Filipovski, Vladimir
Preferred name
Filipovski, Vladimir
Official Name
Filipovski, Vladimir
Main Affiliation
Email
vfilipovski@gmail.com
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Item type:Publication, МАКРОЕКОНОМСКИТЕ ЕФЕКТИ НА ФИСКАЛНАТА ПОЛИТИКА ВО РЕПУБЛИКА МАКЕДОНИЈА(Македонска Академија на Науките и Уметностите, 2017); ; ; ; - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Stock market efficiency in South Eastern Europe: Testing Return Predictability and Calendar Effects(IGI Global, 2018); This paper examines the calendar effects in ten South Eastern European (SEE) stock markets daily returns during the period 2007 - 2014. We focus on three calendar effects: the day of the week effect, the half month effect and the turn of the month effect. Specifically, we analyze existence of each calendar effect separately in the mean and in the volatility of the index returns. We apply standard regression models with dummy variables for the effects in the mean returns, while we apply GARCH(1,1) models with dummy variables for the effects in the volatility of returns. The results present evidence that the day of the week effects in both mean and volatility are present in nine out of ten SEE stock markets. Contrary, the half month effect in mean returns is present only in one SEE stock market, while half month effect in volatility is present in five out of ten SEE stock markets. The turn of the month effect in mean returns is present in six out of ten SEE stock markets. The turn of the month effect in volatility is present in all SEE stock markets. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Business Cycle Synchronization of a Small Open EU-Candidate Country’s Economy with the EU Economy(Union of Economists of Vojvodina, 2018); ; Bogoev, JaneThe objectives of this paper are to empirically identify business cycles in a small open EU-candidate country such as the Republic of Macedonia and to assess the degree of synchronization of the country’s business cycle with the cycle of the EU economy. Towards the first objective, we apply linear and nonlinear methods for delineating the production gap cycle in the Macedonian economy. As for the second objective, we apply autoregressive methods to assess the size and speed of cyclical adjustment of the Macedonian economy to output shocks to the Euro-zone economy. The results of our analysis suggest a high degree of synchronization of the Macedonian business cycles with the cycles of the EU economy. Also, the shocks in economic activity in the Euro-zone economy are transmitted almost instantaneously, and with a large magnitude, to the Macedonian economy. Finally, the impact of the Euro-zone output contraction is less pronounced than the impact of the Euro-zone output expansion, suggesting an impact of the country’s autonomous countercyclical economic policies - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Stock Market Efficiency in South Eastern Europe(IGI Global, 2018); <jats:p>The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets. </jats:p> - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Реформи за праведно оданочување(Фондација Фридрих Еберт и Институт за социјална демократија Прогрес, 2016-02); ;