Naslov
TSLS Estimation of Stock Market Indices in South-Eastern European Countries, as Compared with World Stock Exchange Centres in the Financial Crisis

Autori
Radman Peša, Anita ; Festić, Mejra

Izvornik
Economic Computation and Economic Cybernetics Studies and Research (0424-267X) 45 (2011), 4; 71-98

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Stock Markets; Integration; EU; TSLS

Sažetak
We tested the hypothesis of procyclicality for economic activity and the stock exchanges of southeastern European countries relative to the main world Stock Exchange Centers via TSLS methodology in order to demonstrate the dependence of small financial markets on large ones and to investigate the spillover effect, i.e., the degree and pace of integration of 'new' financial markets into larger ones. Our estimates for the southeastern countries support the hypothesis of an increase in stock exchange indices in the period of transition, due to the opening of the market economy followed by large capital inflows. The observed countries that are already in the EU wing (Bulgaria, Romania and Slovenia) or those in the process of joining (Croatia and Montenegro) were found to be more dependent on the global financial markets and more exposed to adverse co-movements than other transitional southeastern countries (e.g. Bosnia and Herzegovina and Serbia).

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA