RESEARCH ON STOCK RETURNS IN CENTRAL AND SOUTH-EAST EUROPEAN TRANSITIONAL ECONOMIES

In this paper normality tests are performed using the data on daily stock returns from 11 Central and South Eastern European countries. The article focuses on the skewness and kurtosis of stock returns providing information about extreme returns that can be expected on these stock markets. Seen from the EU integration perspective results indicate that there is no difference between stock returns of countries that already accessed EU and others. Stock markets regardless their belonging to the EU integration show different stages of stock market development.