Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector
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.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.itseurope.org/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Anusua Datta & Sumit Agarwal, 2004. "Telecommunications and economic growth: a panel data approach," Applied Economics, Taylor & Francis Journals, vol. 36(15), pages 1649-1654.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"Forecasting and conditional projection using realistic prior distribution,"
93, Federal Reserve Bank of Minneapolis.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
- Yemane Wolde-Rufael, 2007. "Another look at the Relationship between Telecommunications Investment and Economic Activity in the United States," International Economic Journal, Taylor & Francis Journals, vol. 21(2), pages 199-205.
- Madden, Gary G & Savage, Scott J, 1997.
"CEE telecommunications investment and economic growth,"
11843, University Library of Munich, Germany, revised 25 Jul 1997.
- Madden, Gary & Savage, Scott J., 1998. "CEE telecommunications investment and economic growth," Information Economics and Policy, Elsevier, vol. 10(2), pages 173-195, June.
- Shapiro, Daniel M & Sims, William A & Hughes, Gwenn, 1983. "The Efficiency Implications of Earnings Retentions: An Extension," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 327-31, May.
- Christos Agiakloglou & Sotiris Karkalakos, 2009. "A spatial and economic analysis for telecommunications: Evidence from the European Union," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 11-32, May.
- Olivier Boylaud & Giuseppe Nicoletti, 2000.
"Regulation, Market Structure and Performance in Telecommunications,"
OECD Economics Department Working Papers
237, OECD Publishing.
- Olivier Boylaud & Giuseppe Nicoletti, 2001. "Regulation, market structure and performance in telecommunications," OECD Economic Studies, OECD Publishing, vol. 2001(1), pages 99-142.
- Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
- McFetridge, Donald G, 1978. "The Efficiency Implications of Earnings Retentions," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 218-24, May.
- Campbell, J.Y. & Shiller, R.J., 1988.
"Stock Prices, Earnings And Expected Dividends,"
334, Princeton, Department of Economics - Econometric Research Program.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Owen Lamont, 1996.
"Earnings and Expected Returns,"
NBER Working Papers
5671, National Bureau of Economic Research, Inc.
- McConnell, John J. & Muscarella, Chris J., 1985. "Corporate capital expenditure decisions and the market value of the firm," Journal of Financial Economics, Elsevier, vol. 14(3), pages 399-422, September.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
- Maria K. Boutchkova & William L. Megginson, 2000. "Privatization and the Rise of Global Capital Markets," Financial Management, Financial Management Association, vol. 29(4), Winter.
- Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
- Wright, Julian, 1999. "International Telecommunications, Settlement Rates, and the FCC," Journal of Regulatory Economics, Springer, vol. 15(3), pages 267-91, May.
- Willem Thorbecke, 1998.
"On Stock Market Returns and Monetary Policy,"
- Gjerde, Oystein & Saettem, Frode, 1999. "Causal relations among stock returns and macroeconomic variables in a small, open economy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 61-74, January.
- Garin-Munoz, Teresa & Perez-Amaral, Teodosio, 1998. "Econometric modelling of Spanish very long distance international calling," Information Economics and Policy, Elsevier, vol. 10(2), pages 237-252, June.
- Christos Agiakloglou & Konstantinos Bloutsos, 2011. "Comparing estimates of risk between markets and telecommunications institutions in Europe," Applied Economics Letters, Taylor & Francis Journals, vol. 18(6), pages 575-579.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
- Lee, Bong-Soo, 1998. "Permanent, Temporary, and Non-Fundamental Components of Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 1-32, March.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
- Ros, Agustin J, 1999. "Does Ownership or Competition Matter? The Effects of Telecommunications Reform on Network Expansion and Efficiency," Journal of Regulatory Economics, Springer, vol. 15(1), pages 65-92, January.
- Chung, Kee H. & Wright, Peter & Charoenwong, Charlie, 1998. "Investment opportunities and market reaction to capital expenditure decisions," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 41-60, January.
- Jean-Jacques Laffont & Jean Tirole, 1993. "A Theory of Incentives in Procurement and Regulation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262121743.
When requesting a correction, please mention this item's handle: RePEc:zbw:itse12:60387. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.