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  • 标题:THE IMPACT OF FINANCIAL CRISES ON THE SHORT-TERM INTERACTION BETWEEN BALKAN STOCK MARKETS
  • 本地全文:下载
  • 作者:Julijana Angelovska
  • 期刊名称:UTMS Journal of Economics
  • 电子版ISSN:1857-6974
  • 出版年度:2017
  • 卷号:8
  • 页码:53-66
  • 出版社:University of Tourism and Management
  • 摘要:The aim of this study is to examine the impact of financial crises on the short-term interaction between stock market returns of the Macedonian, Serbian and Croatian equity markets. Daily data sample spans from January 4th 2006 to March 31st 2017and based on detected Zivot-Andrews structural break point tests three subsamples are created: Subsample 1- January 4th 2006 to December 31th 2007, the period characterized as period of growth on the three Balkan stock markets, Subsample 2 - January 1st2008 to June 30th 2011, turbulent period for the stock markets and Subsample3 – July 1st2011 to March 31st 2017, after crisis period. Using simple Correlation and Granger-causality tests it is found that three stock markets interacted mostly in the crisis period. A bi-directional pattern of causality is detected for all pairs, except for the relation Macedonia-Serbia. Via variance decomposition and impulse response functions the extent of the interaction within Subsample 2 is analyzed and as a most influential stock market that transmits the changes on the others is the Croatian stock market. From a perspective of Macedonian and Serbian investors, this means that they can benefit following the movement of the Croatian stock market.
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