Please use this identifier to cite or link to this item:
Authors: Naumoski, Aleksandar 
Arsov, Sasho 
Gaber, Stevan
Gaber naumoska, Vasilka
Keywords: South East Europe, stock market integration, Granger cause causality, impulse response, variance decomposition
Issue Date: 2017
Publisher: Academy of Economic Studies in Bucharest, Romania
Journal: Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2017, Vol. 51
Series/Report no.: ;Vol.51-3
Abstract: This paper investigates the level of relationship of the SEE stock markets in three analyzed periods: the pre-crisis, mid-crisis, and post-crisis period. We found that the relationships of the SEE markets with the benchmark developed markets, and among them, are not stable in the long-run. Using the VAR model, Granger cause causality, impulse response and variance decomposition, we came to the conclusion that while in the crisis period the SEE stock markets shows high interrelations among them and with the developed markets, the inter-linkages diminished after the crisis period. In the pre- and post-crisis period SEE markets have on average zero correlations, modest lead-lag interactions, small responses to other market shocks, and most of the variance is explained by their own shock. The opposite is true for the crisis period, when SEE markets have a significant adjusted effect, and each market responds to the impulses coming from most of the other markets. This suggests that in the period of instability and uncertainty SEE markets follow a common path, and in the calm periods with optimism and positive expectations the lead-lag relations of the SEE markets with the developed stock markets diminish.
Appears in Collections:Faculty of Economics 03: Journal Articles / Статии во научни списанија

Show full item record

Page view(s)

checked on Jan 22, 2020

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.