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Authors: Arsov, Sasho 
Keywords: stock market, synchronicity, emerging markets
Issue Date: Jun-2007
Conference: European Applied Business and Research Conference, Padova 2007
Abstract: The development of the capital markets in the former socialist countries has often been emphasized as one of the basic prerequisites for an intensified economic development. Although the level of activity in these markets has shown a dramatic increase during the last few years, the role these markets will play in the economic development of the respective economies will vastly depend on their efficiency, i.e. their ability to contribute to the optimal allocation of capital. This paper attempts to assess one aspect of the capital market efficiency, i.e. the extent to which the stock prices in these markets move independently of each other. The independent movements are considered to reflect the company-specific information, while the opposite situation, synchronous movements, are considered a sign of inefficiency as they do not convey information needed by the prospective investors to make optimal allocation decisions. This paper is based on some of the synchronicity measures developed in a paper published seven years ago and it attempts to extend the analysis over three other stock markets – those in Slovenia, Croatia and Macedonia, countries that emerged from the former Yugoslav federation. The calculation of the aforementioned measures for these markets and the results obtained place them somewhere between the markets in the developed countries and those of the emerging economies in the middle of the 1990s. Therefore, although one could reasonably expect that the study would give a significantly different picture, the relative ranking of the observed markets provides some basis for making conclusions, but also raises some questions regarding the applicability of the basic model.
Appears in Collections:Faculty of Economics 02: Conference papers / Трудови од научни конференции

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