Међузависност између тржишта у развоју и развијених берзи: случај Македонске, Београдске, “Six” Швајцарске и “Euronext” Париске берзе
Sažetak
Циљ рада је да се испита степен међузависности између развијених и тржишта акција у развоју. Проучавана је корелација македонског (МБИ10) берзанског индекса са београдском (БЕЛЕКС15), “Six” швајцарском (СЛИ) и Еуронекст париском (ЦАЦ40) берзом од новембра 2005. до октобра 2018. Да би се проценио утицај кризе на међуодносе између ових тржишта акција, анализирани период је подељен на три сегмента (пре кризе, током кризе и после кризе) и скуповеи података у подвргнути линеарној регресионој анализи. Резултати истраживања указују на повећану корелацију македонске са београдском и Еуронекст париском берзом и смањену корелацију са “Six” швајцарском у време финансијске кризе у поређењу са периодима пре и после кризе. Налази ове студије доприносе укупној слици односа између тржишта акција у време финансијске кризе. Штавише, истраживањем међуодноса између развијених европских берзи и оних у развоју, резултати сугеришу да је интеграција финансијског тржишта временски променљива.
Reference
Adeyeye, P.O., Aluko O.A., & Migiro S.O. ( 2018). The global financial crisis and stock price behaviour: time evidence from Nigeria. Global Business and Economics Review, 20 (3), 373-387.
Aggarwal, R, Lucey, B., & Muckley, C. (2003). Dynamics of equity market integration in Europe: evidence of changes over time and with events. Working Paper, Institute for International Integration Studies. Trinity College Dublin.
Alomari, M., Power, D.M., & Tantisantiwong, N. (2018). Determinants of equity return correlations: A case study of the Amman Stock Exchange. Review of Quantitative Finance and Accounting, 50 (1), 33-66.
Angelovska, J. (2017). Long and Short-Term Relationship between Macedonian and Croatian Stock Markets. Zagreb International Review of Economics & Business, 20 (2), 11-20.
Chand, G.S., & Thenmozhi, M. (2013). Do global stock market cues matter in forecasting stock returns in developed and developing markets? European Financial Management Association, 2013 Annual Meetings. Retrieved from http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2013-Reading/papers/EFMA2013_0485_fullpaper.pdf
Dhal, S. (2009). Global Crisis and the Integration of India’s Stock Market. Journal of Economic Integration, 24(4), 778-805.
Eiling, E., Gerard, B., Hillion, P., & de Roon, F. A. (2012). International portfolio diversification: Currency, industry and country effects revisited. Journal of International Money and Finance, 31 (5), 1249-1278.
IPO Insights. (2009). IPO Insights: Comparing Global Stock Exchanges. Ernst & Young, London. Retrieved from https://pdf4pro.com/fullscreen/ipo-insights-comparing-global-stock-exchanges-ey-539c46.html
Garcia, R., Mantilla-García, D., & Martellini, L. (2014). A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns. Journal of Financial and Quantitative Analysis, 49 (5-6), 1133-1165.
Gradojević, N., & Dobardžić, E. (2013). Causality between Regional Stock Markets: A Frequency Domain Approach. Panoeconomicus, 6 (5), 633–647.
Horvath, R., & Petrovski, D. (2012). International Stock Market Integration: Central and South Eastern Europe Compared. Economic Systems, 37 (1), 81-91.
Karagoz, K., & Ergun, S. (2009). Stock Market Integration Among Balkan Countries. MIBES Proceedings 2009, 276-286.
Kenourgios, D. and Samitas, A. (2011). Equity Market Integration in Emerging Balkan Markets. Research in International Business and Finance, 25 (3), 296-307.
Landau, S., & Everitt, B. (2004). A handbook of statistical analyses using SPSS. Boca Raton: Chapman & Hall/CRC.
Liu, L. (2013). International Stock Markets interdependence: Are Developing Markets Same as Developed Markets? Journal of International Financial Markets Institutions and Money, 26 (c), 226-238.
Majid, M., & Kassim, S. (2009). Impact of the 2007 US Financial Crisis on the Emerging Equity Markets. International Journal of Emerging Markets, 4 (4), 341-357.
