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

Christos Agiakloglou and Michalis Gkouvakis

23rd European Regional ITS Conference, Vienna 2012 from International Telecommunications Society (ITS)

Abstract: 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.

Keywords: Vector autoregressive analysis; causal relations; impulse responses; financial variable; Telecommunications market (search for similar items in EconPapers)
JEL-codes: C22 C58 G14 L96 (search for similar items in EconPapers)
Date: 2012
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Journal Article: Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:itse12:60387

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