Montenegrin Stock Exchange Market on a Short-Term Perspective

Tamara Backović, Vesna Karadžić, Sergej Gričar () and Štefan Bojnec
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Tamara Backović: Faculty of Economics, The University of Montenegro, Ul. Jovana Tomaševića 37, 81110 Podgorica, Montenegro
Vesna Karadžić: Faculty of Economics, The University of Montenegro, Ul. Jovana Tomaševića 37, 81110 Podgorica, Montenegro
Sergej Gričar: Faculty of Economics and Informatics, The University of Novo Mesto, Na Loko 2, 8000 Novo Mesto, Slovenia
Štefan Bojnec: Faculty of Management, The University of Primorska, Izolska Vrata 2, 6000 Koper, Slovenia

JRFM, 2023, vol. 16, issue 7, 1-18

Abstract: The objective of this study is to analyse the constitution of the emerging Montenegrin stock exchange. Four methodological time-series econometric steps are involved: the augmented Dickey–Fuller (ADF) test, run test, autocorrelation function (ACF) test, and Hurst test. The study utilises a daily data vector from 5 January 2004 to 20 June 2023, with a specific focus on the period encompassing the growth and peak of market stocks in 2007, followed by the significant 2008 financial crisis and subsequent developments thereafter. The analysis culminates on 28 May 2018, which is considered one of the lowest points in the Montenegrin stock exchange market in a comparative time-series assessment. The results of the tests conducted in this study do not provide empirical evidence supporting the random walk theory and its returns on aggregated shocks in the Montenegrin stock exchange market. By reviewing previous empirical studies and presenting new empirical findings, this study confirms the presence of stochastic trends in co-movements in finance, contributing to a deeper understanding of emerging stock exchange markets. Study implications support greater reliance on market efficiency, risk management, and portfolio diversification.

Keywords: autocorrelation function; Hurst exponent; random walk theory; run test; stock exchange market efficiency (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
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