Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector

This study investigates the interdependence of some major financial variables applied to several European Telecommunications institutions using a multivariate vector autoregressive (VAR) approach. In particular, this paper examines the bilateral relationships among market fundamental variables, such as stock returns, index returns, earnings, capital expenditures and interest rate, with respect to causality and impulse responses, for companies that play major role in their home stock markets. Unlike the fact that the selected Telecommunications companies have many similar characteristics, this research finds that only few of them support common behavior.