Izvorni znanstveni članak
https://doi.org/10.2478/zireb-2026-0011
Dynamics of Interactions between the Stock Markets of Southeast Europe
Sasho Arsov
orcid.org/0000-0002-8149-1504
; Ss.Cyril and Methodius University, Skopje, Northern Macedonia
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* Dopisni autor.
Sažetak
This paper examines the interactions among the stock markets of five Southeast European countries over the 2007-2024 period. Using daily index data, the study applies correlation analysis, cointegration techniques, Vector Autoregression, and Granger causality tests to assess long- and short-term relationships under different economic conditions. The results provide no robust evidence of long-run integration, as cointegration analysis fails to confirm stable relationships among the markets. In contrast, short-term dynamics reveal varying lead-lag relationships, which intensify during periods of economic turbulence and weaken during stable periods. Croatian and Slovenian markets exhibit leading roles in earlier periods; however, this precedence is not sustained over time despite their EU membership, while the Sarajevo market remains the least integrated. Overall, the findings suggest that co-movements are driven more by external shocks and investor behavior than by persistent structural linkages, with implications for regional portfolio diversification.
Ključne riječi
stock market; returns; co-movement; stock index; Balkan countries
Hrčak ID:
347557
URI
Datum izdavanja:
31.5.2026.
Posjeta: 0 *