Dynamic correlations and volatility effects in the Balkan equity markets

Syriopoulos, Theodore; Roumpis, Efthimios

doi:10.1016/j.intfin.2008.08.002

Cited by 64 publications

(38 citation statements)

References 56 publications

(58 reference statements)

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“…These results are quite surprising given the leading role of the German stock market in Europe and the role of both the UK and US stock markets worldwide. Our results differ from those of Syriopoulos and Roumpis (2009) who found that leading stock markets (namely the German and US) are cointegrated with Balkan equity markets 11 .…”

Section: Resultscontrasting

confidence: 99%

“…Using both the Johansen cointegration test and Gregory-Hansen on a sample data which covers a period of six years (from 2000 to 2006), these authors found evidence of equity market integration among emerging Balkan and developed equity markets. Syriopoulos and Roumpis (2009) examined linkages and time-varying co-movements between emerging Balkans equity markets (Bulgaria, Croatia, Cyprus, Romania, Turkey) and two developed equity markets (US and Germany) during the period 1998-2007. They find the presence of cointegration between the sample equity markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…6 All stock prices were taken in local currency from Thomson Reuters Datastream (table 3). As pointed out by Syriopoulos and Roumpis (2009), taking stock market prices in local currency has two main advantages, firstly changes are due just only to stock prices movements secondly these changes are not biased by exchange rate devaluations. The reasons behind the chose of developed stock markets like UK and US is that these stock markets are the biggest in the world (Schotman and Zalewska, 2006).…”

Section: Datamentioning

confidence: 99%

See 2 more Smart Citations

Are South East Europe Stock Markets Integrated with Regional and Global Stock Markets?

Guidi

Uğur

2013

SSRN Journal

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This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co-integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This means that SEE markets might be immunized to external shocks. We also model time varying correlations among these markets by using Multivariate Generalised Autoregressive Conditional Heteroschedastic (MGARCH) models as well as the Exponential Weighted Moving Average (EWMA) methodology. Results show that the correlations of UK and US equity markets with South East Europe market change over time. These changes in correlations between our benchmark markets and individual SEE market pairs are not uniform although evidence of increasing convergence among South East Europe and developed stock market is evident. Also examined in this paper whether the structure of correlations between returns of indices in different markets changed in different phases of the 2007-2009 global financial crisis. Overall our results show that diversification benefits are still possible for investors wishing to diversify their portfolio between developed and emerging SEE stock markets.

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Section: Resultscontrasting

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Datamentioning

confidence: 99%

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Are South East Europe Stock Markets Integrated with Regional and Global Stock Markets?

Guidi

Uğur

2013

SSRN Journal

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“…Diversification benefits did exist from September 2007 to June 2013 despite evidence of dynamic cointegration during most of the crisis period from September 2008 to May 2010. Syriopoulos (2011) investigated the short-and long-run behaviour of major Balkan equity markets (Romania, Bulgaria, Croatia, Turkey, Cyprus and Greece), and developed (Germany, US) stock markets and the impact of the EMU on stock market linkages, and Syriopoulos and Roumpis (2009) analyse time-varying comovements, volatility implications and dynamic correlations.…”

Section: Literature Reviewmentioning

confidence: 99%

Portfolio Diversification in the South-East European Equity Markets

Zaimović

Arnaut-Berilo

Mustafic

2017

South East European Journal of Economics and Business

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Diversification potential enables investors to manage their risk and decrease risk exposure. Good diversification policy is a safety net that prevents a portfolio from losing its value. A well-diversified portfolio consists of different categories of property with low correlations, while highly correlated markets have the feature of low possibilities for diversification. The biggest riddle in the world of investments is to find the optimal portfolio within a set of available assets with limited capital. There are numerous studies and mathematical models that deal with portfolio investment strategies. These strategies take advantage of diversification by spreading risk over several financial assets. Modern portfolio theory seeks to find the optimal model with the best results. This paper tries to identify relationships between returns of companies traded in South-East European equity markets. A Markowitz mean-variance (MV) portfolio optimization method is used to identify possibilities for diversification among these markets and world leading capital markets. This research also offers insight into to the level of integration of South-East European equity markets. Principal component analysis (PCA) is

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“…The Balkan stock markets exhibit time-varying correlations among themselves, but correlations with the mature markets are modest (Syriopoulos and Roumpis, 2009). Vizek and Dadić (2006) examine the integration between German equity markets, selected CEE equity markets and the Croatian equity market.…”

Section: Literature Reviewmentioning

confidence: 99%