ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition

Detalhes bibliográficos
Autor(a) principal: Peša, Anita Radman
Data de Publicação: 2017
Outros Autores: Wrońska-Bukalska, Elżbieta, Bosna, Jurica
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/15773
Resumo: We tested the hypothesis of the procyclicality of stock exchanges regarding the economic activity of CEE and SEE countries, to measure the level of financial integration during the last decade of the transition period, and to compare these two groups of emerging countries. Our ARDL panel estimates support the hypothesis of procyclicality in the transition period in the CEE and SEE regions, and further financial integration, due to the opening up of the market economy and repricing of systematic risk, followed by large capital inflows, trade liberalization and industrial production, along with the implementation of institutional reforms regarding EU integration. In addition, the significant positive coefficient of capital inflows and negative coefficient of unemployment rate in the CEE and SEE panel ARDL results confirm the volatility of the transition process, as is obvious in higher industrial production, followed by the significant impact of import on CEE countries and the much higher significant impact of export on SEE countries.
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spelling ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transitionPanel estimationStock exchangeCentral and Eastern EuropeSouth East EuropeFinancial integrationWe tested the hypothesis of the procyclicality of stock exchanges regarding the economic activity of CEE and SEE countries, to measure the level of financial integration during the last decade of the transition period, and to compare these two groups of emerging countries. Our ARDL panel estimates support the hypothesis of procyclicality in the transition period in the CEE and SEE regions, and further financial integration, due to the opening up of the market economy and repricing of systematic risk, followed by large capital inflows, trade liberalization and industrial production, along with the implementation of institutional reforms regarding EU integration. In addition, the significant positive coefficient of capital inflows and negative coefficient of unemployment rate in the CEE and SEE panel ARDL results confirm the volatility of the transition process, as is obvious in higher industrial production, followed by the significant impact of import on CEE countries and the much higher significant impact of export on SEE countries.Springer VerlagRepositório da Universidade de LisboaPeša, Anita RadmanWrońska-Bukalska, ElżbietaBosna, Jurica2018-07-03T08:14:50Z2017-122017-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15773engPeša, Anita Radman, Elżbieta Wrońska-Bukalska e Jurica Bosna (2017). "ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition". Portuguese Economic Journal, 16(3):205-2211617-982X (print)10.1007/s10258-017-0134-0metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-28T01:31:01Zoai:www.repository.utl.pt:10400.5/15773Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:21.373180Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
title ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
spellingShingle ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
Peša, Anita Radman
Panel estimation
Stock exchange
Central and Eastern Europe
South East Europe
Financial integration
title_short ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
title_full ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
title_fullStr ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
title_full_unstemmed ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
title_sort ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition
author Peša, Anita Radman
author_facet Peša, Anita Radman
Wrońska-Bukalska, Elżbieta
Bosna, Jurica
author_role author
author2 Wrońska-Bukalska, Elżbieta
Bosna, Jurica
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Peša, Anita Radman
Wrońska-Bukalska, Elżbieta
Bosna, Jurica
dc.subject.por.fl_str_mv Panel estimation
Stock exchange
Central and Eastern Europe
South East Europe
Financial integration
topic Panel estimation
Stock exchange
Central and Eastern Europe
South East Europe
Financial integration
description We tested the hypothesis of the procyclicality of stock exchanges regarding the economic activity of CEE and SEE countries, to measure the level of financial integration during the last decade of the transition period, and to compare these two groups of emerging countries. Our ARDL panel estimates support the hypothesis of procyclicality in the transition period in the CEE and SEE regions, and further financial integration, due to the opening up of the market economy and repricing of systematic risk, followed by large capital inflows, trade liberalization and industrial production, along with the implementation of institutional reforms regarding EU integration. In addition, the significant positive coefficient of capital inflows and negative coefficient of unemployment rate in the CEE and SEE panel ARDL results confirm the volatility of the transition process, as is obvious in higher industrial production, followed by the significant impact of import on CEE countries and the much higher significant impact of export on SEE countries.
publishDate 2017
dc.date.none.fl_str_mv 2017-12
2017-12-01T00:00:00Z
2018-07-03T08:14:50Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/15773
url http://hdl.handle.net/10400.5/15773
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Peša, Anita Radman, Elżbieta Wrońska-Bukalska e Jurica Bosna (2017). "ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition". Portuguese Economic Journal, 16(3):205-221
1617-982X (print)
10.1007/s10258-017-0134-0
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer Verlag
publisher.none.fl_str_mv Springer Verlag
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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