M. Radisic, D.

Dobromirov 42 ISSN 1648 - 4460

Structural Transformations in Business Development

---------TRANSFORMATIONS IN --------
Radisic, M., Dobromirov, D. (2017), “Statistical Analysis of Price BUSINESS & ECONOMICS
Returns of Regional Stock Market Indices”, Transformations in
Business & Economics, Vol. 16, No 3 (42), pp.42-59. © Vilnius University, 2002-2017
© Brno University of Technology, 2002-2017
© University of Latvia, 2002-2017

STATISTICAL ANALYSIS OF PRICE RETURNS OF

REGIONAL STOCK MARKET INDICES
1 2
Mladen Radisic
Industrial Engineering and
Management Department
Faculty of Technical Sciences
University of Novi Sad
Trg Dositeja Obradovića 6
21101 Novi Sad
Republic of Serbia
E-mail: mladenr@uns.ac.rs
Dusan Dobromirov
Industrial Engineering and
Management Department
Faculty of Technical Sciences
University of Novi Sad
Trg Dositeja Obradovića 6
21101 Novi Sad
Republic of Serbia
E-mail: ddobromirov@uns.ac.rs

1
Mladen Radisic, PhD, is Associate Professor at the Industrial
Engineering and Management Department, Faculty of
Technical Sciences, University of Novi Sad in the Republic of
Serbia, where he teaches finance and entrepreneurship. Mladen
is Head of the Project Office at Vojvodina ICT Cluster,
Horizon 2020 National Contact Point for finance and Project
Officer at Enterprise Europe Network (EEN) Serbia, where he
acts as EEN National Cluster Contact Point and he leads and
participates in several other EU funded projects. His fields of
interest are financial and strategic management, start-up
financing, international projects management.
2
Dusan Dobromirov, PhD, is Associate Professor at the
Industrial Engineering and Management Department, Faculty
of Technical Sciences, University of Novi Sad in the Republic
of Serbia, where he teaches financial management. Prior to his
academic career Dušan was CEO of Serbian national
commodity exchange “Produktna berza” and a member of the
supervisory council of the National Bank of Serbia. His fields
of interest are financial markets and behavioural finance.

Received: April, 2010
1st Revision: May, 2010
2nd Revision: January, 2011
Accepted: April, 2011
TRANSFORMATIONS IN BUSINESS & ECONOMICS, Vol. 16, No 3 (42), 2017
ABSTRACT. This paper analyses regional stock market indices
of selected Central and Eastern European countries. We compiled a
unique data set of the period of three years (2007-2009) of daily
returns of major indices from the major stock markets in Bulgaria,
Croatia, Hungary, Romania, Serbia and Slovenia. We found it
interesting to test the stationarity of each time series during the
global financial crisis of 2008. The research concludes that the
average daily returns were negative for all the stock markets. On
the other hand, we also show that considerable differences exist
among the regional markets with regard to their response to the
crisis.
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KEYWORDS: stationary time series, standard deviation,

skewness, kurtosis, CEE region.

JEL classification: C83, G15.

Introduction

Statistical indicator analysis of stock market indices is considered to be one of the

most important among financial market participants such as portfolio managers. It is of a high
importance for the worldwide academic community as well, especially for the practitioners
who cope with various financial areas. Statistical analysis shows valid characteristics of the
observed stock market indices and adds value to the overall market analysis. Often combined
with financial market comovement and correlation analysis, the statistical analysis of various
indices helps in decision making process and differentiates portfolio investments destinations.
Policy makers and financial professionals in Central and Eastern Europe (CEE)
developing countries constantly strive to position their local stock markets on the global
portfolio investing map. In the last twenty years a variety of different stock market indices
have been introduced and they tend to summarise the movements of those markets. Although
problems arising from the uneven and non-synchronised trading with the index creating
components, i.e. listed shares (Fisher, 1966) and liquidity of those components (Ross, 1992)
are present in the financial literature, the significance of stock market indices is not
questionable.
This paper systematically presents the comparison of the regional stock market indices
and the most prestigious world market index with a special focus on:
 brief literature overview (Section 1),
 amplification of the observed stock market indices (Section 2)
 research data explanation (Section 3),
 basic statistical analysis of index price returns (Section 4).
Conclusions and suggestions for further research are given. The authors’ major
hypothesis is that the analysis of statistical indicators of index price returns not only will lead
to the conclusion that all regional stock markets evidenced negative average daily returns in
the period prior to and during the global crisis, but will also underline the fact that the
observed stock markets responded differently.

