Short and long run parametric dynamics in the Balkans stock markets

A. Samitas, D. Kenourgios, Nikos Paltalidis

    Research output: Contribution to journalArticlepeer-review


    This paper examines dynamics between the behaviour of the emerging Balkans stock markets, namely Romania, Bulgaria, Serbia, FYROM, Turkey, Croatia, and Albania and mature stock markets, particularly US, UK, Germany, and Greece. We use linear (error correction vector autoregressive model) and non – linear (switching regime error correction models) estimation methods to test for possible linkages between the Balkans and developed markets. Our findings show that (i) the Balkans markets display equilibrium relations with their mature counterparts, supporting the hypothesis that there are interdependencies between emerging and developed stock markets, which limit the potential for portfolio diversification by investing in different Balkans market; (ii) an active strategy provides more potential to create exceptional returns than a passive strategy.
    Original languageEnglish
    Pages (from-to)5-20
    Number of pages16
    JournalInternational Journal of Business, Management and Economics
    Issue number8
    Publication statusPublished - Dec 2006


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