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The research investigates the interactions between stock markets in five Southeast European countries from 2007 to 2024.

June 4, 2026Open Access

Dynamics of Interactions between the Stock Markets of Southeast Europe

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Analysis examines stock market relationships in Southeast Europe, suggesting external factors drive their dynamics.

The research investigates the interactions between stock markets in five Southeast European countries from 2007 to 2024.
Applied correlation analysis and cointegration techniques to assess market relationships.
Utilized Vector Autoregression and Granger causality tests for short- and long-term dynamics.
Analyzed daily index data from the stock markets of five Southeast European countries.
No robust evidence of long-run integration among the markets; cointegration analysis shows unstable relationships.
Short-term dynamics exhibit varying lead-lag relationships, intensifying during economic turbulence.
Croatian and Slovenian markets initially lead, but this pattern is not sustained; Sarajevo market remains least integrated.

Sasho Arsov (2026) studied this question.

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