Prevailing models of capital markets capture a limited form of social influence and information transmission, in which the beliefs and behavior of an investor affect others only through market price, information transmission and processing is simple (without thoughts and feelings), and there is no localization in the influence of an investor on others. In reality, individuals often process verb...

The presence of stock market efficiency is a distinctive characteristic of the effectively functioning market economy. Investigation of the market efficiency of seven emerging East-European stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100, PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (LRD), persistency, and forecasting possibili...

The success of modern economics results to a large extent from the availability of data sources which allowed us to quantify human behavior, from individual purchases in supermarkets to the degree of interconnectedness between global financial markets. As such many economists are already comfortable working with large datasets, from financial transactions to census datasets. Without new analyti...

The objective of this study is to determine the dynamics and contemporaneous interactions of Euro zone stock markets at the country and economic sector level. Overall test results have revealed the time-varying nature of the financial market integration process. Promoted by the anticipation and subsequently the formation of the currency union Euro zone stock markets became more integrated betwe...

Financial crises are widely argued to be due to herd behavior. Yet recently developed models of herd behavior have been subjected to two critiques which seem to make them inapplicable to financial crises. Herds disappear from these models if two of their unappealing assumptions are modified: if their zero-one investment decisions are made continuous and if their investors are allowed to trade a...