IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/69223.html
   My bibliography  Save this paper

Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013

Author

Listed:
  • Radman Peša, Anita
  • Brajković, Ana

Abstract

We tested the economic activity and stock exchange of Croatia as a new country of European Union (EU) in order to investigate the ‘Black Swan effect’ from 2000 to 2013. The empirical findings obtained in application of OLS methodology and Chow breaking point test provide evidence and show that resignation of the Croatian ex-Prime Minister did lead country successfully to EU. Also, ‘The Black Swan’ event, being unpredictable and having huge impact on political and economic environment in Croatia obtained through CROBEX, had effect on Croatian stock exchange indices. Authors conclude that, the resignation was connected to one of the first significant cases of corruption in Croatia which had a negative impact on the economic development of the country in general, dealing at the same time with global recession.

Suggested Citation

  • Radman Peša, Anita & Brajković, Ana, 2015. "Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013," MPRA Paper 69223, University Library of Munich, Germany, revised 2015.
    • Handle: RePEc:pra:mprapa:69223
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/69223/1/MPRA_paper_69183.pdf
    File Function: original version
    Download Restriction: no
    File URL: https://mpra.ub.uni-muenchen.de/69223/9/MPRA_paper_69223.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Aizenman, Joshua & Noy, Ilan, 2006. "FDI and trade--Two-way linkages?," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 317-337, July.
    2. repec:bla:econom:v:58:y:1991:i:232:p:515-29 is not listed on IDEAS
    3. Horobet, Alexandra & Ilie, Livia, 2007. "On the dynamic link between stock prices and exchange rates: evidence from Romania," MPRA Paper 6429, University Library of Munich, Germany.
    4. De Santis, Roberto A. & Gérard, Bruno, 2006. "Financial integration, international portfolio choice and the European Monetary Union," Working Paper Series 626, European Central Bank.
    5. Adam, Anokye M. & Tweneboah, George, 2008. "Foreign Direct Investment and Stock market Development: Ghana’s Evidence," MPRA Paper 11985, University Library of Munich, Germany, revised 2008.
    6. Gulnur Muradog Lu & Kivilcim Metin & Reha Argac, 2001. "Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 641-649.
    7. Dvorak, Tomas & Podpiera, Richard, 2006. "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, vol. 7(2), pages 129-146, June.
    8. Gunther Schnabl, 2004. "De jure versus de facto Exchange Rate Stabilization in Central and Eastern Europe," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 59(02), pages 171-190, June.
    9. Beck, Roland & Jakubik, Petr & Piloiu, Anamaria, 2013. "Non-performing loans: what matters in addition to the economic cycle?," Working Paper Series 1515, European Central Bank.
    10. Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-193, July.
    11. Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 341-362, September.
    12. Johan Knif & James Kolari & Seppo Pynnönen, 2008. "Stock Market Reaction To Good And Bad Inflation News," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 141-166, June.
    13. Ondřej Glazar & Wadim Strielkowski, 2010. "Turkey and the European Union: Possible Incidence of the EU Accession on Migration Flows," Prague Economic Papers, Prague University of Economics and Business, vol. 2010(3), pages 218-235.
    14. Asghar, Zahid & Abid, Irum, 2007. "Performance of lag length selection criteria in three different situations," MPRA Paper 40042, University Library of Munich, Germany.
    15. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
    16. Rock, Michael T. & Bonnett, Heidi, 2004. "The Comparative Politics of Corruption: Accounting for the East Asian Paradox in Empirical Studies of Corruption, Growth and Investment," World Development, Elsevier, vol. 32(6), pages 999-1017, June.
    17. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    18. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
    19. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.
    20. Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
    21. Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(4), pages 915-940, December.
    22. Primož Dolenc & Suzana Laporšek, 2010. "Tax Wedge on Labour and its Effect on Employment Growth in the European Union," Prague Economic Papers, Prague University of Economics and Business, vol. 2010(4), pages 344-358.
    23. Esaka, Taro, 2003. "Panel unit root tests of purchasing power parity between Japanese cities, 1960-1998: disaggregated price data," Japan and the World Economy, Elsevier, vol. 15(2), pages 233-244, April.
    24. Markus Baltzer & Lorenzo Cappiello & Roberto A. De Santis & Simone Manganelli, 2008. "Measuring financial integration in new EU member states," Occasional Paper Series 81, European Central Bank.
    25. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.
    26. De Santis, Roberto A. & Cappiello, Lorenzo & Baltzer, Markus & Manganelli, Simone, 2008. "Measuring financial integration in new EU Member States," Occasional Paper Series 81, European Central Bank.
    27. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
    28. Yau, Hwey-Yun & Nieh, Chien-Chung, 2006. "Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate," Journal of Asian Economics, Elsevier, vol. 17(3), pages 535-552, June.
    29. Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS.
    30. Lieven Baele, 2004. "Measuring European Financial Integration," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 20(4), pages 509-530, Winter.
    31. Alexandr Èerný & Michal Koblas, 2008. "Stock Market Integration and the Speed of Information Transmission," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 2-20, January.
    32. Manolis Syllignakis & Georgios Kouretas, 2006. "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series wp832, William Davidson Institute at the University of Michigan.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Massimiliano Kaucic & Roberto Daris, 2016. "Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 14(4 (Winter), pages 359-384.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Anita Radman Peša & Mejra Festić, 2012. "Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(4), pages 450-469.
    2. repec:prg:jnlpep:v:2013:y:2013:i:4:id:434:p:450-469 is not listed on IDEAS
    3. Anita Radman Peša & Elżbieta Wrońska-Bukalska & Jurica Bosna, 2017. "ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(3), pages 205-221, December.
    4. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(1), pages 3-22.
    5. Burcu Erdogan, 2009. "How Does European Integration Affect the European Stock Markets?," Working Paper / FINESS 1.1a, DIW Berlin, German Institute for Economic Research.
    6. Eirini Syngelaki, 2010. "Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance," Economics Department Working Paper Series n209-10.pdf, Department of Economics, National University of Ireland - Maynooth.
    7. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
    8. Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014. "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 36-58.
    9. Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 341-362, September.
    10. Horvath, Roman & Petrovski, Dragan, 2013. "International stock market integration: Central and South Eastern Europe compared," Economic Systems, Elsevier, vol. 37(1), pages 81-91.
    11. Nektarios Aslanidis & Christos S. Savva, 2011. "Are There Still Portfolio Diversification Benefits In Eastern Europe? Aggregate Versus Sectoral Stock Market Data," Manchester School, University of Manchester, vol. 79(6), pages 1323-1352, December.
    12. Pungulescu, Crina, 2013. "Measuring financial market integration in the European Union: EU15 vs. New Member States," Emerging Markets Review, Elsevier, vol. 17(C), pages 106-124.
    13. Eduard Baumöhl, 2014. "Determinanty integrácie akciových trhov krajín V4 [Determinants of CEE-4 Stock Market Integration]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(3), pages 347-365.
    14. Stavarek, Daniel & Repkova, Iveta & Gajdosova, Katarina, 2011. "Theory of financial integration and achievements in the European Union," MPRA Paper 34393, University Library of Munich, Germany.
    15. Dragan Tevdovski, 2014. "Extreme negative coexceedances in South Eastern European stock markets," CREATES Research Papers 2014-18, Department of Economics and Business Economics, Aarhus University.
    16. Răileanu-Szeles, Monica & Albu, Lucian, 2015. "Nonlinearities and divergences in the process of European financial integration," Economic Modelling, Elsevier, vol. 46(C), pages 416-425.
    17. Boubaker, Sabri & Jouini, Jamel, 2014. "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 322-335.
    18. repec:wdi:papers:2011-1028 is not listed on IDEAS
    19. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
    20. Ani Stoykova & Mariya Paskaleva, 2018. "Correlation Dynamics between Southeast European Capital Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 49-82.
    21. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2013. "The European Union, the Euro, and equity market integration," Journal of Financial Economics, Elsevier, vol. 109(3), pages 583-603.
    22. Berger, Tino & Pozzi, Lorenzo, 2013. "Measuring time-varying financial market integration: An unobserved components approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 463-473.

    More about this item

    Keywords

    financial integration; stock exchange; world crisis; corruption; Black Swan;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:69223. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.