Montenegrin Stock Exchange Market on a Short-Term Perspective
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F23%3A97801" target="_blank" >RIV/60460709:41110/23:97801 - isvavai.cz</a>
Result on the web
<a href="https://www.mdpi.com/1911-8074/16/7/315" target="_blank" >https://www.mdpi.com/1911-8074/16/7/315</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/jrfm16070315" target="_blank" >10.3390/jrfm16070315</a>
Alternative languages
Result language
angličtina
Original language name
Montenegrin Stock Exchange Market on a Short-Term Perspective
Original language description
he 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.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
JOURNAL OF RISK AND FINANCIAL MANAGEMENT
ISSN
1911-8066
e-ISSN
1911-8066
Volume of the periodical
16
Issue of the periodical within the volume
7
Country of publishing house
CH - SWITZERLAND
Number of pages
18
Pages from-to
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UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85165959822