CEE and SEE equity market return spillovers: Creating profitable investment strategies

Škrinjarić, Tihana

doi:10.1016/j.bir.2020.09.006

Cited by 7 publications

(4 citation statements)

References 52 publications

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“…The analysed countries are the following: Bosnia and Herzegovina, Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania and Serbia. The reason to investigate these markets is their connectedness, which was confirmed in the papers investigating the pre-pandemic period (for example, Šikić, Šagovac, 2017; Dedi, Škorjanec, 2017; Latinović et al, 2018;Škrinjarić, 2020;Maras, 2022; just to name some of the newest findings), while the overview of the papers concerned with connectedness during the pandemic is described in the literature overview of this paper. The overview of papers detecting inter-connectedness of CEE markets and its connectedness with other markets can be found in Rehman et al (2022).…”

Section: Introductionmentioning

confidence: 68%

COVID-19 pandemic impact on investment prospective in selected CEE stock markets: A stochastic dominance approach

Kedžo

2022

Croatian Review of Economic, Business and Social Statistics

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The COVID-19 pandemic and its impact on the stock markets in the Central and East European (CEE) countries have been investigated in many papers, but mostly from the perspective of the market connectedness and the spillovers. None of the existing researches addressed the potential changes in the investors’ utility in a certain market caused by the pandemics. Therefore, this paper compares investors’ prospective in the periods before and during the pandemics in the selected CEE markets in terms of their utility and provides a new aspect to this research field. The analysis includes Bosnia and Herzegovina, Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania and Serbia. By using the first two degrees of the stochastic dominance (SD) criteria, market returns before and during the pandemics are compared in order to find dominant (efficient) investment alternative for all investors who prefer greater return and smaller variance (risk averters). This procedure is executed within a certain market and between different markets in these two periods. The results indicate that there is no dominance between pre-pandemic and pandemic returns for all CEE markets when the whole distribution is observed, indicating that the markets generally recuperated in the mid-run. The dominance relations can be found only in the trimmed series. Moreover, it is possible to find CEE markets which dominate over some other, in both pre-pandemic and pandemic period, representing a better investment opportunity for all risk averters.

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Section: Introductionmentioning

confidence: 68%

COVID-19 pandemic impact on investment prospective in selected CEE stock markets: A stochastic dominance approach

Kedžo

2022

Croatian Review of Economic, Business and Social Statistics

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“…The size of the company's ability to earn profits will directly affect the return expected by investors to be even greater. This could increase the firm value (Bahloul & Bouri, 2016;Saidi, 2004;Škrinjarić, 2020;Yavar Panah et al, 2014). Previous research concluded that profitability is significantly affected (Ayem Nugroho, 2016;Chen et al, 2017;Sucuahi & Cambarihan, 2016).…”

Section: Moderating Effect Of Profitabilitymentioning

confidence: 99%

Moderating effect of profitability: An analysis of factors that determine firm value in the Jakarta Islamic Indeks

Amri,

Sagita,

Ramadhi

2023

IQTISHADIA

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The value of a firm is often examined by linking the factors that influence on its value. However, this method is no longer adequate because profitability also has a significant role in determining the value of a firm. Thus, incorporating the role of profitability in strengthening firm value is a necessary further step. This quantitative research uses samples of all JII companies within five years, from 2016 to 2020. Seventy financial statements were obtained as samples. Secondary data were obtained through the company website and www.idx.go.id. The analysis of data adopted was the Structural Equation Modelling (SEM) with the help of Smart PLS software. The findings show that the liquidity and debt policy have a positive and significant effect on firm value, but the capital structure, dividend policy, and profitability have no effect on firm value. Meanwhile, profitability has an effect as a moderator in the relationship between liquidity and debt policy on firm value. Nevertheless, profitability has no effect on the relationship between capital structure and dividend policy on firm value. This study could have practical implications whereby investors are more aware that stocks listed in the JII also have bright prospects in addition to their conventional counterparts.

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“…The authors utilized the spillover index methodology to obtain information about the dynamics of the observed sample's net emitters and receivers of risk shocks. One author [46] has applied the spillover index methodology for the eleven selected CESEE markets to evaluate the sources of shock spillovers between them. The research aimed to obtain insights for good portfolio rebalancing over time so that interested investors could maximize portfolio values based on the results.…”

Section: Multivariate Analysesmentioning

confidence: 99%

Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets

Škrinjarić

2022

Mathematics

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The interconnectedness of stock markets is an important topic in empirical research, as spillovers on financial markets matter for asset pricing, portfolio allocation, financial stability, and risk management. This research focuses on all four moments of return distributions on stock markets and their spillovers between CESEE (Central, Eastern, and South-Eastern Europe) stock markets. Higher moments analysis needs to be explored more deeply, but can provide detailed insights into distribution shifts of market returns due to shocks in other markets. This research fills such a gap in the literature by estimating spillover effects between the four moments of stock market return distributions. Based on data from January 2013 to September 2022, the VAR (vector autoregression) model is estimated for individual moments across stock markets as a base for the calculation of spillover indices. The main findings indicate that it is difficult to track all the spillovers at once as the net emitter of shocks to one or other of the countries involved often change to being a net receiver and vice versa. Moreover, higher moments spillovers matter for individual markets, which has important implications for dynamic portfolio selection.

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CEE and SEE equity market return spillovers: Creating profitable investment strategies

Cited by 7 publications

References 52 publications

COVID-19 pandemic impact on investment prospective in selected CEE stock markets: A stochastic dominance approach

COVID-19 pandemic impact on investment prospective in selected CEE stock markets: A stochastic dominance approach

Moderating effect of profitability: An analysis of factors that determine firm value in the Jakarta Islamic Indeks

Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets

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