Serbian Financial Market in the Pre-Crisis and Post-Crisis Period

Minović, Jelena and Živković, Boško (2010) Serbian Financial Market in the Pre-Crisis and Post-Crisis Period. In: Influence of global economic crisis on CEE region : possible way out. Technical University of Kosice, Faculty of Economics, Kosice (Slovakia), pp. 177-187. ISBN 978-80-553-0431-1

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The paper analysis three important characteristics of financial market: level of (il)liquidity, liquidity risk premium and systematic risk in the pre-crises and the post-crises period, in case of Serbia. For this analysis, we used monthly data for BELEXline and BELEX15 indices as well as all stocks which these indices entailed in the period from October, 2005 to July, 2009, provided by the Belgrade Stock Exchange. Results of this paper suggest that Serbian market has low level of liquidity. Especially, the level of illiquidity for both indices increased in the post crises era in Serbia. Consequently, liquidity risk premium is decreased in the same period. Additionaly, results confirm that systematic risk which contained liquidity risk is increased even by 59% in the post crises period in Serbia.

Item Type: Book Section
Additional Information: COBISS.SR-ID: 512136034
Uncontrolled Keywords: (Il)liquidity, liquidity risk premium, systematic risk, CAPM, Liquidity-adjusted CAPM
Research Department: ?? H1 ??
Depositing User: Users 3 not found.
Date Deposited: 03 Nov 2015 07:57
Last Modified: 03 Nov 2015 07:57

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