Economic Themes (2013) 51 (1) 7, 123-137
Eldin Dobardžić
Abstract: This paper investigates the nature and extent of interactions between the 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 tests. The results show statistically significant correlations between the Serbian and German equity markets as well as the Slovenian and Croatian equity markets. Most notably, the highest correlation coefficient is calculated between equity returns in Serbia and Germany. Evidence of bidirectional causality is found among Serbian, Croatian and Slovenian markets. Also paper found unidirectional causality from Hungarian and German markets to Serbian market
Keywords: time series analysis; correlation; equity index; interdependence
DYNAMIC INTERACTIONS AMONG INTERNATIONAL EQUITY MARKETS: A SERBIAN PERSPECTIVE
Eldin Dobardžić
Abstract: This paper investigates the nature and extent of interactions between the 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 tests. The results show statistically significant correlations between the Serbian and German equity markets as well as the Slovenian and Croatian equity markets. Most notably, the highest correlation coefficient is calculated between equity returns in Serbia and Germany. Evidence of bidirectional causality is found among Serbian, Croatian and Slovenian markets. Also paper found unidirectional causality from Hungarian and German markets to Serbian market
Keywords: time series analysis; correlation; equity index; interdependence
