Comovements of Financial Markets in the EU countries

Levišauskaitė, Kristina; Aleknevičienė, Vilija; Aleknevičiūtė, Eglė

doi:10.5755/j01.ee.25.3.5079

Cited by 3 publications

(3 citation statements)

References 28 publications

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“…However, during the European debt crisis, the Baltic markets were affected. Some authors investigated the Baltic stock markets by including other European markets, for example, Levisauskaite et al (2014) studied the co-movement between bonds and stocks for 52 market indices, while Pilinkus and Boguslauskas (2009) studied the relationship between the Lithuanian stock price and macroeconomic variables.…”

Section: Introductionmentioning

confidence: 99%

Time-varying Co-Movement And Volatility Transmission Between The Oil Price And Stock Markets In The Baltics And Four European Countries

Bein

2017

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The paper explores time-varying co-movement and volatility transmission between three Baltic (Estonia, Latvia and Lithuania) stock markets and two international crude oil indices (Brent and West Texas Intermediate (WTI)). It also investigates the relation between two major oil-importing (the EU and the UK) and oil-exporting (Norway and Russia) European countries and the two oil indices. We use daily data from 3 January 2000 to 18 January 2016. The DCC-GARCH model was employed to account for the time-varying in this study, which yielded several important findings. We found that the Baltics have a positive albeit lower level of time-varying co-movement with the international oil markets. In addition, the results revealed that the impacts of oil shocks in the Baltics are also lower than in the other four European markets. However, this finding is contrary to the existing literature, which argues that the Baltics are integrated. Considering the time-varying and volatility transmission with the oil-importing and oil-exporting countries, we found that there exists high-level time-varying co-movement. We also found that the volatility transmission and the magnitude of shocks from the oil markets are higher in oil-exporting countries. This result has important implications, especially for international investors and oil companies seeking to benefit from risk diversification and hedging techniques.

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Section: Introductionmentioning

confidence: 99%

Time-varying Co-Movement And Volatility Transmission Between The Oil Price And Stock Markets In The Baltics And Four European Countries

Bein

2017

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“…Gaspareniene et al (2019) identified the link between corporate borrowing in the financial markets and bank requirements for borrowers based on the strict legal regulation of the banking sector. Levisauskaite et al (2014) included both Latvia and Lithuania in their analysis of the link between the stock market and sovereign bond markets in the European Union (EU) countries, while one of the conclusions indicated that the Lithuanian market distinguished from other European countries as assumed by the authors, potentially caused by lack of data, different indi-ces used or the country being among new members of the European Union. Arefjevs&Braslins (2013) analysed the Latvian sovereign bond segment from the perspective of the credit rating and found that GDP growth rate and unemployment explain the credit ratings of Latvia for the period analysed.…”

Section: Literature Reviewmentioning

confidence: 99%

Going Global or Staying Local: Determinants of Domestic and International Corporate Bond Issues in the Baltics

Tocelovska,

Vainovskis,

Lenerts

2023

EIS

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In the period 2017-2022, there has been a notable growth in international bond placements by Baltic companies, which is distinct from corporate bond issuance in the European Economic Area. While the Baltic governments have demonstrated an increased focus on the corporate bond market development – the pan-Baltic Capital Markets Union launched in 2017 and covered bond law as adopted in Latvia in 2021, those activities are not directly linked to the ongoing shift to international corporate borrowing. In the academic literature, the determinants affecting corporate bond issuance are getting certain attention while studying separately the country-level determinants and the firm-level determinants, which are further split into domestic and international corporate bond issuance. For the Baltic countries, rare academic research has focused on the corporate bond market development of an individual Baltic country. This paper aims to discover the determinants for domestic and international corporate bond issuance of Baltic companies. While providing theoretical insight into corporate bond issuance rationale for both domestic and international placements, the paper focuses on factors that have contributed to firms choosing to issue bonds internationally. The methods applied in this study are scientific publication analysis, document analysis, expert survey, in-depth interviews, and statistical data analysis. For the statistical analysis, macroeconomic data was acquired from Cbonds, The World Bank, and International Monetary Fund databases in combination with company-specific data gathered from Nasdaq CSD, Orbis, Lursoft, Storybook, and Rekvizitai. The authors have employed a panel regression model for domestic and international bond issuance, and probit regression for all issued bonds in the Baltics from 2003-2022 to estimate the probability of pursuing bond financing internationally. The findings of this paper indicate that in the Baltics the main firm-level determinants for domestic corporate bond issuance are the company’s financial performance, its geographic exposure, documentation and listing costs, and access to alternative funding sources; on the country-level, the determinants are the share of sovereign international bonds of GDP, corruption perception, and exports as a share of GDP. For issuing international corporate bonds, the main determinants on the firm-level are bond placement size, company size, equity ratio, a satisfactory credit rating, and appropriate yields in the context of higher competition for international investor attention; on the country-level, GDP per capita, country’s export share, interest rate spread, regulatory quality, and political stability play an important role.

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“…The Pearson correlation coecient was developed by the famous statistician Karl Pearson in the 20th century to calculate the correlation coecient of straight lines. This coecient has been widely used to test the correlation relationship between the stock and bond markets [32] and between the stock market and the performance of a listed company [33].…”

Section: Pearson Correlation Analysismentioning

confidence: 99%

Transmission characteristics of investor sentiment for energy stocks from the perspective of a complex network

Liu

Hao

et al. 2018

J. Stat. Mech.

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Energy stock investor sentiment reflects the investment desires and expectations of investors and plays a significant role in the investment decisionmaking process and in asset value. There are many ways to measure investor sentiment; for example, the development of the Internet makes it possible to use the online comments of investors to portray their sentiments. Taking a complex network perspective, this paper selected the PetroChina Company Limited as the research object, obtained 96839 investor online comments and analyzed their emotional tendencies and sentiment transmission process. In addition, on this basis, we examined the relationship between investor sentiment and stock price volatility to analyze the transmission characteristics of investor sentiment. The results show that, overall, PetroChina investor sentiment experienced stable fluctuations over the past five years, and stock returns fluctuated within the range of investors' acceptable volatility. In addition, a weak positive correlation is found between investor sentiment and stock returns. The investor sentiment transmission network has scale-free characteristics and cluster eects. This paper is helpful for PAPER: Interdisciplinary statistical mechanics

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Comovements of Financial Markets in the EU countries

Abstract: This article examines comovements between stock and government bond markets in the EU countries. Previous authors mostly indicated significant highly volatile comovements between the markets. In addition, it was proven in several markets that in times of

Cited by 3 publications

References 28 publications

Time-varying Co-Movement And Volatility Transmission Between The Oil Price And Stock Markets In The Baltics And Four European Countries

Time-varying Co-Movement And Volatility Transmission Between The Oil Price And Stock Markets In The Baltics And Four European Countries

Going Global or Staying Local: Determinants of Domestic and International Corporate Bond Issues in the Baltics

Transmission characteristics of investor sentiment for energy stocks from the perspective of a complex network

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