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Co-Movement Of The Capital Markets Of Southeast Europe During The Period 2005-2015

Author

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  • ANI STOITSOVA-STOYKOVA

    (South-West University "Neofit Rilski", Bulgaria)

Abstract

This study uses correlation analysis to estimate the linkages between the capital markets of Bulgaria, Croatia, Greece, Slovenia, Turkey, Romania, Macedonia, Serbia, Montenegro, Banja Luka and Sarajevo (Bosnia and Herzegovina) during the period 2005-2015 with the accent on the division between the developed and developing markets. The results reveal that there is a weak or moderate positive correlation between the developed capital markets of Turkey, Greece and Croatia and the other examined markets. The results show that strength of co-movement between Bulgarian stock market and the rest markets in Southeast Europe (SEE) is strong, especially with Serbian, Romanian and Croatian markets. All things considered, it seems reasonable to assume that there is a strong correlation between SEE capital markets. What is more, the degree of the development of the SEE capital markets determines the linkages between them, while the developed markets are with weaker correlation in the group than the developing markets.

Suggested Citation

  • Ani Stoitsova-Stoykova, 2017. "Co-Movement Of The Capital Markets Of Southeast Europe During The Period 2005-2015," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 13(1), pages 38-54.
    • Handle: RePEc:neo:journl:v:13:y:2017:i:1:p:38-54
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    More about this item

    Keywords

    Capital markets; correlation analysis; South East Europe.;
    All these keywords.

    JEL classification:

    • 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
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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