Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets

Kubiszewska, Katarzyna; Potrykus, Marcin

doi:10.35808/ersj/1731

Cited by 1 publication

(2 citation statements)

References 22 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…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). The random walk theory, as proposed by Fama (1965), is commonly tested in emerging markets to assess their level of efficiency, specifically in terms of weak-form efficiency.…”

Section: Review Of the Scientific Literaturementioning

confidence: 99%

“…This was under the framework of the Law on Money and Capital Market. However, it is worth noting that despite its establishment in this year (1993), the first transaction involving long-term bond did not occur until the enactment of the Law on Securities by the Parliament in 2002, as referenced in the studies by Karadžić and Vulić (2011) and Kubiszewska and Potrykus (2020).…”

Section: Review Of the Scientific Literaturementioning

confidence: 99%

See 1 more Smart Citation

Montenegrin Stock Exchange Market on a Short-Term Perspective

Backović

Karadžić

Gričar

et al. 2023

JRFM

View full text Add to dashboard Cite

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.

show abstract