Montenegrin Stock Exchange Market on a Short-Term Perspective

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Montenegrin Stock Exchange Market on a Short-Term Perspective

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Montenegrin Stock Exchange Market on a Short-Term Perspective

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

JOURNAL OF RISK AND FINANCIAL MANAGEMENT

ISSN

1911-8066

e-ISSN

1911-8066

Svazek periodika

16

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

18

Strana od-do

—

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85165959822