Analysis of the Serbian Capital Market
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Abstract
This paper analyses the Serbian capital market. Its main characteristic is that it is a very narrow and depth lacking market. For analysis we used data from the Belgrade Stock Exchange (BSE), Republic of Serbia Securities Commission (SEC), and National Bank of Serbia (NBS). The crisis has negatively influenced on the capital market in Serbia. Due to this fact, the analysis was done by dividing into two sub-periods: before the crisis (2006 – 2008), and during the crisis (2009 – 2011). Results showed that turnover decreased for over 70% for both BELEX indices, while the whole capital market has notably recovered thanks to an extensive borrowing of the state. Stock market capitalization has fallen. Results of analysis showed that government debt securities dominate after the crisis on the capital market (93% in 2011), while other shares from privatization make a negligible part of the market (equity market dropped for over 10 times from 2006 to 2010). We concluded that the privatization in Serbia significantly influenced on the features and volatility of the capital market in Serbia.
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References
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Rouwenhorst, K.G. 1999. “Local Return Factors and Turnover in Emerging Stock Markets”, Journal of Finance, 54: 1439-1464.
Speidell, L.S. 2011. Frontier Market Equity Investing: Finding the Winners of the Future, Frontier Market Asset Management, Publisher: The Research Foundation of CFA Institute
Šoškić, D. B. & Živković, B. R. 2007. Finansijska tržišta i institucije. Belgrade, Serbia: Faculty of Economics, University of Belgrade, the second edition.
Vuković, V. & Minović, J. 2012. “Needs and possibilities for enhancement of Serbian financial markets”. Chapter 7 in Managing Structural Changes Trends and Requirements, Publisher: Portugal: Faculty of Economics (FEUC), University of Coimbra, Portugal, pp. 129-147.
Yeyati, E. L., Schmukler S. L., Van Horen N. 2008. “Emerging Market Liquidity and Crises”, Journal of the European Economic Association, MIT Press, 6 (2-3): 668-682.
Živković, B., Minović J. 2010. Illiquidity of Frontier Financial Market: Case of Serbia. Panoeconomicus. 57(3): 349-367. (http://www.panoeconomicus.rs/casopis/2010_3/07.pdf).
Živković, B. 2008. “Finansijski sektor”, Reforme u Srbiji: dostignuća i izazovi, Beograd: CLDS.
Živković, B., Urošević, B., Cvijanović, D., Drenovak, M. 2005. “Serbia's Financial Market: 2000-2005”. Quarterly Monitor, 1: 65-72
Official the Belgrade stock exchange (BSE) web site, http://www.belex.rs
Official the National Bank of Serbia (NBS) web site, http://www.nbs.rs
Official the Securities Commission (SEC) Republic of Serbia web site, http://www.sec.gov.rs
Bekaert, G., Harvey C. R. 2003. Emerging markets finance, Journal of Empirical Finance, 10: 3–55.
Bekaert, G., Harvey C.R., Lundblad C. 2007. Liquidity and Expected Returns: Lessons from Emerging Markets, Review of Financial Studies, 20(6): 1783 - 1831. http://www.kelley.iu.edu/clundbla/Liquidity_BHL.pdf
Cajueiro, D. O., Tabak B. M. 2004. “The Hurst exponent over time: testing the assertion that emerging markets are becoming more effcient”, Physica A, 336: 521 – 537.
Chuhan, P. 1994. Are Institutional Investors an Important Source of Portfolio Investment in Emerging Markets? Washington, D.C.: International Economics Department, World Bank.
Clark, A. 2008. „Liquidity Risk in Frontier Markets - History, Measurement and a new approach“. Thomson Reuters. http://thomsonreuters.com/content/financial/pdf/i_and_a/liquidity_risk.pdf
European Bank for Reconstruction and Development (EBRD). 2011. Transition Report 2011 – Crisis and Transition: The People’s Perspective.
European Central Bank (ECB). 2012. Financial integration in Europe, April 2012.
Erić, D. 2010. “What is actually capital market in Serbia?”, Economic Growth and Development of Serbia New Model, pp. 243-261.
Erić D., Zdravković A. & Nikolić D. 2009. "Influence of World Crisis on Western Balkans Countries - Undertaken Measures and Expected Effects", Chapter 3 in Financial System Integration Of Balkan Countries In The European Financial System: Impact Of Global Financial Crisis, University of Nice - Sophia Antipolis, Nice, pp. 17-34.
Hearn, B., Piesse J., Strange R. 2009. Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment. International Business Review, 19(5): 489-501.
Jefferson Institute. 2005. Bond markets in Serbia: regulatory challenges for an efficient market. Belgrade: Jefferson Institute.
Latković, M. & Barac, Z. 1999. “Optimizacija dioničkih portfelja na rubnim tržištim kapitala”. Preprint, Sveučilište u Zagrebu.
Lieberman, I., Kirkness, C. 1998. Privatization and Emerging Equity Markets. The World Bank.
Megginson, W., Boutchova, M. 2000. “The impact of privatiyation on capital market development and individual share ownership”. The Third FIBV Global Emerging Markets Conference & Exhibition, Federation of International Stock Exchanges, Istanbul, Turkey & The Thirteenth Plenary Session of the Advisory Group on Privatisation, Organization for Economic Cooperation & Development Paris, France, http://www.oecd.org/daf/corporateaffairs/corporategovernanceofstate-ownedenterprises/2668393.pdf
Minović, J. & Živković, B. 2010. “Open Issues in Testing Liquidity in Frontier Financial Markets: The Case of Serbia”. Economic Annals, 55(185): 33-62.
