What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?

This paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both the financial crisis from 2007-2009 and the COVID-19 health crisis. The analysis is based on coexceedances which represent the number of joint occurrences of extreme returns in a group of stock market indexes. To provide a valuable insight on how persistence, asset class, and volatility effects are related with the coexceedances, we utilize a multinomial logistic regression procedure. We find evidence in favour of the continuation hypothesis. However, the factors associated with the coexceedances differ between the SEE European Union (EU) members and the SEE EU accession countries. The EU members are more dependent on signals from major EU economies, while the accession countries are mainly impacted by regional signals. The implications of our analysis may help policy makers in understanding the nature of shock transmission in SEE stock markets.JEL Codes - C25; F36; G1

What is behind extreme negative returns co-movement in the South Eastern European stock markets?

This paper examines co-movement of extreme negative returns in the South Eastern European (SEE) stock markets during the period covering the recent financial crisis and sovereign debt crisis. The analysis is based on negative co-exceedances - joint occurrences of negative extreme returns in different countries stock markets. To provide a valuable insight on how persistence, asset class, volatility and liquidity effects are related with negative co-exceedances in SEE markets we utilize a multinomial logistic regression procedure. We find evidence in favor of the continuation hypothesis in SEE stock markets. However, the factors associated with the co-exceedances differ between the SEE EU member countries and SEE EU accession countries. The EU member countries are more dependent on the signals from major EU economies, while the accession countries are mainly influenced by the signals from the region

Promoting cooperation by preventing exploitation: The role of network structure

A growing body of empirical evidence indicates that social and cooperative behavior can be affected by cognitive and neurological factors, suggesting the existence of state-based decision-making mechanisms that may have emerged by evolution. Motivated by these observations, we propose a simple mechanism of anonymous network interactions identified as a form of generalized reciprocity - a concept organized around the premise "help anyone if helped by someone", and study its dynamics on random graphs. In the presence of such mechanism, the evolution of cooperation is related to the dynamics of the levels of investments (i.e. probabilities of cooperation) of the individual nodes engaging in interactions. We demonstrate that the propensity for cooperation is determined by a network centrality measure here referred to as neighborhood importance index and discuss relevant implications to natural and artificial systems. To address the robustness of the state-based strategies to an invasion of defectors, we additionally provide an analysis which redefines the results for the case when a fraction of the nodes behave as unconditional defectors.Comment: 11 pages, 5 figure

Multiplex Network Structure Enhances the Role of Generalized Reciprocity in Promoting Cooperation

In multi-agent systems, cooperative behavior is largely determined by the network structure which dictates the interactions among neighboring agents. These interactions often exhibit multidimensional features, either as relationships of different types or temporal dynamics, both of which may be modeled as a "multiplex" network. Against this background, here we advance the research on cooperation models inspired by generalized reciprocity, a simple pay-it-forward behavioral mechanism, by considering a multidimensional networked society. Our results reveal that a multiplex network structure can act as an enhancer of the role of generalized reciprocity in promoting cooperation by acting as a latent support, even when the parameters in some of the separate network dimensions suggest otherwise (i.e. favor defection). As a result, generalized reciprocity forces the cooperative contributions of the individual agents to concentrate in the dimension which is most favorable for the existence of cooperation.Comment: Extended abstract of "The Role of Multiplex Network Structure in Cooperation through Generalized Reciprocity

THE INTERDEPENDENT RELATIONSHIP BETWEEN THE TYPES OF INVESTMENTS AND INCOME IN REPUBLIC OF MACEDONIA

In this paper, we study the interdependent relationship between three types of investments: foreign direct investments, central government investments, and all other investments, and their role in the gross domestic product dynamics in the Republic of Macedonia, by employing the consistent methodology of vector error correction modeling (VECM). Our results reveal that, in the long run, there is only one relationship in which all other investments are dependent variables. In it, the foreign direct investments have a negative effect, thus suggesting the existence of the crowding out phenomena. Additionally, we find that shocks in both foreign direct investments and all other investments have positive, while central government investments have no impact on the gross domestic product. As such, our conclusions can serve policy makers for developing strategies that lead to long run growth

The Role of Immigrants, Emigrants, and Locals in the Historical Formation of European Knowledge Agglomerations

Did migrants make Paris a Mecca for the arts and Vienna a beacon of classical music? Or was their rise a pure consequence of local actors? Here, we use data on more than 22,000 historical individuals born between the years 1000 and 2000 to estimate the contribution of famous immigrants, emigrants, and locals to the knowledge specializations of European regions. We find that the probability that a region develops or keeps specialization in an activity (based on the birth of famous physicists, painters, etc.) grows with both, the presence of immigrants with knowledge on that activity and immigrants with knowledge in related activities. In contrast, we do not find robust evidence that the presence of locals with related knowledge explains entries and/or exits. We address some endogeneity concerns using fixed-effects models considering any location-period-activity specific factors (e.g. the presence of a new university attracting scientists)

The Relationship Between Growth and Economic Complexity: Evidence from Southeastern and Central Europe

The index of economic complexity is created by analyzing the relations between countries and the products they export. Constructed in such way, it defines the basis for the theory of economic complexity, which reflects the knowledge embedded in the productive structure of an economy. Exactly this knowledge is at the core of the endogenous theory of economic growth. Until now, all econometric analyses for the relationship between economic complexity and growth were done by implementing methods in which each country is valued equally. However, the countries are heterogeneous – they exhibit individual characteristics that directly encourage the complexity, and are in tight relation with growth. Therefore, in this paper the analysis is faced towards one region - Southeastern and Central Europe, and, in the spirit of the endogenous theory, a model is created which adequately captures the long run, as well as the short run relationship between the two variables. The results show that the economic complexity is a statistically significant explanatory variable of growth on the long run, and thus, it creates enormous economic implications. Contrarily, on the short run the productive knowledge has no effect on the income changes in Southeastern and Central Europe. All of this implies that the economic complexity reveals a structure which promotes development of long run strategies in the countries for inventing products. These strategies serve for the purpose of accumulating new capabilities that will help in creating and maintaining long term prosperity and economic growth