Since the foundational contributions of Katarina Juselius and Søren Johansen on cointegration, along with earlier works by influential scholars like Clive Granger, the field has witnessed significant developments [...]
Since the foundational contributions of Katarina Juselius and Søren Johansen on cointegration, along with earlier works by influential scholars like Clive Granger, the field has witnessed significant developments [...]
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...
