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Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector

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  • Agiakloglou, Christos
  • Gkouvakis, Michail

Abstract

This study investigates the interdependence of some major financial variables applied to several European Telecommunications institutions using a multivariate vector autoregressive (VAR) approach. In particular, this paper examines the bilateral relationships among market fundamental variables, such as stock returns, index returns, earnings, capital expenditures and interest rate, with respect to causality and impulse responses, for companies that play major role in their home stock markets. Unlike the fact that the selected Telecommunications companies have many similar characteristics, this research finds that only few of them support common behavior.

Suggested Citation

  • Agiakloglou, Christos & Gkouvakis, Michail, 2015. "Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 150-159.
    • Handle: RePEc:eee:quaeco:v:55:y:2015:i:c:p:150-159
    DOI: 10.1016/j.qref.2014.07.001
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    More about this item

    Keywords

    Vector autoregressive analysis; Causal relations; Impulse responses; Financial variable; Telecommunications market;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L96 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Telecommunications

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