Baltic Stock Research Articles

Do Global Disruptive Events Induce Herding Behaviour during Upward and Downward Market Movements? The Evidence from Nordic and Baltic Stock Markets

Do Global Disruptive Events Induce Herding Behaviour during Upward and Downward Market Movements? The Evidence from Nordic and Baltic Stock Markets

Exploring the psychology of price barriers in Baltic stock markets

PurposeThe purpose of this study is to investigate the presence of psychological barriers both in the main stock market indices of the Baltic states and the most actively traded individual stocks. A psychological barrier refers to a specific price point, often at round numbers (i.e. powers of 10), that investors believe is challenging to breach, influencing their behavior and trading decisions.Design/methodology/approachWe conduct uniformity tests and barrier tests, such as barrier proximity tests and barrier hump tests, to evaluate the presence of psychological barriers. Additionally, we explore variations in means and variances near these potential barriers using regression and GARCH analysis.FindingsThe findings reveal that psychological barriers do exist in the Baltic stock markets, particularly within market indices. The Estonian market index stands out with the most pronounced indications of psychological barriers. Individual stocks also display significant changes in means and variances related to potential barriers, albeit with less uniformity.Practical implicationsCollectively, our findings challenge the traditional assumption of random returns within the Baltic stock markets. For practitioners, the finding that psychological barriers exist opens up opportunities for investment strategies that can capitalize on them.Originality/valueThis study is the first to comprehensively investigate psychological barriers in the Baltic stock markets. Our results provide a valuable contribution to understanding the impact of that phenomenon on pricing dynamics, which is particularly pertinent in less-researched frontier markets like the Baltic states.

Navigating Investment Waters: Uncovering the Impact of Financial Factors on Business Behavior in Small Economies

Using companies listed on the Nasdaq Baltic Stock Exchange (2017–2021), we analyze the influence of financial factors on the investment behavior of businesses in small economies. We run a panel regression to examine which financial factors influence corporate investment and study how business investment is affected by the previous year’s cash flow, leverage ratio, asset turnover, liquidity, and sales volume. Our findings reveal robust evidence that the level of the investment of firms is negatively affected by the leverage ratio and positively affected by the asset turnover ratio. We also find that the cash flow to asset ratio has a negative but statistically insignificant affection investment. This implies that businesses in small economies are not interested in the capital market. Companies should consider taking the leverage ratio into account and incorporating it in their investment decision-making models.

Efficiency and price clustering in the Baltic stock exchanges: evidence from a micro-level analysis

ABSTRACT In this article, we examine for the first time a set of securities traded in the Baltic stock exchanges for indication of price clustering. This study adds to the literature about the efficiency of the Baltic stock markets, as well as to knowledge about the clustering of financial prices. Our main conclusion is that clustering is pervasive at the firm level, with traders having a striking preference for closing prices ending in zero. Price clustering tends to increase with price level, turnover, and relative spread and to decrease with tick size. Overall, our results are consistent with the idea that the lower the cost of rounding prices and the greater the uncertainty about the proper value of the securities, the higher the propensity of prices to cluster at round numbers. Therefore, the evidence provides some support for the negotiation/resolution hypotheses.

Predicting stock return and volatility with machine learning and econometric models - a comparative case study of the Baltic stock market

Predicting stock return and volatility with machine learning and econometric models - a comparative case study of the Baltic stock market

Predicting stock return and volatility with machine learning and econometric models - a comparative case study of the Baltic stock market

Predicting stock return and volatility with machine learning and econometric models - a comparative case study of the Baltic stock market

The effects of Contracaecum osculatum larvae on the growth of Atlantic cod (Gadus morhua).

Atlantic cod (Gadus morhua) from the Eastern Baltic stock have decreased in numbers and condition since the 1990′s. Among several causes, an increased prevalence and intensity of the nematode Contracaecum osculatum has been discussed. This increase has been attributed to a population increase of the parasites final host, the grey seal (Halichoerus grypus). Other studies have looked at the role of Contracaecum osculatum on cod growth and condition on recently caught cod, or done short term experimental studies in lab. This study instead investigated the importance of Contracaecum osculatum for cod growth in a sea pen based experiment, where cod were kept and fed in order to monitor growth. The results show that a higher density (number of nematodes per gram liver) decreases cod growth potential. If the number of nematodes exceeded 8 per gram liver cod did not grow in length, even when given generous amounts of food. Accounting for the lack of growth due to Contracaecum osculatum may improve stock assessments and increase the possibility to reach management targets.

