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Diminishing Inter-Linkages of the South East European Stock Markets

Author

Listed:
  • Aleksandar NAUMOSKI
  • Sasho ARSOV

    (Ss. Cyril and Methodius Universityin Skopje, Faculty of Economics)

  • Stevan GABER

    (Goce Delcev University, Faculty of Economics)

  • Vasilka GABER-NAUMOSKA

    (Public Revenue Office)

Abstract

This paper investigates the level of relationship of the SEE stock markets in three analyzed periods: the pre-crisis, mid-crisis, and post-crisis period. We found that the relationships of the SEE markets with the benchmark developed markets, and among them, are not stable in the long-run. Using the VAR model, Granger cause causality, impulse response and variance decomposition, we came to the conclusion that while in the crisis period the SEE stock markets shows high interrelations among them and with the developed markets, the inter-linkages diminished after the crisis period. In the pre- and post-crisis period SEE markets have on average zero correlations, modest lead-lag interactions, small responses to other market shocks, and most of the variance is explained by their own shock. The opposite is true for the crisis period, when SEE markets have a significant adjusted effect, and each market responds to the impulses coming from most of the other markets. This suggests that in the period of instability and uncertainty SEE markets follow a common path, and in the calm periods with optimism and positive expectations the lead-lag relations of the SEE markets with the developed stock markets diminish.

Suggested Citation

  • Aleksandar NAUMOSKI & Sasho ARSOV & Stevan GABER & Vasilka GABER-NAUMOSKA, 2017. "Diminishing Inter-Linkages of the South East European Stock Markets," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(3), pages 91-108.
  • Handle: RePEc:cys:ecocyb:v:50:y:2017:i:3:p:91-108
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    References listed on IDEAS

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    Cited by:

    1. Aleksandar Naumoski & Sasho Arsov & Violeta Cvetkoska, 2022. "Asymmetric Information and Agency Cost of Financial Leverage and Corporate Investments: Evidence from Emerging South-East European Countries," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(2), pages 317-342, June.

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    More about this item

    Keywords

    South East Europe; stock market integration; Granger cause causality; impulse response; variance decomposition.;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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