Financial integration of stock markets in the selected former Yugoslav countries

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi Rec, Alma 2011-11-14T11:23:22Z 2011-11-14T11:23:22Z 2009
dc.description.abstract Purpose of the study The purpose of this study was to establish the level of integration between the stock markets of the selected former Yugoslav countries (Bosnia, Croatia, Serbia and Slovenia) and major international markets (Austria, the US, the UK, and Japan) as a way of exploring possible diversification benefits for investors. In particular this study seeks to investigate the cointegration of these capital markets by addressing the following: - the bilateral integration of stock markets in the selected former Yugoslav countries, - the multilateral integration of stock markets in the selected former Yugoslav countries, - the bilateral integration of each stock exchange of the selected former Yugoslav countries with those of the developed world. Data and methodology The data used in the study covers the time period 03 January 2006 – 20 August 2008 (687 observations). The database consists of daily closing prices for eight financial series: SASX-10 (Sarajevo Stock Exchange), SBI20 (Ljubljana Stock Exchange), CROBEX (Zagreb Stock Exchange), BELEXline (Belgrade Stock Exchange), ATX (Vienna Stock Exchange), S&P 500 (New York Stock Exchange), FTSE 100 (London Stock Exchange), and Nikkei 225 (Tokyo Stock Exchange). Data was retrieved from Bloomberg, data provider. Local currencies were used in order to avoid the impact of foreign exchange on the level of security prices. In the event of stock exchanges being closed on certain dates due to holidays, the price for indices from the last trading day was used. The integration between markets is studied through the analysis of correlation, Granger causality tests and the application of Johansen cointegration analysis. Findings and conclusions The procedures used in the cointegration analysis offer contradictory results. The application of the Engle-Granger methodology indicates no cointegration between the stock markets of the former Yugoslav countries, while the use of the Johansen procedure suggests the presence of cointegration between Bosnia and Serbia, Bosnia and Slovenia, and Serbia and Slovenia. With the exception of Bosnia, the results of the analysis showed the existence of bilateral cointegrating relationship between developed markets and Croatia, Serbia and Slovenia (much stronger link). Equilibrium relationship could possibly be caused by the growing capital inflows from developed markets into these countries. Moreover, it seems that economic reforms and liberalization efforts undertaken in the case of Slovenia (an EU Member State) have resulted in greater level of integration with stock markets of developed countries. en
dc.format.extent 116
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Financial integration of stock markets in the selected former Yugoslav countries en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Economics en
dc.contributor.department Department of Business Technology en
dc.contributor.department Liiketoiminnan teknologian laitos fi
dc.subject.keyword cointegration
dc.subject.keyword stock markets
dc.subject.keyword Yugoslavia
dc.subject.keyword Bosnia
dc.subject.keyword Croatia
dc.subject.keyword Serbia
dc.subject.keyword Slovenia
dc.subject.keyword Johansen methodology
dc.subject.keyword Engle-Granger
dc.subject.keyword Granger causality
dc.identifier.urn URN:NBN:fi:aalto-201111181240
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon osakemarkkinat
dc.subject.helecon stock markets
dc.subject.helecon Balkan
dc.subject.helecon Balkans
dc.subject.helecon integraatio
dc.subject.helecon integration
dc.subject.helecon Bosnia
dc.subject.helecon Bosnia
dc.subject.helecon Kroatia
dc.subject.helecon Croatia
dc.subject.helecon Serbia
dc.subject.helecon Serbia
dc.subject.helecon Slovenia
dc.subject.helecon Slovenia
dc.ethesisid 12196 2009-09-11
dc.location P1 I

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