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
相关论文
共 50 条
  • [21] Influence in commodity markets: Measuring co-movement globally
    Fernandez, Viviana
    RESOURCES POLICY, 2015, 45 : 151 - 164
  • [22] Dynamics of the co-movement between stock and maritime markets
    Erdogan, Oral
    Tata, Kenan
    Karahasan, B. Can
    Sengoz, M. Hakan
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2013, 25 : 282 - 290
  • [23] BRICS Capital Markets Co-Movement Analysis and Forecasting
    Maiti, Moinak
    Vukovic, Darko
    Vyklyuk, Yaroslav
    Grubisic, Zoran
    RISKS, 2022, 10 (05)
  • [24] Financial Market Co-Movement between Transition Economies: A Case Study of Serbia, Hungary, Croatia and Slovenia
    Andjelic, Goran
    Djakovic, Vladimir
    ACTA POLYTECHNICA HUNGARICA, 2012, 9 (03) : 115 - 134
  • [25] Global and regional co-movement of the MENA stock markets
    Graham, Michael
    Kiviaho, Jarno
    Nikkinen, Jussi
    Omran, Mohammed
    JOURNAL OF ECONOMICS AND BUSINESS, 2013, 65 : 86 - 100
  • [26] Financial integration and international business cycle co-movement
    Davis, J. Scott
    JOURNAL OF MONETARY ECONOMICS, 2014, 64 : 99 - 111
  • [27] Equity markets of emerging economies amid financial globalisation
    Halasz, Agnes
    PUBLIC FINANCE QUARTERLY-HUNGARY, 2009, 54 (2-3): : 502 - 510
  • [28] A Short Term Co-Movement Detection of Financial Data
    Kerdprasop, Kittisak
    Kerdprasop, Nittaya
    2016 2ND IEEE INTERNATIONAL CONFERENCE ON COMPUTER AND COMMUNICATIONS (ICCC), 2016, : 42 - 45
  • [29] A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics
    Nieves Lopez-Garcia, Maria
    Angel Sanchez-Granero, Miguel
    Evangelista Trinidad-Segovia, Juan
    Manuel Puertas, Antonio
    Javier De las Nieves, Francisco
    ENTROPY, 2020, 22 (09)
  • [30] APPLICATION OF MODIFIED GARCH METHODOLOGY: DEVELOPED FINANCIAL MARKETS VERSUS EMERGING FINANCIAL MARKETS
    Penezic, Nenad
    Andelic, Goran
    Milosevic, Marko R.
    Tot, Vilmos
    SERBIAN JOURNAL OF MANAGEMENT, 2020, 15 (02) : 241 - 261
12345