Panel regression of stock market indices dynamics in south-eastern European economies

Anita Peša and Mejra Festić

Economic Research-Ekonomska Istraživanja, 2014, vol. 27, issue 1, 673-688

Abstract: We tested the hypothesis of pro-cyclicality of the stock exchanges indices regarding economic activity of south-eastern European countries (SEE) in the Two-Stage Least Squares (TSLS) model in order to demonstrate the degree and pace of integration of ‘new’ financial markets into larger ones (EU). Rising stock prices in the SEE countries may be the sign of economic growth in the region in the light of the financial integration process. Results of panel estimates support the hypothesis of pro-cyclicality in the period of transition of the SEE region and financial integration, due to the opening of the market economy and re-pricing of systematic risk followed by large capital inflows, GDP growth, trade liberalisation and increased industrial production as well as the implementation of reforms regarding EU integration. Also significant is the negative coefficient of government debt in the SEE group results could be interpreted as a ‘contagion effect’ of the recent global financial crisis that spread beyond national borders.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1331677X.2014.975515 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:reroxx:v:27:y:2014:i:1:p:673-688

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rero20

DOI: 10.1080/1331677X.2014.975515

Access Statistics for this article

Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare

More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst (chris.longhurst@tandf.co.uk).