1. Brief Literature Overview

Despite the fact that some authors (Gilmore, McManus, 2003) constituted evidence for
weak-form market efficiency in emerging markets, the European emerging markets have
become increasingly attractive to both domestic and international investors willing to
diversify their portfolio investments by investing in local stock markets since the beginning of
the transition period (Podobnik et al., 2007). Some authors even state that there is no any form
of market efficiency in emerging markets (Levich, Thomas, 1993; Lisi, Medio, 1997; Gençay,
1999; Lo et al., 1999).
When it comes to portfolio managers’ strategies, increased correlations and
comovement between international stock markets implies reductions in the benefits of
portfolio diversification. Therefore, portfolio managers would need, as claimed by Evans and
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McMillan (2009), to actively adjust their portfolios in search of assets with lower correlations.
Rapid economic development of the emerging countries is seen as a potential for high returns
by investors (Fedorova, Vaihekoski, 2009). Stock markets react almost instantly to the
information revealed in prices from other markets due to increased globalisation of the world
economy (Černý, Koblas, 2008). Market capitalisation and market liquidity represent the
major success indicators of the stock markets. Starting from mid-1990s, high quality trading
data series can be found in the Central and Eastern European emerging markets (Fedorova,
Vaihekoski, 2009) and those markets evidence an increased integration during the past decade
(Hardouvelis et al., 2006).
Significant research exists in the field of forecasting price returns of emerging stock
markets. Based on the comparison of several emerging stock markets from America and Asia,
the predictability of price returns was proved (Chang et al., 2004). Studying trading strategies
in certain European countries, various authors (Fifield et al., 2005) found evidence that
emerging markets showed some level of predictability of price returns, while developed
markets did not.
Previously presented findings of the academic community are among many that
highlighted the importance of the analysis of stock market indices of emerging countries. The
aim of this paper is to examine statistical indicators of the selected indices in order to capture
the movement of markets in a three-year period. In broader perspective, the paper tends to
underline the need for further discussion about the selected CEE financial markets.

2. Regional Stock Market Indices

This section will provide a short presentation of all observed Central and Eastern
Europe stock market indices and the most prestigious world stock market index included in
the research. The major information was given together with the graphical presentation of
index signals from the beginning of 2007 to the end of 2009. The used index signal figures are
extracted from the websites of Standard and Poor’s and emerging market stock exchanges, as
well as from the renowned financial analysis websites (Yahoo Finance, Bloomberg).

2.1 Standard & Poor’s 500 Index

Standard and Poor’s (S&P) 500 index is commonly regarded as the best single gauge
of the U.S. equities market. This top-notch index includes 500 leading companies from
leading industries of the U.S. economy. Since the S&P 500 (Figure 1) focuses on the large
cap segment of the market, with approximately 75% coverage of U.S. equities, it is considered
as an ideal proxy for the market as a whole (S&P Financial Services, 2011).
There are many arguments in favour of index strength: immediately after an addition
in S&P 500 is announced, the prices of shares increase significantly (Harris, Gurel, 1986;
Shleifer, 1986). The stock price does not go back down, even 60 days after the announcement
(Dhillon, Johnson, 1991). Also, if addition of shares in S&P 500 is announced, the portfolio
investors are more willing to keep those shares in their potfolio (Pruitt, Wei, 1989).

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Source: created by the authors according to data on http://finance.yahoo.com.

Figure 1. S&P 500 Index Movement, 2007-2009

Figure 1 presents S&P 500 movements, along with the accompanying trading
volumes. It is easy to notice that index price was spanning from 700 to 1,500 over a three-year
period. Hence, due to a high volatility of this benchmark, the conducted research is even more
interesting.

2.2 BELEX Line Index

Belgrade Stock Exchange has been calculating and publishing this index since 2004.
The BELEX line index (Figure 2) is not investible and, stastically speaking, it is descriptive.
The index weighting is based on market capitalisation (Minović, Živković, 2010). The index
is considered to be the most precise reflection of the Serbian equity market, since it includes
the most liquid shares.

Source: created by the authors according to data on http://www.belex.rs.

Figure 2. BELEX Line Index Movement, 2007-2009

The index itself can include between 70 and 150 stocks. Figure 2 shows the BELEX
line movements from 2007 to 2009, where the downturn happened at the end of 2008 and the
beginning of 2009.

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2.3 BET Index

BET (Bucharest Exchange Trading) presented in Figure 3 is the first stock market
index developed by the Bucharest Stock Exchange, which has been published since mid-1997.
It includes ten of the most liquid companies listed in the first category concentrating over 70%
of trading value (Pop, Dumbrava, 2006). Ten companies within the BET index basket are
monthly revised based on the performance analysis, and the criteria for choosing them are the
following (Pele, Voineagu, 2008):
 the capitalisation of companies included in the BET index portfolio should account
for at least 60% of total capitalisation and they are considered to be the highest blue chips,
 the companies’ selection should take into consideration index portfolio
diversification,
 the most liquid shares are to be included in the index; at the same time, the total
value of transactions with the shares included in the index portfolio should account for at least
70% of total value of transactions in Bucharest Stock Exchange.

