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The Evolution of Stock Markets in Transition Economies

Citations

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Cited by:

  1. Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744, September.
  2. Christophe Godlewski & Zuzana Fungáčová & Laurent Weill, 2011. "Stock Market Reaction to Debt Financing Arrangements in Russia," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 53(4), pages 679-693, December.
  3. Judy Day & Peter Taylor, 2004. "Institutional Change and Debt-based Corporate Governance: A Comparative Analysis of Four Transition Economies," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 8(1), pages 73-115, March.
  4. Willman, Alpo & Dieppe, Alistair & Baumann, Ursel & González Pandiella, Alberto, 2014. "Model of the United States economy with learning MUSEL," Working Paper Series 1745, European Central Bank.
  5. Moore, Tomoe & Wang, Ping, 2007. "Volatility in stock returns for new EU member states: Markov regime switching model," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 282-292.
  6. El Hedi Arouri, Mohamed & Huong Dinh, Thanh & Khuong Nguyen, Duc, 2010. "Time-varying predictability in crude-oil markets: the case of GCC countries," Energy Policy, Elsevier, vol. 38(8), pages 4371-4380, August.
  7. Pierdzioch, Christian, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913," Kiel Working Papers 1213, Kiel Institute for the World Economy (IfW Kiel).
  8. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
  9. Hanousek, Jan & Podpiera, Richard, 2004. "Czech experience with market maker trading system," Economic Systems, Elsevier, vol. 28(2), pages 177-191, June.
  10. Maria Kulikova & Gennady Kulikov, 2023. "Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach," Papers 2310.04125, arXiv.org.
  11. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
  12. Kaie Kerem & Enn Listra & Katrin Rahu, 2004. "Market Efficiency and Rational Expectations," Working Papers 112, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  13. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
  14. Saadet Kasman & Evrim Turgutlu & A. Duygu Ayhan, 2009. "Long memory in stock returns: evidence from the major emerging Central European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1763-1768.
  15. Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 1-27.
  16. Kryukovskaya Olga, "undated". "Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998," EERC Working Paper Series 03-07e, EERC Research Network, Russia and CIS.
  17. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
  18. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  19. repec:zbw:bofitp:2010_016 is not listed on IDEAS
  20. Francesco Guidi & Rakesh Gupta & Suneel Maheshwari, 2011. "Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(3), pages 337-389, December.
  21. 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.
  22. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology.
  23. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
  24. Julian Fennema, 2006. "An Alternative Estimation Framework for Firm-Level Capital Investment," CERT Discussion Papers 0602, Centre for Economic Reform and Transformation, Heriot Watt University.
  25. Alexandru Todea & Dorina Lazar, 2012. "Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 045-053, June.
  26. Xiao‐Ming Li, 2003. "China: Further Evidence on the Evolution of Stock Markets in Transition Economies," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(3), pages 341-358, August.
  27. Bernd Hayo & Ali M. Kutan, 2005. "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 373-393, April.
  28. B Harrison & D Paton, 2007. "Do fat tails matter in GARCH estimation: testing market efficiency in two transition economies," Economic Issues Journal Articles, Economic Issues, vol. 12(2), pages 15-26, September.
  29. Rezvanian Rasoul & Klaczynska Ewelina & Krysiak Zbigniew, 2015. "Equity Market Reaction to Sharp Price Changes: Evidence from Poland," Scientific Annals of Economics and Business, Sciendo, vol. 62(2), pages 169-190, July.
  30. Radosław Cholewiński, 2009. "Real-Time Market Abuse Detection with a Stochastic Parameter Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(3), pages 261-284, November.
  31. repec:zbw:bofitp:2005_009 is not listed on IDEAS
  32. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
  33. Anatolyev, Stanislav, 2008. "A 10-year retrospective on the determinants of Russian stock returns," Research in International Business and Finance, Elsevier, vol. 22(1), pages 56-67, January.
  34. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.
  35. Charfeddine, Lanouar & Khediri, Karim Ben, 2016. "Time varying market efficiency of the GCC stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 487-504.
  36. Yoshihiko Tsukuda & Tatsuyoshi Miyakoshi & Junji Shimada, 2005. "Dynamic Efficiency in the East European Emerging Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 159-179, June.
  37. Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
  38. Anderson, James H. & Korsun, Georges & Murrell, Peter, 2003. "Glamour and value in the land of Chingis Khan," Journal of Comparative Economics, Elsevier, vol. 31(1), pages 34-57, March.
  39. Girardin, Eric & Liu, Zhenya, 2005. "Bank credit and seasonal anomalies in China's stock markets," China Economic Review, Elsevier, vol. 16(4), pages 465-483.
  40. Bernd Hayo & Ali Kutan, 2002. "The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets," Finance 0209001, University Library of Munich, Germany.
  41. Junji Shimada & Toyoharu Takahashi & Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda, 2010. "Japanese Interest Rate Swap Pricing," TERG Discussion Papers 253, Graduate School of Economics and Management, Tohoku University.
  42. Regep Horatiu Dan, 2015. "Weak Form Of Market Efficiency - European Capital Market," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 202-211, August.
  43. Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
  44. Aneta Dyakova & Graham Smith, 2013. "The evolution of stock market predictability in Bulgaria," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 805-816, May.
  45. Barry Harrison & David Paton, 2004. "Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic," Working Papers 2004/3, Nottingham Trent University, Nottingham Business School, Economics Division.
  46. Xiao-Ming Li, 2003. "Time-varying Informational Efficiency in China's A-Share and B-Share Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 33-56.
  47. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.
  48. Mirzosharif JALOLOV & Tatsuyoshi MIYAKOSHI, 2005. "Who Drives The Russian Financial Markets?," The Developing Economies, Institute of Developing Economies, vol. 43(3), pages 374-395, September.
  49. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
  50. Christian Aubin & Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005. "Quelle convergence financière pour les pecos ?. Une analyse économétrique de l'évolution des marchés d'actions (1998-2003)," Revue économique, Presses de Sciences-Po, vol. 56(1), pages 147-169.
  51. Christophe Godlewski & Zuzana Fungáčová & Laurent Weill, 2011. "Stock Market Reaction to Debt Financing Arrangements in Russia," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 53(4), pages 679-693, December.
  52. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
  53. Vít Pošta, 2008. "Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 248-260, August.
  54. Anatolyev, Stanislav, 2005. "A Ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland, Institute for Economies in Transition.
  55. Jozef Konings & Hylke Vandenbussche, 2004. "The adjustment of financial ratios in the presence of soft budget constraints: evidence from Bulgaria," European Accounting Review, Taylor & Francis Journals, vol. 13(1), pages 131-159.
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