CO-MOVEMENT OF THE CAPITAL MARKETS OF SOUTHEAST EUROPE DURING THE PERIOD 2005-2015

CO-MOVEMENT OF THE CAPITAL MARKETS OF SOUTHEAST EUROPE DURING THE PERIOD 2005-2015

ANI STOITSOVA-STOYKOVA

Abstract

This study uses correlation analysis to estimate the linkages between the capital markets of Bulgaria, Croatia, Greece, Slovenia, Turkey, Romania, Macedonia, Serbia, Montenegro, Banja Luka and Sarajevo (Bosnia and Herzegovina) during the period 2005-2015 with the accent on the division between the developed and developing markets. The results reveal that there is a weak or moderate positive correlation between the developed capital markets of Turkey, Greece and Croatia and the other examined markets. The results show that strength of co-movement between Bulgarian stock market and the rest markets in Southeast Europe (SEE) is strong, especially with Serbian, Romanian and Croatian markets. All things considered, it seems reasonable to assume that there is a strong correlation between SEE capital markets. What is more, the degree of the development of the SEE capital markets determines the linkages between them, while the developed markets are with weaker correlation in the group than the developing markets.

Key words

Capital markets, correlation analysis, South East Europe.

JEL Codes: C32, E27, G15

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