INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONS
This research analyzes interdependence and low efficiency of the selected capital markets in the period before and after the escalation of the global financial crisis. The aim is to show, based on the obtained results, the position that can be taken by potential investors in frontier capital market...
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| Format: | Article |
| Language: | English |
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Faculty of Economics, University of Tuzla
2018-05-01
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| Series: | Economic Review |
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| Online Access: | https://www.er.ef.untz.ba/index.php/er/article/view/96 |
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| author | Damir Bećirović Emira Kozarević |
| author_facet | Damir Bećirović Emira Kozarević |
| author_sort | Damir Bećirović |
| collection | DOAJ |
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This research analyzes interdependence and low efficiency of the selected capital markets in the period before and after the escalation of the global financial crisis. The aim is to show, based on the obtained results, the position that can be taken by potential investors in frontier capital markets of the Western Balkan countries. The sample included the daily values of the selected stock market indices for the period October 04, 2005 to October 25, 2012. The results showed that during the crisis potential benefits of international diversification based on investments in the observed frontier capital markets decrease as the correlations among capital markets during the crisis are higher than expected, which is marked as the “contagion effect”. In terms of low efficiency, it can be concluded that the results for the period before the crisis are expected, meaning that all the selected capital markets of the Western Balkans were inefficient. Efficiency tests for the period after the escalation of the crisis show somewhat contradictory results due to the characteristics of these markets and the effect of exogenous shock such as the financial crisis.
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| format | Article |
| id | doaj-art-383187277670481f81e2a73fe358b846 |
| institution | Kabale University |
| issn | 1512-8962 2303-680X |
| language | English |
| publishDate | 2018-05-01 |
| publisher | Faculty of Economics, University of Tuzla |
| record_format | Article |
| series | Economic Review |
| spelling | doaj-art-383187277670481f81e2a73fe358b8462025-02-11T00:33:04ZengFaculty of Economics, University of TuzlaEconomic Review1512-89622303-680X2018-05-01161INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONSDamir Bećirović0Emira Kozarević1 International Business Information Academy of Tuzla, Bosnia and HerzegovinaFaculty of Economics, University of Tuzla, Bosnia and Herzegovina This research analyzes interdependence and low efficiency of the selected capital markets in the period before and after the escalation of the global financial crisis. The aim is to show, based on the obtained results, the position that can be taken by potential investors in frontier capital markets of the Western Balkan countries. The sample included the daily values of the selected stock market indices for the period October 04, 2005 to October 25, 2012. The results showed that during the crisis potential benefits of international diversification based on investments in the observed frontier capital markets decrease as the correlations among capital markets during the crisis are higher than expected, which is marked as the “contagion effect”. In terms of low efficiency, it can be concluded that the results for the period before the crisis are expected, meaning that all the selected capital markets of the Western Balkans were inefficient. Efficiency tests for the period after the escalation of the crisis show somewhat contradictory results due to the characteristics of these markets and the effect of exogenous shock such as the financial crisis. https://www.er.ef.untz.ba/index.php/er/article/view/96frontier capital marketsinvestment strategyefficient market hypothesisinterdependence of capital markets |
| spellingShingle | Damir Bećirović Emira Kozarević INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONS Economic Review frontier capital markets investment strategy efficient market hypothesis interdependence of capital markets |
| title | INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONS |
| title_full | INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONS |
| title_fullStr | INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONS |
| title_full_unstemmed | INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONS |
| title_short | INFLUENCE OF FRONTIER CAPITAL MARKETS INTERDEPENDENCE AND EFFICIENCY ON SHAPING INVESTMENT STRATEGY UNDER THE FINANCIAL CRISIS CONDITIONS |
| title_sort | influence of frontier capital markets interdependence and efficiency on shaping investment strategy under the financial crisis conditions |
| topic | frontier capital markets investment strategy efficient market hypothesis interdependence of capital markets |
| url | https://www.er.ef.untz.ba/index.php/er/article/view/96 |
| work_keys_str_mv | AT damirbecirovic influenceoffrontiercapitalmarketsinterdependenceandefficiencyonshapinginvestmentstrategyunderthefinancialcrisisconditions AT emirakozarevic influenceoffrontiercapitalmarketsinterdependenceandefficiencyonshapinginvestmentstrategyunderthefinancialcrisisconditions |