1. Jasmina Okičić, Faculty of Economics University of Tuzla ,
Federation of Bosnia and Herzegovina
, Bosnia and Herzegovina
The main goal of this paper is to scientifically examine the opportunities for international portfolio diversication across the selected capital markets in the South Eastern European (SEE) region. Apart from examining potential portfolio risk reduction we will also investigate possibilities for realization of excess return on these markets. Therefore, this approach is two-dimensional and consists of (1) weak-form efficiency testing, by using statistical tests of independence in combination with autoregressive (AR) model, and (2) by using Johansen's cointegration and Granger causality tests examining long and short-run relationships among selected capital markets in the SEE region. We use publicly available data and information available from stock traded indices in the SEE region and benchmark these against the major indices of developed economies. The real implications of this research can be seen in the shaping of investment strategies of potential investors looking to diversify their portfolios.
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Датум:
24.01.2014.
REDETE 2014 - Researching Economic Development and Entrepreneurship in Transition Economies
