The significance of non-financial information flows in risk management

Arnerić, Josip; Jurun, Elza; Rozga, Ante

doi:10.1109/icemt.2010.5657542

Cited by 2 publications

(3 citation statements)

References 10 publications

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“…The impact of the Bank of Albania and the government and the informality of the market exclude the actual value by keeping the euro currency under partial control with low volatility and risk. This aligns with the research conducted by [26]. Based on the results, it appears that the EUR is the most stable currency, but it has a low yield of approximately 0.04.…”

Section: Lamanisupporting

confidence: 88%

“…However, when markets are not efficient, speculation can occur. Knowledge of investor expectations is necessary to determine the direction and magnitude of price changes, and the CAPM model can help eliminate hidden market factors [26]. In a study conducted by Tudor (2011), the efficiency of the Romanian stock market was analyzed using monthly data from 2002 to 2008 for 60 companies listed on the Stock Exchange in Bucharest.…”

Section: Literature Reviewmentioning

confidence: 99%

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An Assessment in Terms of Investment Efficiency in an Informal Economy. A Case Study with 30 Years Biased Data from Albanian Forex Market

Lamani

2023

IETI Trans. Data Anal. Forecast.

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While observing the charts of the foreign exchange market in Albania, it is evident that the market in Albania is less dynamic than the market in the region. The financial system in Albania needs more information to build strategies, for there is a lack of financial transparency. It is a controlled financial system to a certain extent. Most banks contribute to the market, as do financial companies, individual speculators, and import-export companies. By examining these charts, one can discern the fractal and repetitive patterns within the behavior of the financial market. Empirical evidence indicates a notable interdependence and correlation between price movements. This paper empirically explores the possibilities of investing with an efficient risk-return ratio using the data from the Bank of Albania. This analysis presents an approach to portfolio theory while working with biased data in an informal economy. It addresses the question of which asset investments are efficient for the informal economy in Albania over a span of 30 years. The analysis encompasses nine different assets are considered for the analysis: USDALL, GBPALL, CHFALL, EURALL, XAUALL, XAGALL, JPYALL, AUDALL, and CADALL.

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Section: Lamanisupporting

confidence: 88%

Section: Literature Reviewmentioning

confidence: 99%

An Assessment in Terms of Investment Efficiency in an Informal Economy. A Case Study with 30 Years Biased Data from Albanian Forex Market

Lamani

2023

IETI Trans. Data Anal. Forecast.

View full text Add to dashboard Cite

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“…If dividends are to increase, prices increase as well, if dividends are to decrease, prices of the stock decrease. Arnerić, Jurun & Rozga (2010) paper confirms the existence of significant correlation between the information content of the incoming news and price volatility. Their results indicate that the influence of bad news on price changes is greater than of the good ones.…”

Section: Literature Overviewsupporting

confidence: 74%

Insider Trading at Zagreb Stock Exchange

Kuveždić¹,

Dedi

2022

Zagreb International Review of Economics and Business

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This paper is the first paper that systematically observes and describes all publicly available data on insider trading on the Zagreb Stock Exchange during the period of June 2010 - June 2021. To accomplish this objective both parametric and non-parametric event-study tests are conducted using the data collected from 827 notifications published on the Zagreb Stock Exchange website. After filtering the notifications for overlapping events, there were 48 insiders’ purchase events and 50 insiders’ sales events. The results indicate that insiders can earn abnormal returns on share purchases based on their insider knowledge and that the information on insider purchases can bring additional information to outside investors. However, in the case of notifications of share sales by insiders, Cumulative Average Abnormal Returns (CAARs) after the event are not statistically significant and are just slightly positive, thus bringing no abnormal returns for insiders and not conveying information to the public. This suggests that the market may perceive sales having a lower informational content, as motivation for sales may be other needs, such as liquidity.

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The significance of non-financial information flows in risk management

Cited by 2 publications

References 10 publications

An Assessment in Terms of Investment Efficiency in an Informal Economy. A Case Study with 30 Years Biased Data from Albanian Forex Market

An Assessment in Terms of Investment Efficiency in an Informal Economy. A Case Study with 30 Years Biased Data from Albanian Forex Market

Insider Trading at Zagreb Stock Exchange

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