Testing the “EU Announcement Effect” on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010
AbstractWe tested the hypothesis of procyclicality against the economic activity and stock exchange of Croatia - as a country preparing for EU accession - in order to investigate the spillover effect, i.e., the degree and pace of integration into larger financial markets such as the EU. The empirical findings obtained in application of OLS methodology for the 2000-2010 period provided evidence that EU accession is a trigger for a closer financial integration of a candidate country as Croatia; and a trigger for a rise in stock prices and economic revival, was reflected in by an increase in GDP and large FDI.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by University of Economics, Prague in its journal Prague Economic Papers.
Volume (Year): 2012 (2012)
Issue (Month): 4 ()
Postal: Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ondřej Glazar & Wadim Strielkowski, 2009.
"Turkey and the European Union: possible incidence of the EU accession on migration flows,"
Working Papers IES
2009/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2009.
- Ondřej Glazar & Wadim Strielkowski, 2010. "Turkey and the European Union: Possible Incidence of the EU Accession on Migration Flows," Prague Economic Papers, University of Economics, Prague, vol. 2010(3), pages 218-235.
- Adam, Anokye M. & Tweneboah, George, 2008. "Foreign Direct Investment and Stock market Development: Ghana’s Evidence," MPRA Paper 11985, University Library of Munich, Germany, revised 2008.
- Horobet, Alexandra & Ilie, Livia, 2007. "On the dynamic link between stock prices and exchange rates: evidence from Romania," MPRA Paper 6429, University Library of Munich, Germany.
- Johan Knif & James Kolari & Seppo Pynnönen, 2008. "Stock Market Reaction To Good And Bad Inflation News," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 31(2), pages 141-166.
- Berben, Robert-Paul & Jansen, W. Jos, 2005.
"Comovement in international equity markets: A sectoral view,"
Journal of International Money and Finance,
Elsevier, vol. 24(5), pages 832-857, September.
- R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued) 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department.
- Robert-Paul Berben & W. Jos Jansen, 2003. "Comovement in international equity markets: A sectoral view," Finance 0310001, EconWPA.
- Gunther Schnabl, 2004.
"De jure versus de facto Exchange Rate Stabilization in Central and Eastern Europe,"
- Schnabl, Gunther, 2003. "De jure versus de facto: Exchange rate stabilization in Central and Eastern Europe," TÃ¼binger DiskussionsbeitrÃ¤ge 269, University of Tübingen, School of Business and Economics.
- Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS.
- Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008.
"Financial Integration of Stock Markets among New EU Member States and the Euro Area,"
The Warwick Economics Research Paper Series (TWERPS)
849, University of Warwick, Department of Economics.
- Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 341-362, September.
- Ian Babetskii & Lubos Komarek & Zlatuse Komarkova, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Working Papers 2007/7, Czech National Bank, Research Department.
- Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009.
"The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data,"
Journal of Financial Stability,
Elsevier, vol. 5(2), pages 199-219, June.
- Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008. "The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data," CERGE-EI Working Papers wp349, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
- Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 0683, European Central Bank.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Iwaisako, Tokuo, 2004. "Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market," Discussion Paper Series a448, Institute of Economic Research, Hitotsubashi University.
- Fratzscher, M., 2001.
"Financial Market Integration in Europe: On the Effects of EMU on Stock Markets,"
48, Quebec a Montreal - Recherche en gestion.
- Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
- Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 0048, European Central Bank.
- Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September.
- Balázs Égert & Yosra Koubaa, 2004. "Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach," William Davidson Institute Working Papers Series 2004-663, William Davidson Institute at the University of Michigan.
- Aizenman, Joshua & Noy, Ilan, 2006.
"FDI and trade--Two-way linkages?,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 46(3), pages 317-337, July.
- Joshua Aizenman & Ilan Noy, 2005. "FDI and Trade – Two Way Linkages?," Working Papers 200505, University of Hawaii at Manoa, Department of Economics.
- Joshua Aizenman & Ilan Noy, 2005. "FDI and Trade -- Two Way Linkages?," NBER Working Papers 11403, National Bureau of Economic Research, Inc.
- Joshua Aizenman & Ilan Noy, 2005. "FDI and Trade - Two Way Linkages?," Economics Study Area Working Papers 76, East-West Center, Economics Study Area.
- Markus Baltzer & Lorenzo Cappiello & Roberto A. De Santis & Simone Manganelli, 2008. "Measuring financial integration in new EU member states," Occasional Paper Series 81, European Central Bank.
- Manolis Syllignakis & Georgios Kouretas, 2006. "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series wp832, William Davidson Institute at the University of Michigan.
- Copeland, Brian R, 1991. "Tourism, Welfare and De-industrialization in a Small Open Economy," Economica, London School of Economics and Political Science, vol. 58(232), pages 515-29, November.
- Tudorel Andrei & Ani Matei & Stelian Stancu & Bogdan Oancea, 2009. "Some notes about decentralization process implications on public administration corruption in romania," Prague Economic Papers, University of Economics, Prague, vol. 2009(1), pages 26-37.
- De Santis, Roberto A. & Gérard, Bruno, 2006. "Financial integration, international portfolio choice and the European Monetary Union," Working Paper Series 0626, European Central Bank.
- Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(04), pages 915-940, December.
- Gulnur Muradog Lu & Kivilcim Metin & Reha Argac, 2001. "Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 641-649.
- Yau, Hwey-Yun & Nieh, Chien-Chung, 2006. "Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate," Journal of Asian Economics, Elsevier, vol. 17(3), pages 535-552, June.
- Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.
- Dvorak, Tomas & Podpiera, Richard, 2005.
"European Union enlargement and equity markets in accession countries,"
Working Paper Series
0552, European Central Bank.
- Dvorak, Tomas & Podpiera, Richard, 2006. "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, vol. 7(2), pages 129-146, June.
- Richard Podpiera & TomÃ¡s DvorÃ¡k, 2005. "European Union Enlargement and Equity Markets in Accession Countries," IMF Working Papers 05/182, International Monetary Fund.
- Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
- Hirotugu Akaike, 1987. "Factor analysis and AIC," Psychometrika, Springer, vol. 52(3), pages 317-332, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vaclav Subrta).
If references are entirely missing, you can add them using this form.