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Research Article

Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets

Mustafa Özera Department of Economics, Anadolu University, FEAS, Eskişehir, Turkey

Sandra Kamenkovićb Belgrade Banking Academy-Faculty of Banking, Insurance and Finance, Union University, Belgrade, Serbia

https://orcid.org/0000-0003-4550-9890

Zoran Grubišićb Belgrade Banking Academy-Faculty of Banking, Insurance and Finance, Union University, Belgrade, SerbiaCorrespondence[email protected]

https://orcid.org/0000-0003-3139-8878

Figures & data

Table 1. Overview of the selected previous studies which analyse financial integration in CEE and SEE.

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Figure 1. Stock indices during the year 2009 and 2015.

Source: DataStream.

Figure 2. Returns of stock prices indices.

Source: DataStream, returns on stocks are calculated by authors.

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Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets

Table 1. Overview of the selected previous studies which analyse financial integration in CEE and SEE.

Table 2. Descriptive statistics of stock returns.

Table 3. Unconditional correlations.

Table 4. The results of returns and volatility spillover tests-Serbia.

Table 5. The results of return and volatility spillover tests-Romania.

Table 6. The results of return and volatility spillover tests-Turkey.

Table 7. The results of return and volatility spillover tests-Croatia.

Table 8. The results of return and volatility spillover tests-Slovenia.

Table 9. The results of return and volatility spillover tests-Bulgaria.

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Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets

Figures & data

Table 1. Overview of the selected previous studies which analyse financial integration in CEE and SEE.

Table 2. Descriptive statistics of stock returns.

Table 3. Unconditional correlations.

Table 4. The results of returns and volatility spillover tests-Serbia.

Table 5. The results of return and volatility spillover tests-Romania.

Table 6. The results of return and volatility spillover tests-Turkey.

Table 7. The results of return and volatility spillover tests-Croatia.

Table 8. The results of return and volatility spillover tests-Slovenia.

Table 9. The results of return and volatility spillover tests-Bulgaria.

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