business model, which helps the environment, helps sustainability and attracts investors.

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An Investigation of Cointegration and Casualty Relationships between the PIIGS’ Stock Markets

Cited by 7 publications

References 32 publications

Montenegrin Stock Exchange Market on a Short-Term Perspective

Montenegrin Stock Exchange Market on a Short-Term Perspective

The Effect of Religion in European Financial Statement Disclosures: A Real Earnings’ Management Case

Deconstruction of the Green Bubble during COVID-19 International Evidence

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