Opportunities for international portfolio diversification in the balkans’ markets

Dimitrios Dimitriou () and Dimitris Kenourgios

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines long and short-run relationships among three emerging Balkan stock markets (Romania, Bulgaria and Croatia), two developed European stock markets (Germany and Greece) and United States (U.S.), during the period 2000 - 2005. We apply Johansen's (1988) cointegration methodology to test the long-run relationships between these markets and Granger's (1969) causality methodology in order to capture short-run cointegration. Our findings are mixed. We provide evidence on long-run relationships between the Bulgarian and Croatian stock markets and the developed markets. On the other hand, there is no any cointegration among the developed markets and the Romanian market. Moreover, there is no cointegrating relationship among the three regional emerging markets, while short-run relationships exist only among the region. These results have crucial implications for investors regarding the benefits of international portfolio diversification.

Keywords: Balkan equity markets; Johansen cointegration; Granger causality (search for similar items in EconPapers)
JEL-codes: F15 F30 G11 (search for similar items in EconPapers)
Date: 2012-02
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (1)

Published in International Journal of Economics and Research 3i.1(2012): pp. 1-12

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37479

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