Minović, J. 2012a. Liquidity of the Croatian Stock Market: An Empirical Analysis. Economic Research, 25(3): 776-802.
Minović J. 2012b. “Empirijska analiza ravnoteže srpskog finansijskog tržišta”, Anali Ekonomskog fakulteta u Subotici, 48(27): 121-134.
Minović, J. 2011. „Liquidity Measuring of Financial Markets in Western Balkan Region: The Case of Serbia“, Chapter 27 in Contemporary issues in the integration processes of western Balkan countries in the European Union, International Center for Promotion of Enterprises, Ljubljana, Slovenia, pp. 443-459.
National Bank of Serbia (NBS). 2009. Godišnji izveštaj, http://www.nbs.rs/internet/cirilica/scripts/fast_search.html?query=%D0%B3%D0%BE%D0%B4%D0%B8%D1%88%D1%9A%D0%B8+%D0%B8%D0%B7%D0%B2%D0%B5%D1%88%D1%82%D0%B0%D1%98&d-447263-p=1&search_type=plain
National Bank of Serbia (NBS). 2010. Godišnji izveštaj o monetarnoj politici u 2010. http://www.nbs.rs/export/sites/default/internet/latinica/90/90_7/monetarna_politika_2010.pdf
National Bank of Serbia (NBS). 2011a. Polugodišnji izveštaj o monetarnoj politici-januar-jun 2011. http://www.nbs.rs/export/sites/default/internet/latinica/90/90_7/monetarna_politika_I_2011.pdf
National Bank of Serbia (NBS). 2011b. Annual Report on activities and results: 2010. http://www.nbs.rs
National Bank of Serbia (NBS). 2011c. Annual Monetary Policy Report: 2010. http://www.nbs.rs
National Bank of Serbia (NBS). 2012a. Inflation Report: May 2012. http://www.nbs.rs
National Bank of Serbia (NBS). 2012b. Foreign Investor’s Guide: How to invest in the Serbian financial market. http://www.nbs.rs
Nikkenen, J., Piljak, V. & Rothovius, T. 2011. Integration of the European frontier emerging stock markets: effects of the 2008/2009 financial crisis. The 15th International Conference on Macroeconomic Analysis and International Finance. Greece, May 2011.
Privatization Agency Republic of Serbia. 2005. Impact Assessment of Privatisation in Serbia. Privatization Agency Republic of Serbia. http://www.priv.rs/upload/document/Impact_Assessment_of_Privatisation_Final.pdf
Redžepagić, S., Richet, X. 2008. “The attractiveness of the Western Balkans for the FDI”, Economic Analysis, 41(1‐2): 1‐112.
Republic of Serbia Securities Commission (SEC). 2006. Godišnji Izveštaj o radu Komisije za hartije od vrednosti Republike Srbije i kretanjima na tržištu hartija od vrednosti u 2006. godini, http://www.sec.gov.rs/index.php?option=com_remository&Itemid=47&func=search
Republic of Serbia Securities Commission (SEC). 2010. Izveštaj o radu Komisije za hartije od vrednosti Republike Srbije i kretanjima na organizovanom tržištu hartija od vrednosti u Republici
u period: januar-decembar 2010. godine, http://www.sec.gov.rs/index.php?option=com_remository&Itemid=47&func=search
Republic of Serbia Securities Commission (SEC). 2012. Izveštaj o radu Komisije za hartije od vrednosti Republike Srbije i kretanjima na tržištu kapitala u Republici Srbiji u period: januar – decembar 2011. godine.
Rouwenhorst, K.G. 1999. “Local Return Factors and Turnover in Emerging Stock Markets”, Journal of Finance, 54: 1439-1464.
Speidell, L.S. 2011. Frontier Market Equity Investing: Finding the Winners of the Future, Frontier Market Asset Management, Publisher: The Research Foundation of CFA Institute
Šoškić, D. B. & Živković, B. R. 2007. Finansijska tržišta i institucije. Belgrade, Serbia: Faculty of Economics, University of Belgrade, the second edition.
Vuković, V. & Minović, J. 2012. “Needs and possibilities for enhancement of Serbian financial markets”. Chapter 7 in Managing Structural Changes Trends and Requirements, Publisher: Portugal: Faculty of Economics (FEUC), University of Coimbra, Portugal, pp. 129-147.
Yeyati, E. L., Schmukler S. L., Van Horen N. 2008. “Emerging Market Liquidity and Crises”, Journal of the European Economic Association, MIT Press, 6 (2-3): 668-682.
Živković, B., Minović J. 2010. Illiquidity of Frontier Financial Market: Case of Serbia. Panoeconomicus. 57(3): 349-367. (http://www.panoeconomicus.rs/casopis/2010_3/07.pdf).
Živković, B. 2008. “Finansijski sektor”, Reforme u Srbiji: dostignuća i izazovi, Beograd: CLDS.
Živković, B., Urošević, B., Cvijanović, D., Drenovak, M. 2005. “Serbia's Financial Market: 2000-2005”. Quarterly Monitor, 1: 65-72
Official the Belgrade stock exchange (BSE) web site, http://www.belex.rs
Official the National Bank of Serbia (NBS) web site, http://www.nbs.rs
Official the Securities Commission (SEC) Republic of Serbia web site, http://www.sec.gov.rs