Naslov
Panel regression of stock market indices dynamics in the South-Eastern European economies

Autori
Radman Peša, Anita ; Festić, Mejra

Izvornik
Ekonomska istraživanja (1331-677X) 27 (2014), 1; 673-688

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

Ključne riječi
financial integration; stock exchange; panel regression; South-Eastern Europe

Sažetak
We tested the hypothesis of procyclicality of the stock exchanges indices regarding economic activity of southeastern European countries (SEE) in the TSLS model in order to demonstrate the degree and pace of integration of 'new' financial markets into larger ones (EU). Rising stock prices in the SEE countries may be the sign of economic growth in the region in the light of the financial integration process. Results of panel estimates support the hypothesis of procyclicality in the period of transition of the SEE region and financial integration, due to the opening of the market economy and re-pricing of systematic risk followed by large capital inflows, GDP growth, trade liberalization and increased industrial production as well as the implementation of reforms regarding EU integration. Also significant negative coefficient of goverment debt in the SEE group results could be interpreted as a „contagion effect“ of recent global financial crises that spread beyond national borders.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA