Naslov
Prociclicality of stock market indices in South-Eastern European countries : evidence from garch tests

Autori
Radman Peša, Anita ; Festić, Mejra

Izvornik
Aktualʹni problemi ekonomìki (1993-6788) 140 (2013), 2; 306-317

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

Ključne riječi
GARCH; stock exchange; South-East Europe; financial integration; EU accession

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, in order to demonstrate the dependence of small financial markets on large ones. Our estimates based on GARCH methodology support the hypothesis of an increase in stock exchange indices in the period of transition of southeastern countries due to the opening of the market economy followed by large capital inflows, industrial production and trade due to further financial integration to EU. The result also proved that stock indices in the transitional SEE countries are negatively correlated to exchange rates, interest rates and government debt.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA