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Market Dynamics of Stock Exchanges of South East Europe – Efficiency and Harmonization

Author

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  • Ani Stoykova

    (SOUTH-WEST UNIVERSITY, Bulgaria)

Abstract

In this paper the market efficiency and harmonization of the stock markets of South East Europe (SEE) is examined, applying an AR (p) model. This study aims to answer whatever there is a difference between the stock market performance of the developed and developing SEE capital markets, using daily returns of the indices. The period under examination is from January 2005 to November 2015. Taking into account the impact of financial crisis of 2008, this period is divided into three sub-periods – pre -crisis, crisis and post-crisis. The empirical results show that the SEE capital markets are characterized with harmonized and identical market dynamics during the precrisis and postcrisis period with positive market trends. On the other hand, during the global financial crisis 2008 the examined markets are not homogenous and integrated, when the separation in the group is determined of the degree of the development of the markets. What is more, the results reveal that the SEE capital markets are not market efficient. Finally, the political, economic and social reasons for the market dynamics of the SEE capital markets are presented.

Suggested Citation

  • Ani Stoykova, 2018. "Market Dynamics of Stock Exchanges of South East Europe – Efficiency and Harmonization," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 70-87, April.
    • Handle: RePEc:nwe:iisabg:y:2018:i:2:p:70-87
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    More about this item

    Keywords

    Efficient Market Hypothesis; market efficiency; financial crisis; capital markets; autoregression analysis; market harmonization;
    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
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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