Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector

Konferenzbeitrag

This paper investigates the interdependence of stock returns with some other financial variables applied to several European Telecommunications institutions. In particular, using a multivariate vector autoregressive (VAR) approach this study examines the relation, the direction of the relation, as well as the effects among stock returns, index returns, earnings, capital expenditures and interest rate for companies that play major role in their home stock markets. Unlike the fact that many other previous studies have indicated clear findings of the direction of the causality between those variables, this research cannot support a uniform behavior, although, the selected telecommunications companies have many common characteristics.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: 23rd European Regional Conference of the International Telecommunications Society (ITS), Vienna, Austria, 1st-4th July, 2012

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Financial Econometrics ; Information and Market Efficiency; Event Studies; Insider Trading ; Telecommunications
• Subject: Vector autoregressive analysis ; causal relations ; impulse responses ; financial variable ; Telecommunications market

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Agiakloglou, Christos ; Gkouvakis, Michalis
• Event: Veröffentlichung
• (who): International Telecommunications Society (ITS)
• (where): Calgary
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/60387
• Last update: 10.03.2025, 11:46 AM CET