Money, finances and credit

Multiple linear regression of stock quotes of the Lithuanian enterprises

Economic Annals-XXI

Economic Annals-ХХI: Volume 173, Issue 9-10, Pages: 43-48

Citation information:
Roldugin, V., & Roldugin, A. (2018). Multiple linear regression of stock quotes of the Lithuanian enterprises. Economic Annals-XXI, 173(9-10), 43-48. doi: https://doi.org/10.21003/ea.V173-07

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Valery Roldugin
D.Sc. (Economics),
Professor,
Programme of Entrepreneurial Activity,
Baltic International Academy
4 Lomonosova Str., Riga, LV-1003, Latvia
vroldugin@hotmail.com
ORCID ID: https://orcid.org/0000-0001-9800-3063

Alexandr Roldugin
MA (Economics),
MBA,
Financial Analyst,
Accenture Riga
214 Brivibas gatve Str., Riga, LV-1039, Latvia
alexandr.roldugin@gmail.com
ORCID ID: https://orcid.org/0000-0003-3169-7093

Multiple linear regression of stock quotes of the Lithuanian enterprises

Abstract. The authors attempt to assess the extent to which stocks of Lithuanian companies quoted on the NASDAQ Vilnius Stock Exchange are impacted by financial results of the corresponding companies. It has been determined that the stock prices of the companies listed on NASDAQ Vilnius Stock Exchange is closely related to the companies’ financial results. The research pertains to the period between 2006 and 2018. This paper researches both the Lithuanian securities market and four related companies which meet the research criteria quoted on NASDAQ Vilnius Stock Exchange. The subject of the research is a set of the companies’ fundamental indicators and their correlation with share prices.

Summarizing all information and data acquired from financial reports of the selected companies, the authors conclude that all the companies’ financial indicators declined due to the 2008 financial crisis. Starting from the year 2011, all companies and their financial results have demonstrated improvement.

The fundamental analysis pays more attention to the companies’ financial performance and financial standing. We use several financial indicators that will be applied to determine the dependence of share prices with the help of the multiple linear regression method (except the company’s profile).

Based on the impact of different factors on the chosen companies quoted on NASDAQ Vilnius Stock Exchange, the authors conclude that there is no universal indicator that equally affects the share prices of all the four companies. The factors impacting each of the four companies vary. When considering different factors that impact the companies’ shares on NASDAQ Vilnius Stock Exchange, we observe certain regularity. The dividend policy has an impact on the share prices of two out of the four companies, namely Vilkyskiu Pienine and Klaipedos Nafta. As regards the shares of Pieno Zvaigzdes, there are two indicators affecting the share prices, which are the debt-to-equity ratio and the debt-to-EBITDA ratio. The share prices of Kauno Energija were not affected by any of the 10 chosen indicators.

Many companies in the NASDAQ Vilnius Stock Exchange have mainly short-term interests, for example the desire to attract the required capital instead of sustaining long-term investment policies to maintain stable growth of the company. It is advised that companies opt for long-term investment policies with the goal to become high dividend-paying companies, therefore raising investors’ confidence and increasing demand for their shares.

Keywords: Companies’ Financial Results; Lithuanian Stock Market; NASDAQ Vilnius Stock Exchange; Multiple Linear Regression Analysis

JEL Classification: G32; G39

DOI: https://doi.org/10.21003/ea.V173-07

References

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Received 16.10.2018

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