What is the Degree of Convergence among Developed Equity Markets?

Dorodnykh, Ekaterina

doi:10.5430/ijfr.v3n2p2

Cited by 3 publications

(2 citation statements)

References 52 publications

(42 reference statements)

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“…The first group of literature emphasizes that extreme events generate a high volatility in equity markets comovements and lead to contagion and tail dependence [36][37][38][39][40][41][42][43][44][45][46][47][48]. The second group of studies focuses on the issue of stock market integration [49][50][51][52][53][54].…”

Section: Literature Reviewmentioning

confidence: 99%

The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

2019

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This paper analyses the link between exchange rates and stock markets in four Central and Eastern European countries. We simultaneously explore the comovements of foreign exchange markets and stock markets at the cross-country level and the link between these two markets within each country while employing a Dynamic Conditional Correlation Mixed Data Sampling (DCC-MIDAS) model. Such an approach to financial markets conveys a much more visible picture of the existing patterns of financial integration between these markets that would otherwise be neglected. The estimates reveal significant differences between the patterns of correlation in our sample countries. First, the paper finds a quite low degree of convergence between foreign exchange markets, with rising correlations during some of the crisis episodes. Second, both the 2004 European Union enlargement and the European sovereign debt crisis underpin the stock market comovements in the Central and Eastern European countries. Third, the correlations between the exchange rate returns and stock markets rise mostly during the European sovereign debt crisis and to a lesser extent during the global financial crisis, revealing signs of contagion and lower portfolio diversification opportunities. These results are of utmost relevance for the process of financial integration and they also have important implications for policy makers, risk management, and investors.

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Section: Literature Reviewmentioning

confidence: 99%

The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

2019

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“…We need to reassess the unexplored factors that may influence it [28] . These include, for example, tax policy, the competitive environment, technological developments and the development of the labor market [29] . Firms may also consider restructuring their business models, seeking new markets and investing in research and development.…”

Section: Literature Reviewmentioning

confidence: 99%

<p>Assessing the Effect of Monetary Policy on the Competitiveness of Agricultural Enterprises</p>

Kozelský,

Maitah,

Cvik

et al. 2024

Res. World Agric. Econ.

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There are many scientific works the effects of monetary policy on the competitiveness of enterprises. However, no research has yet been conducted on agricultural enterprises. Therefore, the aim of this article is to indicate the effects of monetary policy on the competitiveness of agricultural enterprises. Regression analysis is a suitable econometric method to determine the strength of the effects of monetary policy on competitiveness. In our model, a multiple regression method was used, where interest rates, inflation and exchange rate were defined as exogenous (independent) variables, while revenues of agricultural enterprises were defined as an endogenous (dependent) variable. The findings reveal that the monetary policy significantly affects agricultural competitiveness. Specifically, higher interest rates are shown to have a negative impact on the performance of agricultural enterprises. Economic theory states that higher interest rates have a negative impact on competitiveness, and the results of calculations show that interest rates do have a dominant impact on the agricultural enterprise performance. Monetary policymakers, especially the central bank, should focus on keeping interest rates low in order to increase the availability of operating and investment capital. A market environment with low interest rates could stimulate the introduction of innovations, the implementation of new technologies and the development of robotization in agricultural enterprises. Lower financing costs due to low interest rates could boost business activities and economic growth, which could have a positive impact on the competitiveness of agricultural businesses. The conclusions of our research confirm that in the Czech Republic monetary policy remains a key tool for supporting the development of agricultural enterprises and their competitiveness.

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Interdependence between Islamic capital market and money market: Evidence from Indonesia

Wahyudi

Sani²

2014

Borsa Istanbul Review

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What is the Degree of Convergence among Developed Equity Markets?

Cited by 3 publications

References 52 publications

The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

<p>Assessing the Effect of Monetary Policy on the Competitiveness of Agricultural Enterprises</p>

Interdependence between Islamic capital market and money market: Evidence from Indonesia

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