Local and Global Illiquidity Effects in the Balkans Frontier Markets

21 Pages Posted: 4 May 2013

See all articles by George Milunovich

George Milunovich

Macquarie University - Department of Economics; Macquarie University, Macquarie Business School

Jelena Minovic

Institute of Economic Sciences Belgrade

Date Written: May 3, 2013

Abstract

We study market illiquidity across eleven national markets of the Balkan Peninsula. In general the EU member countries have are more liquid markets than the non-member countries. Turkey, however, has the most liquid market, while Serbia and Bosnia are the most illiquid. Global illiquidity sourced from the US has a strong positive and statistically significant impact on the Balkans markets in nine out of eleven cases, even after controlling for a world returns factor. In contrast, local illiquidity is significant for pricing of the Balkans markets in only two instances. There are statistically significant illiquidity spillovers across the region with illiquidity from Greece and Montenegro Granger causing illiquidity in six other markets, including the world market. In contrast, Bosnia (Banja Luka), Serbia, Slovenia and Croatia appear to be most susceptible to transmissions of illiquidity from other countries of the region.

Keywords: Liquidity, Illiquidity Transmissions, Frontier Markets, Balkans

JEL Classification: G15, G12, C58

Suggested Citation

Milunovich, George and Minovic, Jelena, Local and Global Illiquidity Effects in the Balkans Frontier Markets (May 3, 2013). Available at SSRN: https://ssrn.com/abstract=2260132 or http://dx.doi.org/10.2139/ssrn.2260132

George Milunovich (Contact Author)

Macquarie University - Department of Economics ( email )

Sydney NSW 2109
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

Jelena Minovic

Institute of Economic Sciences Belgrade ( email )

Zmaj Jovina 12, 11000 Beograd
Belgrade, 11000
Republic of Serbia

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