. . .

03/2013

MART 2014.


1.

....................................................................................................................... 2
1.1

.............................................................................................................................. 0

1.2

..................................................................................... 0

1.3

(R) ........................................................................................... 0

2.

........................................................... 2

3.

............................................................................................................................ 4
3.1

1 ....................................................................................................................................................... 6

3.2

2 ....................................................................................................................................................... 8

3.3

3 ....................................................................................................................................................... 9

3.4

4 ..................................................................................................................................................... 12

3.5

5 ..................................................................................................................................................... 14

3.6

6 ..................................................................................................................................................... 15

3.7

7 ..................................................................................................................................................... 17

3.8

8 ..................................................................................................................................................... 19

3.9

9 ..................................................................................................................................................... 21

3.10

10 ................................................................................................................................................... 23

4.

.............................................................................................................................................................. 26

5.

........................................................................................................................................................... 30

6.

................................................................................................................................................... 31

1.
,
.
. ,
, ,
, , , .
, ,
, .
1
.
, ,
.
. (.
con = , relatio = )
.

.

:2
1. ,
,
.
2. ,
.
3.
, , .
,
.

4.
, . .

1
2

, , ,
: http://sh.wikipedia.org/wiki/Korelacija

1.1

.
.
( ).

.
+1 ( ) 1 (
).
, .

. om r.
(SS): X,
Y X Y.
X X
:

(1)
X :

Y Y
:

(2)
Y :

X Y X
Y :
(3)

(4)
,
. .
, .
.
,
- .
-
.
. ,
,
- .

.
.
, , ,
- .
4.
.

, .

, 1
, -1 .
, , .
.
, .

 1.

0.00 0.10

0.11 0.25

0.26 0.40

0.41 0.50

0.51 0.75

0.76 0.90

0.91 1.00

2.

0.00 0.20

0.20 0.40

0.40 0.70

0.70 1.00

1.2

:

(+) X
Y

(-) X
Y

1.3 (R)
.

.

R - X Y
,
(%) x
y.

R = r2

( 0,3)
( 0,6) ( R = 9%, 36% )

,
, .
0 R 1

90- ,
2007, 2008.
,
, ,
.
2008
.3
,
,
,

.
, ,
, , .
.
,
.

.

, ,
.
,
.
,

, ,
, , , ,
, : Shah
A. (December 11, 2010). Global Financial Crisis. "Global Issues". http://www.globalissues.org/article/768/global-financial-crisis
23.12.2012.
3

 ,
.4

2.
, .
1990. . ,
(1991) (1992) . ,
.
5 - 1995.
34 - 50 - 2007. .
2004. ,
. .
, ,
, 1990- .
, ,
2001. . ,
2004. 2007. , 40 .
, -
, .5 -
.
. 100 2007 . 2005 . .
, , , 50
.
, - .
5 6 1993-1999.
,
. 1995, ,
, , 10
.

: . Boskovic . Cerutti C., Noel M. (2010).

Comparing European and U.S. Securities Regulations: MiFID versus Corresponding U.S. Regulations. World Bank Working
Paper No. 184.
http://siteresources.worldbank.org/ECAEXT/Resources/2585981256842123621/6525333263245503321/European_US_Securities
Regulations.pdf, 23.12.2012. Na prethodni stav potvruje i izvor: Christenesn H.B., Hail L., Leuz C. (January 2011). Capital
Market Effect of Securities Regulation: Hysteresis, 15.06.2012
4

2006. 57, 59, 148 160 -, , , ,

( & , 2008).
5

 .
- 1996,
.
, 4
( ). 2007,
8 - ,
11 - . , 40
,
.6
3. -
( )

( $)
(% )

( USD $)
( % . .)
( % )
()

( $)
(% )

( USD $)
( % . .)
( % )
()

( $)
(% )

( $)
( % . .)
( % )

