Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector
AbstractThis 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. --
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Bibliographic InfoPaper provided by International Telecommunications Society (ITS) in its series 23rd European Regional ITS Conference, Vienna 2012 with number 60387.
Date of creation: 2012
Date of revision:
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Web page: http://www.itseurope.org/
Vector autoregressive analysis; causal relations; impulse responses; financial variable; Telecommunications market;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- L96 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Telecommunications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
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