Capital market efficiency in transitioning Southeastern European countries

IF 0.5 Q4 ECONOMICS
Ante Dodig, Milica Bugarčić
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Abstract

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.
转型期东南欧国家的资本市场效率
目的:本文是该系列研究的延续,该系列研究考察了东南欧转型经济体中有效资本市场定理的弱形式。模型修改是根据以前确定的外汇计量不适用的经验教训进行的。与此同时,该模型正在进行扩展,纳入新的研究市场,将时间覆盖范围扩大到迄今为止最长的时间(2005年至2021年),以涵盖经济萧条和复苏时期,并研究资本市场背景下的内在改善,并增加新的变量以提供更多的稳健性和结定论。方法:通过汇总跨国数据,采用面板混合平均组估计方法。通过使用水平序列素数数据而不是微分,该方法可以有效地利用信息,并最多解决已识别的市场浅度问题。结果:实证研究的统计结果以更强的稳健性推断了被调查市场的低效率,补充的新信息揭示了在总体上更成熟的市场中更强大的纠正性投资者和政策行为。结论:研究结果坚定地重申,资本市场在长期和更全面的环境中表现欠佳。这些建议最后强调了结构性改革的重要性,以通过透明度、治理、司法生产力和政策支持等基本设置驱动因素来支持可持续性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Ekonomski Vjesnik
Ekonomski Vjesnik ECONOMICS-
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