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

1635
15,7
30,1
32,9
2,6
16,9
5,1

1588
18,1
31,2
50,3
3,4
18,8
5,9

276
12,8
24,1
47,9
3
23,7
5,7

261
12
21,4
38
3,8
31,5
6,7

164
11,8
21,6
36,7
2,7
23,1
5

131
11
21,7
60,3
3,1
27,8
6

94
9,3
15,3
34,1
3,6
38,1
5,8

78
15,9
21,5
48,7
4,3
26,7
5,8

63
17,7
19,5
52,5
5,5
31,1
6,1

54
30,9
28,8
78,5
9,3
30,3
8,7

36
38,3
30,8
120,7
9
23,4
7,2

29
48,6
34
75,1
11,6
23,8
8,1

32
73,4
42,2
71,7
14,5
19,8
8,3

42
2,4
5,4
17,3
-

45
5,3
11,7
41,6
-

49
15
32,8
73,4
2,5
16,7
5,5

55
14
29,3
113,9
2,3
16,7
4,9

66
16,3
34
95,8
4,4
26,7
9,1

60
12
26,3
90,7
3
24,8
6,5

57
10,4
20
44,4
2,9
28
5,6

48
13,1
20
52,2
3,8
28,9
5,8

49
16,8
20,1
57,6
5,6
33,5
6,7

47
28,7
28,5
59,9
11,4
39,6
11,3

44
32,6
29,8
79,2
13,2
40,4
12

41
42
37,1
86,8
18,4
43,8
16,3

41
47,7
34,4
107
15,3
32
11

65
4,6
3,6
71,5
-

83
8,4
5,9
84,8
2,3
27,2
1,6

143
12,1
8,5
78,4
2,7
22
1,9

198
20,5
12,9
54,4
5
24,3
3,1

221
29,6
19,1
45,8
5
16,8
3,2

225
31,3
19,8
49,9
5,4
17,1
3,4

230
26
14
26,1
4,3
16,5
2,3

216
28,8
15
22,4
4,4
15,3
2,3

203
37,2
17,7
26,6
6,7
18
3,2

225
71,1
29,3
33,1
13,7
19,3
5,7

248
93,9
31
37,3
18,8
20
6,2

267
149,1
44
45,7
22,6
15,1
6,7

328
207,3
48,9
49,2
33,2
16
7,8

: Emerging and Global Stock Market Factbooks (Standard & Poors, 2002,2008)
(IMF,2008,2009).
a:
.

2004.
- 2004.
, , .
1994. 1999. ,

, .
6

, 2006. , , 45, 37 14 .

 2004.
,

3.

.
( 1)
(
, )

.
2
()
, .
3

.
4.
4

. Return
Performance and Liquidity of Cross Listed Central European Stocks 7

.


( 3.) . 3.
.
5
:

P.Korczak, M. T. Bohl, (2003) Return Performance and Liquidity of Cross Listed Central European Stocks
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=404141. . 22, 22.06.2012.
7

 6
( )
.
7
.
,
, .
,
-.
-
8.
Long and short-run linkages in cee stock
markets: implications for portfolio diversification and stock market integration.8
( 9),
a
.
e 3 Long and short-run linkages in cee stock markets:
implications for portfolio diversification and stock market integration.
10
, .
Efficient market hypothesis: Budapest,
Prague and Warsaw stock exchange,9 Corporate Governance and Stock Market Performance in
Central and Eastern Europe: A Study of nine countries, 1994-200110

,
,
, .

M.N. Syllignakis, G.P. Kouretas, (2006) Long and short-run linkages in cee stock markets: implications for portfolio
diversification and stock market integration http://papers.ssrn.com/sol3/papers.cfm?abstract_id= id910507, 25,
20.06.2012.,
9
I. Bechev, (2002) Efficient market hypothesis: Budapest, Prague and Warsaw stock exchange,
http://papers.ssrn.com/sol3/papers.cfm?abstract_id= id625901, 25, 20.06.2012.
10
A. Pajuste, (2002),Corporate Governance and Stock Market Performance in Central and Eastern Europe: A Study of nine
countries, 1994-2001http://eprints.ucl.ac.uk/17556/1/17556.pdf, 8., 6, 12.12.2012.
8

3.1 1
1 - ( )
.
4. , % 11

5. , .

,
, . ,
-0,865569471.
. ,
.
-
.

11

: 3, . . 9

 , -1
.

.

( $),
(% -), ( $)
(% -) ,
, .
(, , )
(,),
( $) (% ). ,
.

-1,
( )
, .

3.2 2
2 -
.
6. , ,
.12

2,
pru
2001.
( ) -0,24300
.
,
,
.

-0,76191 , .
,
, .

, (
, , ).
,
,
. 2
(: , ).

12

: 3, . . 9

3.3 3
3 -
.
7. , ( )
.13
( )
1995 1996 1997 1998 1999 2000
2001
y ( ( $)
15,70 18,10 12,80 12,00 11,80 11,00
9,30
x ( ( $)
2,60 3,40 3,00 3,80 2,70 3,10
3,60
Vt (%)
- 116,13
x 124,66
(%)
24,66

2002
15,90
4,30
119,44

2003
2004
17,70 30,90
5,50
9,30
127,91 169,09

:
- r
-0,00325
0,97786

2005
38,30
9,00
96,77

2006 2007
48,60 73,40
11,60 14,50
128,89 125,00

.
315,50
13
76,40

1995-2007
0,96388

3

.
(0,97786), (1995-2007)
(0,96388).
8. , ( )
.14
()
1995 1996 1997 1998 1999 2000
y ( ( $)
- 15,00 14,00 16,30 12,00
x ( ( $)
- 2,50 2,30 4,40 3,00
Vt (%)
x 126,21
(%)
26,21

