Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets

Angelovska, Julijana

doi:10.1515/zireb-2017-0014

Cited by 4 publications

(2 citation statements)

References 26 publications

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“…Then, in the research Angelovska (2017) an empirical investigation of the long-run relations and short-term dynamics between the two Balkan stock markets: Macedonia and Croatia, was carried out. Granger's causality tests found two bidirectional or full causality between Macedonian and Croatian stock markets.…”

Section: Previous Research and Hypothesis Developmentmentioning

confidence: 99%

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Adristi,

Moin

2023

JSB

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Objectives ─ This research aims to examine the long-term and short-term dynamic relationships of the major stock market indices in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) due to the impact of the ammonium nitrate explosion. (NH4NO3) in Beirut, Lebanon. Method ─ This research used samples after the explosion of ammonium nitrate (NH4NO3) in Beirut, Lebanon, from 10 August 2020 to 17 December 2020. Long-term and short-term dynamic relationships due to the impact of the ammonium nitrate (NH4NO3) explosion in Beirut, Lebanon were tested using the Johansen Cointegration Test and Granger Causality Test methods. Findings ─ The results show that: (1) There is a cointegration relationship in the return of the country stock market index in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) after the explosion; (2) there is no bi-directional causality relationship or unidirectional relationship between benchmark variables, that is Return BLOM Stock Index (BLSI) with the Return TA-35 (TA35), Return Amman SE General (AMGNRLX), Return Tadawul All Share Index (TASI), and Return Indeks Harga Saham Gabungan (IHSG) variable after the explosion event. Originality ─ This paper presents a novelty with a study of events that link human events and capital market indices.

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Section: Previous Research and Hypothesis Developmentmentioning

confidence: 99%

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Adristi,

Moin

2023

JSB

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“…The capital market is a meeting place for sellers and buyers to conduct capital commodity trading transactions. (Angelovska, 2017) states that the capital market can be defined as a market for the sharing of long-term tradable financial instruments (or securities), both in the form of debt and equity, whether issued by the government, public authorities, or private companies. These capital commodities are divided into two groups, namely debt capital and equity capital.…”

Section: Capital Marketmentioning

confidence: 99%

Islamic Stock Overreaction Phenomenon on Financial Statement: An Event Study

Utama

2021

EkBis

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The purpose of this study is to examine whether there is an overreaction phenomenon in the announcement of financial statements during the observation period. The sample used in this study are stocks listed on the Indonesia Stock Exchange in the Jakarta Islamic Index (JII) category during the 2016-2018 period. T test results on the winner category stock prior to the announcement of the financial statement event which AAR value tends to be negative then AAR changed to positive on the date of the announcement of financial statements. On the contrary, AAR was seen to remain positive and statistically significant even to the 10th day after the announcement of the financial statements. After the announcement of the financial statements, investors do not appear to correct stock prices as an indication that they have overreacted. It’s shows that there was no reversal after the announcement of the financial statements. AAR loser and winner shares did not experience a reversal after the announcement of the financial statements. Results indicate that there is no overreaction phenomenon in the announcement of financial statements on the Indonesia Stock Exchange

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Developing and Developed Mediterranean Stock Exchanges: Interdependence in Periods of Crisis and Stability

STEVCEVSKA SRBINOSKA,

MEMISHI

2024

Studia UBB Negotia

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"This research aims to explore how the stock exchange indexes of developed and developing Mediterranean countries are interrelated, both during times of crisis and stability. Specifically, it examines the association between Macedonia's MBI10 index and the stock exchange indexes of Serbia (BELEX15), Italy (FTSE MIB), and Spain (IBEX35) from 2005 to 2022 using monthly data. To understand how crises impact the relationships between these markets, the study breaks down the timeframe into four distinct periods: before the Great Financial Crisis (pre-GFC), during the GFC, after the GFC (post-GFC), and during the Covid-19 pandemic and energy crisis. Through Pearson correlation and linear regression analyses, the findings show that the MBI10's correlation with the BELEX15, FTSE MIB, and IBEX35 indexes was strongest during the GFC. However, this correlation dropped significantly during the Covid-19 pandemic and energy crisis. Keywords: Mediterranean, stock exchange, Great Financial Crisis, interdependence, Covid-19, energy crisis JEL Classification: F02, F21, G15"

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Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets

Abstract: The aim of this study is the empirical investigation of the long-run relations

Cited by 4 publications

References 26 publications

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Islamic Stock Overreaction Phenomenon on Financial Statement: An Event Study

Developing and Developed Mediterranean Stock Exchanges: Interdependence in Periods of Crisis and Stability

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