A részvénypiacok virtuális integrációja hatással volt-e a délkelet-európai tőzsdékre?
DOI:
https://doi.org/10.14267/VEZTUD.2025.12.03Kulcsszavak:
tőzsdei együttmozgások, Délkelet-Európa, DID (difference-in-differences) módszer, cointegrációs modellAbsztrakt
A 2016-tól működő SEE Link egy regionális kereskedési platform, amely hat kis ország – Bulgária, Bosznia-Hercegovina, Horvátország, Észak-Macedónia, Szlovénia és Szerbia – tőzsdéit köti össze vállalati egyesülés nélkül. Ennek a cikknek az a célja, hogy feltárja a SEE Link hatását a részt vevő tőzsdékre, különös tekintettel a kereskedési volumenre és a hozamok kointegrációjának szintjére 2012 és 2022 között. A kointegráció tesztelésére a DCC-modellt és a Johansen-modelleket alkalmazták a szerzők. Emellett elemezték a kulcsfontosságú makrogazdasági tényezőket, hogy nyomon követhessék a befektetési feltételek alakulását. Eredményeik azt mutatják, hogy a részvénypiacok közötti korrelációk idővel csökkentek, kivéve a COVID-19 időszakot. A SEE-Link önmagában nem elegendő a forgalom és a piaci kapitalizáció növeléséhez. A gazdasági környezet javulása ellenére, a tartós strukturális, szabályozási és technikai akadályok továbbra is korlátozzák az érdemi integrációt.
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