2001
10,40
2,90
96,67

2002
13,10
3,80
131,03

2003
2004
2005
16,80 28,70 32,60
5,60 11,40 13,20
147,37 203,57 115,79

:
- r
0,51533
0,96091

13
14

: 3, . . 9
: 3, . . 9

1995-2007
0,96284

2006
42,00
18,40
139,39

2007
47,70
15,30
83,15

.
248,60
11
82,80

 , ,
(: 8).
9. , ( )
.15
()
1995 1996 1997 1998 1999 2000
y ( ( $)
- 8,40 12,10 20,50 29,60 31,30
x ( ( $)
- 2,30 2,70 5,00 5,00 5,40
Vt (%)
x 129,62
(%)
29,62

2001
26,00
4,30
79,63

2002
28,80
4,40
102,33

2003
2004
2005
37,20 71,10 93,90
6,70 13,70 18,80
152,27 204,48 137,23

:
- r
0,93684
0,98785

2006 2007
149,10 207,30
22,60 33,20
120,21 146,90

.
715,30
12
124,10

1995-2007
0,99120

a 15.
,
, ,
.

15

: 3, . . 9

 1. (R) ,

(
).

92,93%, 92,91%,
98,32%. .

3.4 4
4 -
.
2. ( )
( ) 16

P.Korczak, M. T. Bohl, (2003) Return Performance and Liquidity of Cross Listed Central European Stocks
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=404141. .19-20, 22.06.2012
16

 2
. 20 ,
1995-2001

. 20 ,
1995-2001.
.
.

3.5 5
5 -
,
.
10. 17

,
.
11. 18

(20 ,
) ,
,
,
( ).
(33,81%). 100
200 24,94%.
16,29% , ,
0,74%.
, .
8%.
.

P.Korczak, M. T. Bohl, (2003) Return Performance and Liquidity of Cross Listed Central European Stocks
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=404141. . 21, 22.06.2012
18
P.Korczak, M. T. Bohl, (2003) Return Performance and Liquidity of Cross Listed Central European Stocks
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=404141. . 23, 22.06.2012
17

3.6 6
6 -
( )
.
12. , ( )
.19

13. , ( )
.20

14. , ( )
.21

,
. ,
.
.

: 3, . . 9
: 3, . . 9
21
: 3, . . 9
19
20

 ,
.
.
.
.

3.7 7
7 -
, .
15. , ( ).22

16. .

17. .

22

: 3, . . 9

 18. .

7
6, ,
, , .

3.8 8
8 -
.
19. , ( )
.23

8
,
23

: 3, . . 9

 ,

.
(, , , , )
. .

3.9 9
9 -
.

: ,
. (0,11),
: (0,57), (0,61) (071).
,
,
.
20. , ( )
.

: http://papers.ssrn.com/sol3/papers.cfm?abstract_id= id910507, 26.

9 (, , )
,

 . ,
, .

3.10

10

10 -
.
21. .24

24

I. Bechev, (2002) Efficient market hypothesis: Budapest, Prague and Warsaw stock exchange,

http://papers.ssrn.com/sol3/papers.cfm?abstract_id= id625901, 23, 20.06.2012.

 28. .25

22. .

I. Bechev, (2002) Efficient market hypothesis: Budapest, Prague and Warsaw stock exchange,
http://papers.ssrn.com/sol3/papers.cfm?abstract_id= id625901, 23, 20.06.2012.
25


, :
(0,2714112), 0,249910. (,
, ) ,
.
.

.

4.

.
.

.

.
.
.
.

. je
.
.
. K
.

.
:
,
.

.
. ,
( )
.
,
.
.
.
,
. ,
.

 .
,
, , , ,
,
.

.
.

.
. .

. .

.
- , ,
- ,
. ,
, ,
, ,
.


,
.
.

- - .

,
.
, .

.

,
,

 .
, ,
,
.
,

(. IOSCO),

. , , ,
,

,
.


. .

.
,
.

.

.
.
,
.


(, , , , ).

, ,
.
, ,

,
.


( ).

,
. (, , , )
,
-,
.
,

.
, ,
,
, .
, .
.
,
.

5.

. 2013/2014

. Boskovic . Cerutti C., Noel M. (2010). Comparing European and U.S. Securities Regulations:
MiFID versus Corresponding U.S. Regulations. World Bank Working Paper No. 184.

Christenesn H.B., Hail L., Leuz C. (January 2011). Capital Market Effect of Securities Regulation:
Hysteresis, 15.06.2012.

P.Korczak, M. T. Bohl, (2003) Return Performance and Liquidity of Cross Listed Central European
Stocks, 22.06.2012.

N. Syllignakis, G.P. Kouretas, (2006) Long and short-run linkages in cee stock markets: implications
for portfolio diversification and stock market integration, 20.06.2012.

Pajuste, (2002),Corporate Governance and Stock Market Performance in Central and Eastern
Europe: A Study of nine countries, 1994-2001,12.12.2012.

I. Bechev, (2002) Efficient market hypothesis: Budapest, Prague and Warsaw stock exchange,
20.06.2012.

6.

http://sh.wikipedia.org

http://www.globalissues.org/

http://siteresources.worldbank.org/

http://papers.ssrn.com

http://eprints.ucl.ac.uk