Financial market co-movement between transition economies: A case study of Serbia, Hungary, Croatia and Slovenia

Abstract

This paper tests and analyses the interdependence of financial markets in the transition economies of Serbia, Hungary, Croatia and Slovenia, as well as the similarity of these markets with the US financial market. The source of information is the data obtained from the financial markets of these countries in the form of stock-market indices for the period 05.10.2005-30.09.2011. The main hypothesis to be tested in the work is the assumption that there is a significant level of similarity between these financial markets. The methodology used in the study includes statistical methods of sampling and factor analysis. The research results confirm the hypothesis, which was tested in the work, that there are significant levels of similarity between the financial markets of transition economies, both among each other and with the US market.