CO-MOVEMENT OF FINANCIAL MARKETS IN EMERGING AND DEVELOPED ECONOMIES

被引：0
|
作者：
Dobardzic, Eldin [1 ,4 ]
Dobardzic, Alma [2 ,3 ]
Brnicanin, Edisa [2 ,3 ]
机构：
[1] State Univ Novi Pazar, Ctr Sci Res, Novi Pazar 36300, Serbia
[2] State Univ Novi Pazar, Dept Econ, Novi Pazar 36300, Serbia
[3] Univ Nis, Fac Econ, Nish, Serbia
[4] Univ Novi Sad, Fac Tech Sci, Dept Engn Management, Novi Sad 21000, Serbia
来源：
ACTUAL PROBLEMS OF ECONOMICS | 2012年 / 129期
关键词：
time series analysis; correlation; equity index; interdependence; causality; VOLATILITY; STOCK;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the nature and interactions between Serbian equity market and selected regional and developed equity markets. Using the most recent data for the appropriate stock market indices spanning the period 2005-2009, market interdependencies are gauged by running cross-correlation and Granger causality tests. The results show statistically significant correlations between Serbian and German equity markets as well as Slovenian and Croatian equity markets. The highest correlation is documented between equity returns in Serbia and Germany. In addition, evidence on bidirectional causality is found for Serbian, Croatian and Slovenian markets. Also the paper finds unidirectional causality from Hungarian and German markets to Serbian market.
引用
收藏
页码：385 / 397
页数：13
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