Original scientific paper

Possibilities of risk diversification in regional stock exchange

Azra Zaimović
Adela Delalić

Abstract

This research investigates diversification possibilities of the four West Balkan capital markets: Sarajevo, Banja Luka, Zagreb and Belgrade Stock Exchanges. Although these markets are highly segmented with different regulations, the capital flow between them is without constraints. By analyzing six main stock market indices in a 34-month period, from 2006 till 2008, we found low to medium positive statistically significant correlation between indices returns pairs. Even though the analyzed period included the second half of 2008, when the ongoing financial and economic crisis became global, the results are encouraging. By Markowitz portfolio selection process, the diversification effect was proven on the analyzed capital markets.

Keywords

Risk Diversification; Stock Indices; West Balkan Capital Markets; Markowitz Model

Hrčak ID:

51404

URI

https://hrcak.srce.hr/51404

Publication date:

1.4.2010.

Article data in other languages: croatian

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