Impact of Intellectual Capital Efficiency on Growth Rate and Profitability of a Company: NASDAQ Baltic Case

Research on intellectual capital (IC), while realizing the fact the investments or spending on IC that can either create or destroy value, during the last decade has changed the focus from analysis of companies IC meta system to analysis of ecosystem and company as part of framework. Intellectual capital (IC) analysis that as an academic discipline has evolved and exceled since early 90’s has reached the fourth stage of the research. Purpose of the study: Investigate the level of relationship between intellectual capital and its components and sales / growth rate and profitability of the companies; identifies dominating significant constituents in NASDAQ Baltic companies. Tasks: a) to identify intellectual capital and business performance ratios for the analysis, b) choose normalisations proxies, set number of control and moderate variables and period of impact to evaluate. Primary research methods: panel time-series sample of 92 companies and a 6-year observation of companies listed on the Baltic Stock Exchange between 2013 and 2019. This article contributes to the development of Intellectual Capital Theory, Value-Based Management Theory and Resource-View Theory. Elaborating on the analysis of the financial statements, as audited and public data, thorough analysis of the companies’ intellectual capital and its components has been undertaken improving the methodology of the evaluation of the impact, identifying research gaps and expanding the theoretical impact models. This study reveals a significant and positive relationship between Intellectual Capital and its components and sales / growth rate and profitability of the companies; identifies dominating significant constituents in NASDAQ Baltic companies. Expanding number of IC components, number of control and moderate variables and, crucially, testing for approbation of normalization proxies and adjusting IC components for value added or assets, provides thorough and accurate analysis of the impact. Key words: Intellectual capital; extended impact models.

Stock status and catches of the Baltic herring in the Russian waters of the Baltic Sea (in the 26-th subdivision ICES)

The article presents the long-term dynamics of catches, total biomass and abundance of the stock of the Baltic herring (herring) Clupea harengus membras in the Russian waters of the 26th ICES subdivision of the Baltic Sea in 1993–2019 in comparison with the Central Baltic stock in 1974–2020. The contribution of the Russian water area of the Kaliningrad sector of the sea relative to the entire unit of herring stock is estimated.

Accelerating Cultural Dimensions at International Companies in the Evidence of Internationalisation

The research goal is to investigate whether several cross-cultural dimensions proposed in the Hofstede cultural model link international companies and their affiliations operating in Scandinavia and Baltic countries. Although cultural aspects have got much more attention in internationalisation studies over the last decade, there is still room for research focusing on such study areas. The authors start with the analysis of the literature review. Presenting the holistic approach affecting internationalisation and a list of factors necessary for internationalisation, later on, the authors present the cultural dimension of Hofstede, and then give various qualitative methods applied for studies on internationalisation. Design/Methodology/Approach: To complete the research, the authors selected the database from Nasdaq (2021), listed MNE companies from six countries: Denmark, Norway, Sweden, Estonia, Latvia and Lithuania. The mother company is located in Scandinavia, and the daughter company is in the Baltics based on FDI flows. The author’s research included 56 MNE companies from Nasdaq Baltic stock exchange. We used the correlation matrix to support the research and present the direction of identified connections to proceed with it. Findings: Obtained results revealed that there are strong links among several cultural dimensions. The results show seven positives and four negative links when discussing cross-cultural links. This finding shows that talking about intercultural relations, only four out of six Hofstede cultural dimensions have at least one strong connection operating business internationally. Originality/Value/Practical implications: The authors identified that some cross-cultural dimensions could not be analysed further because they do not have significant links. The limitations of the study and further research directions are also provided.

An analysis of the relationships among NASDAQ Baltic stock exchanges: VAR approach

The author examines the relationships among three stock exchanges of selected Baltic countries: Latvia, Estonia, and Lithuania. The respective stock exchange indexes are used as variables, OMXR for Latvia, OMXT for Estonia, and OMXV for Lithuania. The regression equations are estimated with the use of Vector Autoregressive (VAR) model. The author employs 80 observations for the sample period from2002 Q1 to 2021 Q4. After determining the optimal lag order, the impulse response function is calculated. The variance decomposition is carried out subsequently. A causality among the stock exchanges in question is determined.

Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets

ABSTRACT This research tests the Adaptive Market Hypothesis (AMH) regarding calendar anomalies in the Baltic stock markets. Analysis of known calendar anomalies over time is carried out by using sub-sample GARCH (1,1) regression with Kruskal–Wallis statistics and rolling windows. Three calendar anomalies were confirmed in these markets: Friday, MoY (July and January), and ToM (turn-of-the-month). The Baltic stock markets demonstrated behavior supporting the AMH. It was found that the opportunity to earn abnormal returns on investment strategies based on Friday, July, and ToM effects disappeared during the financial crisis of 2007–9. The Friday and the ToM effects follow a more time-varying pattern, while the July effect is less so.

Assessing the reaction of the Baltic stock market to the spread of the COVID-19 pandemic

This research aims to assess the impact of the spread of the COVID-19 pandemic on the Baltic stock market. To reach this aim, the methods of bivariate (OLS) regression and VAR-based impulse response functions are employed. We use daily new cases of COVID-19 as well as the cumulative number of COVID-19 cases as independent and OMX Baltic Benchmark GI index as dependent variables for our research. The research period, covering data from 2020 March 1st to 2020 November 21st, is divided into three separate periods, reflecting the different phases of the spread of the COVID-19 pandemic. The results of the research revealed that the market reaction differs depending on the period; moreover, the Baltic stock market index was affected by new cases and total cases in a slightly different manner.

Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis

The Euro Area faces plenty of financial and economic asymmetries on account of the dissimilar economies’ participation in the union. The long-term financial integration of the EA member-states constitutes a significant task for the EU policy makers in business and economic terms. This letter investigates the degree of stock markets integration in the Eurozone after the end of 2010 debt-crisis. The results reveal that the stock market integration be strong between Germany and EA core member-states but disparate for the EA periphery. In contrast, there are only indications regarding the EA Eastern Mediterranean and Baltic stock markets integration with DAX-30.

Linear and non-linear optimization models for the selection of investment portfolio

This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linear programming task in the other. In the experimental part of the research ineffective portfolios exerted from these models are tested referring to the statistical data of the Baltic stock market. Realizations of the suggested portfolios with different risk coefficient values are compared to realizations of effective (Pareto optimal) portfolios.

Financial Factors Determining the Investment Behavior of Lithuanian Business Companies

The article aims to identify and evaluate the financial factors influencing the investment behavior of Lithuanian companies. The article briefly reviews and summarizes previous research that provides detailed evidence of the financial factors that influence a firm’s investment behavior. The study is performed using correlation–regression and factor analysis. Sixteen Lithuanian joint-stock companies, the shares of which are listed on the Nasdaq Baltic stock exchange and whose main activity is not related to financial instruments, were selected for the research. Moreover, 58 companies are listed on the Nasdaq Baltic stock exchange (32 companies on the official list, 26 companies on the additional list). There are only 26 Lithuanian joint-stock companies in both lists. Out of 26 Lithuanian companies listed on this stock exchange, 16 were selected whose activities are not related to financial instruments. The results of the study provided strong evidence that a company’s financial assets have a positive impact on capital and overall profitability, i.e., Lithuanian companies with higher profitability invest in financial instruments more often, while companies with borrowed funds and with higher financial restrictions invest less. The study showed that the performance indicators of Lithuanian companies have a weak impact on the size of the company’s financial assets; therefore, it can be assumed that this is related to cognitive factors and heuristics.

Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX

This study investigates whether the merger of NASDAQ and OMX could reduce the portfolio diversification possibilities for stock market investors and whether it is necessary to implement national policies and international treaties for the sustainable development of financial markets. Our study is very important because some players in the stock markets have not yet realized that stock exchanges, during the last decades, have moved from government-owned or mutually-owned organizations to private companies, and, with several mergers having occurred, the market is tending gradually to behave like a monopoly. From our analysis, we conclude that increased volatility and reduced diversification opportunities are the results of an increase in the long-run comovement between each pair of indices in Nordic and Baltic stock markets (Denmark, Sweden, Finland, Estonia, Latvia, and Lithuania) and NASDAQ after the merger. We also find that the merger tends to improve the error-correction mechanism for NASDAQ so that it Granger-causes OMX, but OMX loses predictive power on NASDAQ after the merger. We conclude that the merger of NASDAQ and OMX reduces the diversification possibilities for stock market investors and our findings provide evidence to support the argument that it is important to implement national policies and international treaties for the sustainable development of financial markets.

