Fragility of Emerging Stock Markets; a Comparison between B&H, Croatia and Serbia

DURIC, Adnan and ERGÜN, Uğur (2013) Fragility of Emerging Stock Markets; a Comparison between B&H, Croatia and Serbia. International Conference on Economic and Social Studies, 10-11 May, 2013, Sarajevo, 1 (1). ISSN 2303-4564

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Abstract

This study investigates the how emerging stock markets respond to external and internal shocks. Daily stock market data from three southeast emerging European countries are used. GARCH (1, 1) model is employed. Daily stock markets indices are obtained from the selected stock markets and data stream for the period January 2000 to December 2011. Augmented Dicky Fuller unit root test and co-integration test are used to gauge out linkages between stock markets. The results of the study can be the useful resource for future research. Keywords: Fragility, Emerging Stock Markets in Bosnia, Croatia, Serbia.

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HE Transportation and Communications
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Faculty of Economics > Management Department
Depositing User: Users 173 not found.
Date Deposited: 15 May 2013 12:04
Last Modified: 15 May 2013 12:04
URI: http://eprints.ibu.edu.ba/id/eprint/1460

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