Izvorni znanstveni članak
https://doi.org/10.51680/ev.36.1.5
Capital market efficiency in transitioning Southeastern European countries
Ante Dodig
orcid.org/0000-0003-4317-1275
; Univerzitet Union Beograd, Računarski fakultet, Beograd, Srbija
Milica Bugarčić
; Univerzitet Union Beograd, Beogradska bankarska akademija, Beograd, Srbija
Sažetak
Purpose: This paper is a continuation of research in the series that examines the weak form of the efficient capital markets theorem in Southeast European transitioning economies. Model modifications are based on learnings through the previously established inapplicability of foreign exchange metrics. At the same time, the model is being expanded by incorporating new research markets, extending the time coverage to the longest duration to date, between 2005 and 2021, to cover economic bust and recovery periods and research inherent improvements in the capital market context, and adding new variables to provide more sturdiness and conclusiveness.
Methodology: The paper applies the panel pooled mean group estimator by aggregating cross-country data. By using level series prime data instead of differentials, this method enables efficient use of information and resolves at best the identified market shallowness.
Results: The statistical results of empirical research infer the inefficiency of the investigated markets with greater robustness and supplementary new information revealing more powerful corrective investor and policy behavior in collectively more mature markets.
Conclusions: The findings firmly reiterate subpar capital markets performance in a prolonged and more comprehensive environment. The recommendations conclusively emphasize the importance of structural reforms to support sustainability through elementary setup drivers, such as transparency, governance, judiciary productivity, and policy support, inter alia.
Ključne riječi
economy; capital markets; frontier and emerging markets; Southeast Europe; market efficiency
Hrčak ID:
305051
URI
Datum izdavanja:
19.6.2023.
Posjeta: 425 *