Source: created by the authors according to data on http://www.bvb.ro.

Figure 3. BET Index Movement, 2007-2009

Figure 3 presents three-year values of the BET index. Similarly to BELEX line, BET
also experienced a significant slimming at the end of 2008 and the beginning of 2009.

2.4 BUX Index

BUX (Budapest Exchange Index) was created among first Central and Eastern Europe
indices after reopening of financial markets in early 1990s. The BUX index (Figure 4) is the
official index of blue-chip shares listed on the Budapest Stock Exchange. The index shows the
average price changing of the shares with the biggest market value and turnover in the equity
section. Hereby this is the most important index number of the exchange trends (Budapest
Stock Exchange, 2010). Since 1 April 1997 the index has been calculated and recorded
continuously with a time resolution of five seconds during the main trading hours (Janosi et
al., 1999).

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Source: created by the authors according to data on http://bet.hu/.

Figure 4. BUX Index Movement, 2007-2009

Although considered as one the most stable stock market indices in the region, BUX
has been experiencing noteworthy downturn at the same time as previously presented indices,
as provided in Figure 4.

2.5 CROBEX Index

The most important Croatian index, CROBEX, has been calculated and published
since 1997. Starting from September 2010, the index basket has 25 shares of the most
important corporations in the country (Zagreb Stock Exchange, 2011). Erjavec and Cota
(2007) state in their work that CROBEX index (Figure 5) is influenced by the situation on the
global financial markets. There is also evidence (Zaimović, Delalić, 2010) that CROBEX
movements are highly positively correlated with other regional indices.

Source: created by the authors according to data on http://zse.hr.

Figure 5. CROBEX Index Movement, 2007-2009

This index is measured using free float market capitalisation, where the weight of each
individual stock is limited to 15 percent. As presented in Figure 5, CROBEX experienced the
same trend as other indices in the region when it comes to value decrease.

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2.6 SBI 20 Index

The most accurate indicator of the Slovenian stock exchange market is SBI 20 index,
which has been replaced by LJSE (Ljubljana Stock Exchange) Composite Index in mid-2010.
At the time when the research was conducted, the SBI 20 included twenty most important
shares in Slovenia, while today it includes all the listed shares.

Source: created by the authors according to data on http://www.ljse.si.

Figure 6. SBI 20 Index Movement, 2007-2009

SBI 20 (Figure 6) reached the highest historical value in 2007 (Muminović, 2008),
however, later it decreased as all other observed indices. Designed as a tradeable index, it
measures the performance of the most liquid and highly capitalised stocks on the LJSE
market.

2.7 SOFIX Index

SOFIX (Figure 7), as the most important stock market index at Bulgarian Stock
Exchange, is an index based on the market capitalisation of the included issues of common
shares, adjusted with the free-float of each of them. The index covers 15 issues of shares
complying with the general requirements for selection of constituent issues that have the
greatest market value of the free-float (Bulgarian Stock Exchange, 2010).
SOFIX represents a correlation of the sum of market capitalisation of the companies
within the index portfolio on the current day and the sum of the market capitalisation of the
same companies on the previous day.

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Source: created by the authors according to data on http://www.bse-sofia.bg/.

Figure 7. SOFIX Index Movement, 2007-2009

Once we take a closer look at the index signal shapes (from Figure 1 to Figure 7), it is
highly noticeable that all the indices experienced dramatic downturn in daily price values,
starting from mid-2008. In the next section, we will present the explanation of research data,
and the test of the stationarity of time series, namely index price returns, will be conducted.

3. Explanation of Research Data

It is necessary to include the analysis of relevant data in order to prove the reliability
of the research. Therefore, it is important to select data that will be the most appropriate
sample for research purposes. The most representative stock market indices of regional
countries for research purposes are selected with regard to an overview of comprehensive
stock markets, which were presented in Section 3. The sample also includes the world’s most
important index S&P 500, and its statistical indicators that will serve as the best benchmark
for regional indices. Daily closing prices of the following indices were used: BELEX line
(Belgrade Stock Exchange), BET (Bucharest Stock Exchange), BUX (Budapest Stock
Exchange), CROBEX (Zagreb Stock Exchange), SBI 20 (Ljubljana Stock Exchange) and
SOFIX (Sofia Stock Exchange). Only overlapping trading days of each regional index against
the S&P 500 over a period of three years are considered. For that reason, the final sample
varies between 719 and 737 closing prices for each pair of six regional indices compared with
S&P 500 due to differences in working calendars. The same data sample was used by
Dobromirov et al. (2011), however, that paper focuses on the comparison of correlations
between index price levels and price returns and does not include statistical analysis of price
returns, which is the major focus of this paper.
Equally important as the selection of indices is the necessity to define time span of the
research. In financial and stock market literature, a three-year period is considered as the
medium-term time frame which can produce relevant conclusions. The fact that the
considered time period overlaps with two different economic cycles, since the global financial
crisis struck stock markets in mid-2008, created added value to this research.
One of the fundamental principles of econometrics is that the statistical properties of
estimators depend on how the data behaves. In cases where time series data is concerned, the
data has to be stationary for the usual econometric procedures to have desired statistical
properties. Time series data is stationary when the means, variances, and covariances are
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constant and do not depend on the period in which they are measured (Ogunc, Hill, 2007).
Augmented Dickey-Fuller statistical test is one of the most commonly used tests of
stationarity of time series.

