European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries

Alexandre, Paulo; Dias, Rui; Heliodoro, Paula

doi:10.31410/balkans.jetss.2020.3.1.78-86

Cited by 8 publications

(7 citation statements)

References 43 publications

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“…These events significantly infected developed economies, however, this significance was not dense in emerging economies. Understanding the synchronism between stock markets, as well as the study on the occurrence of movements in periods of turbulence is important for investors, investment fund managers, academics, in various aspects, particularly when it is to implement strategies for diversifying efficient portfolios (Alexandre, Dias, and Heliodoro, 2020;Alexandre, Heliodoro, and Dias, 2019;Dias, and Pereira, 2020;Dias and Carvalho, 2020;Dias, da Silva, and Dionysus, 2019;Alexandre, 2019, 2020;Dias, Heliodoro, Alexan-dre, Santos, and Farinha, 2021;Vasco, 2020a, 2020b;Dias, Heliodoro, Alexandre, et al, 2020a, 2020aDias, Heliodoro, Teixeira, andGodinho, 2020a, 2020b;Dias, Pardal, Teixeira, & Machová, 2020c;Heliodoro, Dias, Alexandre, and Vasco, 2020;Sparrow, P., Dias, R., Šuleř, P., Teixeira, N., and Krulický, 2020;Santos and Dias, 2020).…”

Section: Introductionmentioning

confidence: 99%

Random Walks and Market Efficiency Tests: Evidence for Us and African Capital Markets

Dias¹,

Santos²,

Alexandre³

et al. 2021

International Scientific Conference EMAN – Economics and Management: How to Cope With Disrupted Times

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The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. This economic conflict resulted in a sharp drop in the price of oil in 2020, as well as crashes in international markets. In the light of these events, our aim was to test the efficient market hypothesis, in its weak form, in the stock markets of Botswana (BSE), Egypt (EGX 100), Kenya (NSE 20), Moroccan All Shares (MASI), Tunisia (Tunindex), and the MARKET of the USA (DOWJONES INDUSTRIALS), in the period of Septem¬ber 2, 2019 to January 11, 2021. The results therefore support the evidence that the random walk hypoth¬esis is not supported by the financial markets analyzed in this period of global pandemic. The values of variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there is reversal to the mean. In order to validate the results, we estimate the model αDFA that shows that the stock markets NSE 20 (0.75), TUNINDEX (0.69), MASI (0.63), EGX 100 (0.64), BSE (0.61), DOW JONES (0.58) show autocorrelation in their profitability, that is, these markets show signs of (in) efficiency, in its weak form, persistence in profitability, validating the results of the variance test by Rankings and Wright Signs. In conclusion we can show that the U.S. stock market has more market efficiency when compared to the African stock markets analyzed. The authors consider that the results achieved are of interest to investors looking for opportunities for portfolio diversification in these regional stock markets.

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Section: Introductionmentioning

confidence: 99%

Random Walks and Market Efficiency Tests: Evidence for Us and African Capital Markets

Dias¹,

Santos²,

Alexandre³

et al. 2021

International Scientific Conference EMAN – Economics and Management: How to Cope With Disrupted Times

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“…If a given stock market is strongly linked to another country's stock market, the financial stability of the former depends in part on the financial stability of the second. For this reason, a close or strong link between markets increases the levels of vulnerability to external shocks and, consequently, influences the economic conditions and welfare levels of their respective countries, as well as the efficiency of the market itself (Alexandre, Heliodoro and Dias, 2019;Dias, da Silva and Dionysus, 2019;Alexandre, 2019, 2020;Alexandre, Dias and Heliodoro, 2020;Heliodoro et al , 2020Heliodoro et al , , 2020Heliodoro, Dias and Alexandre, 2020;Heliodoro, 2020, 2020;, 2020a, 2020bDias, Sparrow, et al , 2020) .…”

