BEHAVIOR AND CHARACTERISTICS OF BALKAN STOCK MARKETS

Plamen PATEV (D Tsenov Academy of Economics)
Nigokhos KANARYAN (D Tsenov Academy of Economics)

The paper investigates the behavior and characteristics of Balkan Stock markets. We prove that Balkan stock markets have typical for the emerging markets high standard deviation, high kurtosis, high extreme values for the returns, mean value of the return different from the global market tendency and low level of correlations with the global markets. Although for the autocorrelation we obtain not synonymous results we accept them as not controversial to the main thesis.

We apply Granger causality test in order to find the direction of information transmission. The results lead up to the conclusions that the more liberalized and integrated stock markets the more affected they are, and the more they affect other markets. In this connection, Turkey and Romania have to continue the process of privatization of state property and liberalize the stock market. Furthermore, the results from Granger causality test show the presence of opportunities for portfolio diversification.