Naslov
Croatian Equity Market in Perspective of European Integration

Autori
Broz, Tanja ; Ridzak, Tomislav

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
12th Dubrovnik Economic Conference, Young Economists' Seminar

Mjesto i datum
Dubrovnik, Hrvatska, 28.06.2006. - 01.07.2006

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Equity market integration; Impulse responses; Variance decomposition; Croatia

Sažetak
Croatia is on its path to the EU. Developments on this path have influence on many aspects in the economy. In this paper we analyse integration of Croatian equity market with European and world equity markets and measure integration with the VAR impulse responses and variance decomposition. The premise is that well integrated markets should respond to shocks similarly. According to this test, major world markets (measured by DJIA, FTSE and DAX) indeed display certain degree of shock transmission. Opposite, Croatian and other less important markets in CEE economies that were tested do not show the same degree of integration. It seems that in terms of transfer of short term shocks between markets, Croatia and other CEE economies are still pretty much isolated from the world.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA