Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010

Peša, Anita Radman; Festić, Mejra

doi:10.18267/j.pep.434

Prague Economic Papers

2012

DOI: 10.18267/j.pep.434

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Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010

Anita Radman Peša

Mejra Festić²

Abstract: Abstract:We tested the hypothesis of procyclicality against the economic activity and stock exchange of Croatia -as a country preparing for EU accession -in order to investigate the spillover effect, i.e., the degree and pace of integration into larger fi nancial markets such as the EU. The empirical fi ndings obtained in application of OLS methodology for the 2000-2010 period provided evidence that EU accession is a trigger for a closer fi nancial integration of a candidate country as Croatia; and a trigger f… Show more

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Cited by 2 publications

References 43 publications

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The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets

Liao

Mehdian

Stephens

2016

SAEB

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This study examines the reaction of Southeast Asian equity markets to the transmission of price innovations from major equity markets during the pre and post periods of the 2008 global financial crisis. In particular, we examine the reaction of returns indices in Malaysia, the Philippines, South Korea, Taiwan, and Thailand as endogenous variables, and compare them to the returns indices of the U.S., the Eurozone, Japan, and China as exogenous variables. The results of VAR models indicate the combined and individual impact of the price innovations from the major equity markets on the volatility of returns of selected countries is relatively trivial during either the pre- or post-financial crisis periods. However, the individual impact of the U.S. innovations is generally higher during the post-financial crisis. The ARCH and GARCH models indicate the stock markets of Southeast Asian countries are more responsive to their own price innovations during both the pre- and the post-crisis periods, although some response to U.S. and Eurozone shocks is also observed.

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The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets

Liao

Mehdian

Stephens

2016

SAEB

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An Empirical Analysis of the Diffusion of Information across Stock Markets of Central and Eastern Europe

Stoica¹,

Perry²,

Mehdian³

2015

Prague Economic Papers

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Abstract:In this paper, we examine the ei ciency of the transmission of information across the stock markets of Bulgaria, the Czech Republic, Hungary, Poland, Romania, and Slovakia, as well as the relative importance and inl uence of advanced equity markets of Germany and France on the abovementioned markets. The analysis is carried out using maximum likelihood regressions, Generalized Autoregressive Conditional Heteroskedastic (GARCH) models, and vector autoregression (VAR) estimations. The empirical results suggest that the Central and Eastern European stock markets react to the arrival of price innovations from Germany and France, but national stock market price innovations account for more error variance compared to those of Germany and France, and generally show an increasing responsiveness over time, which could be interpreted as progress in the European i nancial integration.

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Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010

Cited by 2 publications

References 43 publications

The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets

The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets

An Empirical Analysis of the Diffusion of Information across Stock Markets of Central and Eastern Europe

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