Governance Quality and Capital Markets Efficiency in Southeast Europe
By: Ante Dodig and Milica Bugarčić
References
- Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77(2), 375–410. https://doi.org/10.1016/j.jfineco.2004.06.007
- Alfano, V., Capasso, S., & Filoso, V. (2020). The Quality of Governance in Europe: A Guide for the Perplexed. CSEF, Centre for Studies in Economics and Finance, Department of Economics, University of Naples.
- Ali Imran, Z., Ejaz, A., Spulbar, C., Birau, R., & Rao Nethravathi, P. S. (2020). Measuring the impact of governance quality on stock market performance in developed countries. Economic research-Ekonomska istraživanja, 33(1), 3406-3426. https://doi.org/10.1080/1331677X.2020.1774789
- Alqahtani, F., & Aldeehani, T. (2020). Government effectiveness and stock market stability in Middle Eastern economies. Middle East Economic Review, 12(2), 34–49. https://doi.org/10.1016/j.meer.2019.12.002
- Azar, S. A. (2010). The impact of interest rates and inflation on stock market performance. Journal of Business and Economic Research, 8(5), 89–97. https://doi.org/10.2139/ssrn.1642096
- Baltagi, B. H. (2021). Econometric analysis of panel data (6th ed.). Springer. https://doi.org/10.1007/978-3-030-53953-5
- Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271–299. https://doi.org/10.1016/j.finmar.2003.11.005
- Barbic, D., & Condic-Jurkic, I. (2011). Impact of macroeconomic indicators on stock prices: Evidence from Croatia, Czech Republic, Hungary, Poland, and Slovenia. South East European Journal of Economics and Business, 6(1), 7–18. https://doi.org/10.2139/ssrn.2345098
- Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2016). Impact of macroeconomic variables on stock markets: Evidence from emerging markets. International Journal of Economics and Financial Issues, 6(4), 1674–1691. https://doi.org/10.15406/ijefr.2016.04.00239
- Boadi, I., & Amegbe, H. (2017). The link between quality of governance and stock market performance: International level evidence. European Journal of Government and Economics, 6(1), 78-101. https://doi.org/10.17979/ejge.2017.6.1.4324
- Boubaker, S., Nguyen, B., & Ta, T. (2018). Governance quality and stock market performance in emerging markets. International Review of Financial Analysis, 23(2), 144–162. https://doi.org/10.1016/j.irfa.2017.12.002
- Bouri, E., Jain, A., & Roubaud, D. (2021). Geopolitical risks and market efficiency: Evidence from dynamic conditional correlation models. Journal of Financial Markets, 22(3), 45–67. https://doi.org/10.1016/j.jfinmar.2021.100731
- Campbell, J. Y., & Vuolteenaho, T. (2004). Inflation illusion and stock prices. American Economic Review, 94(2), 19–23. https://doi.org/10.1257/0002828041301541
- Chaudhary, R., & Marrow, D. (2023). Inflation expectations and stock returns. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4154564
- Dodig, A. (2020). Market efficiency and the impact of macroeconomic indicators on stock prices in Southeast Europe. Journal of Financial Research, 23(4), 132–150. https://doi.org/10.2139/ssrn.3612098
- Dodig, A., & Bugarčić, M. (2023). Capital market efficiency in transitioning Southeastern European countries. Ekonomski Vjesnik/Econviews, 36(1), 9–24. https://doi.org/10.22598/ekonomski-vjesnik.2023.36.1.9
- Dumas, B., Harvey, C. R., & Ruiz, P. (2003). Are correlations of stock returns justified by macroeconomic fundamentals? The Journal of Financial Economics, 38(2), 125–150. https://doi.org/10.1016/j.jfineco.2002.08.001
- Fama, E. F. (1970). Efficient capital markets. Journal of finance, 25(2), 383-417.
- Fink, G., Haiss, P., & Hristoforova, S. (2006). Credit, bond, and stock markets and real economic growth: Evidence from CEE countries. International Journal of Economic Sciences and Applied Research, 4(2), 51–66. https://doi.org/10.1007/s10198-006-0039-x
- Frijns, B., Huynh, T., & Tourani-Rad, A. (2022). The impact of technological innovation on stock market efficiency. Financial Markets and Institutions, 19(4), 198–215. https://doi.org/10.2139/ssrn.3745216
- Greene, W. H. (2018). Econometric analysis (8th ed.). Pearson.
- Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American economic review, 70(3), 393-408.
- Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. https://doi.org/10.1016/S0304-4076(03)00092-7
- Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251–1271. https://doi.org/10.2307/1913827
- Hooper, V., Sim, A. B., & Uppal, A. (2009). Governance and stock market performance. Economic Systems, 33(2), 93-116.
- Jamaludin, N., Ismail, N., & Manaf, A. (2017). Impact of macroeconomic variables on stock market performance: Evidence from Singapore, Malaysia, and Indonesia. Asian Academy of Management Journal of Accounting and Finance, 13(2), 125–145. https://doi.org/10.2139/ssrn.2964956
- Kaufmann, D., Kraay, A., & Mastruzzi, M. (2010). The Worldwide Governance Indicators: Methodology and analytical issues (Policy Research Working Paper No. 5430). World Bank. https://doi.org/10.1596/1813-9450-5430
- La Porta, R., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1997). Legal determinants of external finance. The journal of finance, 52(3), 1131-1150. https://doi.org/10.1111/0022-1082.00199
- Leong, Y. K., & Ward, M. (2021). Governance reforms and stock market efficiency in Asia-Pacific markets. Journal of Corporate Finance, 27(3), 183–199. https://doi.org/10.2139/ssrn.3712543
- Maghdid, R. S., Kareem, S. M., Salih Hama, Y., Waris, M., & Naveed, R. T. (2024). Moderating role of political stability and economic policy uncertainty between country governance practice and stock market performance. A comparative analysis of Pakistan and Kurdistan Region of Iraq. Plos one, 19(4), e0301698. https://doi.org/10.1371/journal.pone.0301698
- Marshall, B. R., Nguyen, N. H., & Visaltanachoti, N. (2013). Liquidity measurement in frontier markets. Journal of International Financial Markets, Institutions and Money, 27, 1-12. https://doi.org/10.1016/j.intfin.2013.07.011
- Mundlak, Y. (1978). On the pooling of time series and cross section data. Econometrica, 46(1), 69–85. https://doi.org/10.2307/1913646
- Pajuste, A. (2002). Corporate governance and stock market performance in Central and Eastern Europe: A study of nine countries, 1994-2001. Available at SSRN 310419.
- Pastushkov, A. (2024). An Evolutionary Model of Financial Market Efficiency with Costly Information. Экономический журнал Высшей школы экономики, 28(2), 276-301.
- Pilinkus, D. (2010). Stock market and macroeconomic variables: Evidence from the Baltic states. Journal of Business and Economic Research, 8(5), 59–65. https://doi.org/10.2139/ssrn.1226201
- Plihal, T. (2016). Relationship between industrial production and stock market performance: Evidence from Germany. Journal of Financial Economics, 43(2), 245–268. https://doi.org/10.1016/j.jfineco.2015.09.002
- Prates, D., Fritz, B., & de Paula, L. F. (2023). Frontier-market economies as a new group of the financial periphery: patterns and transmission channels of global shocks. European Journal of Economics and Economic Policies, 20(2), 282-298. https://doi.org/10.4337/ejeep.2023.0106
- Stankovska, E., & Todorovic, M. (2020). Capital market efficiency in the European Union: Western vs Central and Eastern Europe. European Economic Review, 34(3), 191–210. https://doi.org/10.1016/j.eer.2020.09.004
- Stojanovic, Z., Knezevic, D., & Bugarcic, M. (2021). Market efficiency in the Western Balkans: An empirical investigation. Economic Review of Southeast Europe, 17(1), 78–91. https://doi.org/10.2139/ssrn.3758960
- Tsenkov, V., & Stoitsova-Stoykova, A. (2017a). The Impact of the Global Financial Crisis on the market efficiency of capital markets of south east Europe. International Journal of Contemporary Economics and Administrative Sciences, 7(1-2), 31-57.
- Tsenkov, V., & Stoitsova-Stoykova, A. (2017b). Interaction between the public attitudes and the stock exchange dynamics in Southeastern European countries. Economic Thought journal, (3), 93-111.
- Waris, M., & Din, B. H. (2024). Role of the government towards stock markets and carbon emissions: evidence from wavelet approach. Environmental Science and Pollution Research, 31(7), 11285-11306. doi: 10.1007/s11356-024-31843-y
- Wooldridge, J. M. (2002). Econometric analysis of cross section and panel data. MIT Press.
Language: English
Page range: 235 - 252
Published on: Jun 6, 2026
Published by: University of Zagreb, Faculty of Economics & Business
In partnership with: Paradigm Publishing Services
Related subjects:
© 2026 Ante Dodig, Milica Bugarčić, published by University of Zagreb, Faculty of Economics & Business
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.