Nistor, C., Dumitriu, R., & Stefanescu, R. (2012). Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries. Published in: Proceedings of the 2nd International Conference on Business Administration and Economics ”People. Ideas. Experience”, October 25-26, 2012, Reşiţa. 319-332.
Pagano, M., Röel, A., & Zechner, J. (1999). The Geography of Equity Listing: Why do European Companies List Abroad? Available at SSRN: https://ssrn.com/abstract=209313
Srikanth, P., & Aparna, K. (2012). Global Stock Market Integration – A Study of Select World Major Stock Markets. Journal of Arts, Science and Commerce, 3 (1), 203-211.
PWC. (2015). Capital Markets Union: Integration of Capital Markets in the European Union, The PWC Market Research Centre, http://marketresearchcentre.pwc.lu/market-research-centre/docs/pwc-capital-markets-union.pdf, 1-70.
Şahin, C. (2015). Co-integration Analysis between the Turkish Stock Market and its Balkan Hinterland Equivalents: Proof from the 2010-2015 Period. Journal of Economics and Social Studies, 6(1), 105-124.
Samadder, S. and Bhunia, A. (2018). Integration Between Indian Stock Market and Developed Stock Markets. Journal of Commerce & Accounting Research, 7(1), 13-23.
Sharma, P. (2011). Asian emerging economies and United States of America: Do they offer a diversification benefit?. Australian Journal of Business and Management Research, 1(4), 85-92.
Slimane, F.B., Mehanaoui, M., & Kazi, I.A. (2013). How does the Financial Crisis Affect Volatility Behavior and Transmission among European Stock Markets? International Journal of Financial Studies, 1 (3), 81-101.
Syriopoulos, T., & Roumpis, E. (2009). Dynamic Correlations and Volatility Effects in the Balkan Equity Markets. Journal of International Financial Markets Institutions and Money, 19 (4), 565-587.
Tennby, V., & Ringström, M. (2015). Integration of European Equity Markets. (Bachelor thesis). Retreived from https://gupea.ub.gu.se/bitstream/2077/41755/1/gupea_2077_41755_1.pdf
Tudor, C. (2011). Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region. Panoeconomicus, 58 (4), 525-543.
Weisenthal, J. (2013). Here’s When the Economic Crisis Actually Ended, 26 December [online] https://www.businessinsider.com/heres-when-the-economic-crisis-actually-ended-2013-12 (accessed 4 January 2015).
Zdravkovski, A. (2016). Stock Market Integration and Diversification Possibilities during Financial Crisis: Evidence from Balkan Countries. MPRA Paper No.72182, University Library -of Munich, Germany.
The Author wishes to submit the Work to SJM for publication. To enable SJM to publish the Work and to give effect to the parties’ intention set forth herein, they have agreed to cede the first right to publication and republication in the SJM Journal.
Cession
The Author hereby cedes to SJM, who accepts the cession, to the copyright in and to the paper.
The purpose of the cession is to enable SJM to publish the Work, as first publisher world-wide, and for republication in the SJM Journal, and to grant the right to others to publish the Work world-wide, for so long as such copyright subsists;
SJM shall be entitled to edit the work before publication, as it deems fit, subject to the Authors approval
The Author warrants to SJM that:
- the Author is the owner of the copyright in the Work, whether as author or as reassigned from the Author’s employee and that the Author is entitled to cede the copyright to SJM;
- the paper (or any of its part) is not submitted or accepted for publication in any other Journal;
- the Work is an original work created by the Author;
- the Author has not transferred, ceded, or assigned the copyright, or any part thereof, to any third party; or granted any third party a licence or other right to the copyright, which may affect or detract from the rights granted to SJM in terms of this agreement.
The Author hereby indemnifies the SJM as a body and its individual members, to the fullest extent permitted in law, against all or any claims which may arise consequent to the warranties set forth.
No monetary consideration shall be payable by SJM to the Author for the cession, but SJM shall clearly identify the Author as having produced the Work and ensure that due recognition is given to the Author in any publication of the Work.
Should SJM, in its sole discretion, elect not to publish the Work within 1 year after the date of this agreement, the cession shall lapse and be of no further effect. In such event the copyright shall revert to the Author and SJM shall not publish the Work, or any part thereof, without the Author’s prior written consent.