Integration of the Baltic stock markets with developed European markets

AbstractThis paper examines the extent of integration of the Baltic stock markets with the financial markets in Western Europe. The long‐run relationships between the stock markets of the Baltic States and selected developed stock markets are studied by means of cointegration analysis on the weekly returns. For the Baltic stock markets and key indices from the European markets, the empirical results over period 2005–2015 provide clear evidence that the Baltic stock markets are integrated with the Swedish stock market, and that this cointegrating relationship implies transmission of shocks from Sweden to the Baltic States. The cointegration analysis is also conducted for rolling windows over consequent sub‐samples, which only verifies the robustness of the integration between the stock markets of the Baltic States and Sweden. Given that there is no support for the long‐term relationships between the Baltic market and euro area, it may be that Baltic markets offer diversification benefits for the euro area indices.

Company?s intellectual capital impact on market value of Baltic countries listed enterprises

Research background: Currently the topic of a company?s intellectual capital is being widely investigated by various researchers. Nevertheless, only a small number of studies on the company?s intellectual capital impact on its market value were conducted. What is more, the concept of a company?s intellectual capital itself is not unified. There are some discrepancies in defining a company?s intellectual capital, unifying structural model of the company?s intellectual capital, and harmonizing the research methods and models of how to evaluate a company?s intellectual capital.
 Purpose of the article: The aim of the article is to examine various scientific approaches of the company?s intellectual capital and its impact on the market value of a respective company; to prepare a model of company?s intellectual capital and its impact on the market value. What is more, the aim of this article is to check and test the model effectiveness using an example of the Baltic States listed companies.
 Methods: Data on 58 Baltic States? companies that are listed in Nasdaq Baltic stock exchange were taken as the basis of the research. Based on four component model (human capital, structural capital, juridical capital, relational capital) a set of indicators for assessing company?s intellectual capital was formed. Expert evaluation was used in order to assign weights for different structural parts of intellectual capital. An exploratory factor analysis was conducted in order to find out what factors are the most significant for a company?s intellectual capital. In order to find out how specific elements affect company?s intellectual capital, a pair-wise multiple correlation and regression analysis were used. An average comparison method was used to reveal differences between companies of different countries.
 Findings & Value added: The study contributes to the Baltic States? knowledge on intellectual capital. It was detected that it is appropriate to use human capital, structural capital, juridical capital, and relational capital structural parts as components of company?s intellectual capital while investigating its impact on market value of a respective company. According to the obtained results, the model of a company?s intellectual capital and its impact on the market value was created, optimized, and its validity checked using exploratory factor analysis. The model was used to test the Baltic States listed companies and how their intellectual capital affects the market value. It was identified that intellectual capital in the listed companies of the Baltic States has a positive impact on their market value. Nevertheless, the study revealed that intellectual capital structural parts do not equally affect the market value of listed companies. The findings support the conclusion that human capital and relational capital have the greatest influence on the market value of listed companies. Companies where structural capital comprises the largest proportion of intellectual capital had lower levels of intellectual capital aggregated index, which could be examined in future studies.

Persistence Performance Among Baltic Equity Funds

This study examines persistence performance among Baltic equity funds. It uses daily returns figures of ten open ended mutual funds listed on the NASDAQ Baltic stock exchange. To quantify persistence, a well-established winner-loser contingency tables are employed. Results are then audited for significance using Malkiel’s z-statistic, Cross-Product Ratio (CPR) also known as Brown and Goetzmann’s Statistic (1995), as well as Chi-square, popularly referred as Kahn and Rudd’s Statistic. To aid interpretation, funds’ performance endurance is further examined. Some of the methodological limitations notwithstanding, overall findings suggest that selected group of funds show little persistence in their performance. Funds deviate from being winners to losers and positions in between almost daily. Although, on a positive note, a winning streak lasts longer than loosing period, ceteris paribus.