Section: Introductionmentioning

confidence: 99%

Stock Market Efficiency in Africa: Evidence From Random Walk Hypothesis

Dias¹,

Santos²

2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

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This paper aims to test the efficient market hypothesis, in its weak form, in the stock markets of BOTSWANA, EGYPT, KENYA, MOROCCO, NIGERIA and SOUTH AFRICA, in the period from September 2, 2019 to September 2, 2020. In order to achieve this analysis, we intend to find out if: the global pandemic (Covid-19) has decreased the efficiency, in its weak form, of African stock markets? The results therefore support the evidence that the random walk hypothesis is not supported by the financial markets analyzed in this period of global pandemic. The values of variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there is reversal to the mean, and no differences were identified between the stock markets analyzed. The authors consider that the results achieved are of interest to investors looking for opportunities for portfolio diversification in these regional stock markets.

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“…We have seen a strong correlation between past and future data series, which makes it possible for the investor to have anomalous profitability when selecting an appropriate trading strategy. The possibility of investors being able to pre-dict future price changes may lead to imbalances in financial markets, making it difficult to implement efficient portfolio diversification strategies (Alexandre, Dias, and Heliodoro, 2020;Alexandre, Heliodoro, and Dias, 2019;Dias, R. and Pereira, 2020;Dias and Carvalho, 2020;Dias, da Silva, and Dionysus, 2019;Dias, Heliodoro, and Alexandre, 2019, 2020b, 2020aDias, Heliodoro, Alexandre, Santos, and Farinha, 2021;Vasco, 2020a, 2020b;Dias, Heliodoro, Alexandre, et al, 2020a, 2020aDias, Heliodoro, Teixeira, and Godinho, 2020;Dias, Pardal, Teixeira, and Machová, 2020;Dias, Teixeira, Machova, et al, 2020;Heliodoro, Dias, Alexandre, and Vasco, 2020;Sparrow, P., Dias, R., Šuleř, P., Teixeira, N., and Krulický, 2020;Santos and Dias, 2020).…”

Section: Introductionmentioning

confidence: 99%

Has the Global Pandemic of 2020 Led to Persistence in the Share Prices of Large Global Companies?

Santos¹,

Dias²,

Vasco³

et al. 2021

International Scientific Conference EMAN – Economics and Management: How to Cope With Disrupted Times

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This paper aims to analyze the predictability of the stocks of Apple, Microsoft Amazon.com, Tesla, Facebook, Samsung, Electronics, Johnson & Johnson, Walmart, in the period from October 1, 2019 to January 11, 2021. To carry out such an analysis, it is intended to answer two research questions, namely: (i) is there predictability in the stock prices of the companies under analysis? (ii) Can investors diversify risk by incorporating these companies’ shares into their portfolios? The results of the Exponents Detrended Fluctuation Analysis (DFA) show that Apple (0.51) Microsoft (0.49), Amazon.com (0.53), Samsung Electronics (0.53), Johnson & Johnson (0.53) do not have long memories in their time series, that is, investors cannot obtain abnormal profitability without incurring additional risk. Walmart (0.41) has anti-persistence, while Tesla (0.60), Facebook (0.55) indicate some predictability, meaning investors adjusting their trading strategies to the necessary missteps may have some above-average profitability, which partly rejects the first question of the research. To answer the second research question, we estimated the Detrended cross-correlation coefficient (pDCCA) model, which indicates 17 mean correlation coefficients (≈ 0.333 → ≈ 0.666), 7 strong cross-trend correlation coefficients (0.666 → ≈ 1,000), 4 weak correlation coefficients (≈ 0.000 → ≈ 0.333). These results show that investors should be careful to incorporate the shares of these companies into a single portfolio; the suggestion would be to group only the shares of companies that do not present predictability and have low rhoDCCA. The authors consider that this evidence will be important for institutional investors when carrying out trading strategies based on maximizing profitability, but also mitigating risk when diversifying.

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European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries

Cited by 8 publications

References 43 publications

Random Walks and Market Efficiency Tests: Evidence for Us and African Capital Markets

Random Walks and Market Efficiency Tests: Evidence for Us and African Capital Markets

Stock Market Efficiency in Africa: Evidence From Random Walk Hypothesis

Has the Global Pandemic of 2020 Led to Persistence in the Share Prices of Large Global Companies?

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