Capital market efficiency in transitioning Southeastern European countries
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 metric...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics and Business in Osijek
2023-01-01
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| Series: | Ekonomski Vjesnik |
| Subjects: | |
| Online Access: | https://hrcak.srce.hr/file/439841 |
| _version_ | 1797206455692034048 |
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| author | Ante Dodig Milica Bugarčić |
| author_facet | Ante Dodig Milica Bugarčić |
| author_sort | Ante Dodig |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-24T09:07:18Z |
| format | Article |
| id | doaj.art-8cb39c3f7d244aeab90fb04562cfc963 |
| institution | Directory Open Access Journal |
| issn | 0353-359X 1847-2206 |
| language | English |
| last_indexed | 2024-04-24T09:07:18Z |
| publishDate | 2023-01-01 |
| publisher | Faculty of Economics and Business in Osijek |
| record_format | Article |
| series | Ekonomski Vjesnik |
| spelling | doaj.art-8cb39c3f7d244aeab90fb04562cfc9632024-04-15T18:40:55ZengFaculty of Economics and Business in OsijekEkonomski Vjesnik0353-359X1847-22062023-01-01361577310.51680/ev.36.1.5Capital market efficiency in transitioning Southeastern European countriesAnte Dodig0Milica Bugarčić1Union University Belgrade, School of Computing, Belgrade, SerbiaUnion University Belgrade, Belgrade Banking Academy, Belgrade, SerbiaPurpose: 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.https://hrcak.srce.hr/file/439841economycapital marketsfrontier and emerging marketsSoutheast Europemarket efficiency |
| spellingShingle | Ante Dodig Milica Bugarčić Capital market efficiency in transitioning Southeastern European countries Ekonomski Vjesnik economy capital markets frontier and emerging markets Southeast Europe market efficiency |
| title | Capital market efficiency in transitioning Southeastern European countries |
| title_full | Capital market efficiency in transitioning Southeastern European countries |
| title_fullStr | Capital market efficiency in transitioning Southeastern European countries |
| title_full_unstemmed | Capital market efficiency in transitioning Southeastern European countries |
| title_short | Capital market efficiency in transitioning Southeastern European countries |
| title_sort | capital market efficiency in transitioning southeastern european countries |
| topic | economy capital markets frontier and emerging markets Southeast Europe market efficiency |
| url | https://hrcak.srce.hr/file/439841 |
| work_keys_str_mv | AT antedodig capitalmarketefficiencyintransitioningsoutheasterneuropeancountries AT milicabugarcic capitalmarketefficiencyintransitioningsoutheasterneuropeancountries |