Table 1. Augmented Dickey-Fuller statistical test for index price returns

Index t-test for price returns
BELEX line -17,193
BUX -24,020
BET -24,722
CROBEX -26,182
S&P 500 -31,003
SBI 20 -24,484
SOFIX -23,110
Critical values -3,43 -2,86 -2,57
for different statistical significance 1% 5% 10%
Source: own calculations.

Table 1 presents calculated test statistics of index price returns. When the estimateds
test statistics are compared with the critical values for the Augmented Dickey-Fuller test, they
have lower values, thus proving that the levels of the series are stationary (according to test
explanation, the null hypothesis is rejected).

4. Basic Statistical Analysis of Index Price Returns

Results presented in Table 2 relate to the basic statistical values of the observed index
price returns. There is strong evidence that average daily price returns were negative for all
stock markets, since the mean value for each sample of time series is negative. Indices
CROBEX and SOFIX evidenced the lowest mean values, therefore, they were faced with the
greatest losses. Obviously, the markets in Croatia and Bulgaria responded in the most
sensitive manner to global crisis.

Table 2. Basic statistical values of the observed index price returns

Mean Standard Sample
Index Median Skewness Kurtosis
Value Deviation size
BELEX line -0,0004 -0,0005 0,0063 0,4559 6,1322 736
BUX -8,76 x 10-5 2,37 x 10-5 0,0096 -0,1540 5,6957 724
BET -0,0003 -4,13 x 10-5 0,0102 -0,5315 3,5698 728
CROBEX -0,0006 3,7 x 10-5 0,0134 -11,1528 223,3535 723
S&P 500 -0,0001 0,0004 0,0083 0,0476 5,9864 736
SBI 20 -0,0003 4,69 x 10-5 0,0065 -0,5665 5,4493 727
SOFIX -0,0006 -0,0002 0,0084 -0,7561 4,7400 718
Source: own calculations.

Median column indicates that changes to daily indices of BUX, CROBEX, S&P 500
and SBI 20 were the largest. In case of these four indices, the median and mean values have
the opposite signs. Furthermore, standard deviation reflects the possible risks of investing in
the stock market index and, circumstantially, in the country of index origin. The highest
standard deviation was noted for the CROBEX index and this fact confirms the previously
mentioned statement that Croatian equity market was the riskiest from 2007 to 2009. As for
the standard deviation of S&P 500 index, it is approximately at the same level with SOFIX

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index, higher than BELEX line and SBI 20 and has a lower value than CROBEX, BUX and
BET indices. The results for the Serbian and Bulgarian markets can be explained as
potentially spurious due to the lack of institutional framework and low trading activities in
these markets. As a result, the obtained standard deviations cannot explicitly involve lower
investment risk.
Skewness (measure of the asymmetry of the probability distribution of a real-valued
random variable) and kurtosis (measure of the “peakedness” of the probability distribution of
a real-valued random variable) values explain the normality of returns distribution, so it is
noticeable that CROBEX index had the lowest characteristically normal returns distribution,
while the values of all other indices were approximately at the same level according to this
parameter.
CROBEX index had very high negative skewness value, which means that there were
more negative extreme index movements than positive ones. Kurtosis value was also the
highest for CROBEX index and it indicated that the probability of extreme movements within
the index was relatively high. The second highest kurtosis value was noted for the BELEX
line index and it explained better the uncertainty and presence of high investment risk in case
of Serbia.

Conclusions and Suggestions for Further Research

The paper examines different statistical indicators of price returns of stock market
indices. Our research was limited to several medium and small-sized countries of Central and
Eastern Europe, including the most prestigious world stock market index as well. Our
examination of the basic statistical indicators proved the initial hypothesis of negative average
daily returns for all the observed markets. It is interesting to underline the fact that the curves
of index price levels have very similar shapes throughout the observed research time span.
Therefore, in order to properly perform an in-depth analysis and determine whether the
observed stock markets responded differently, one must take into consideration the validity of
time series observation, statistically speaking. The presented approach in quantification of
statistical behaviour of benchmark S&P 500 index and regional stock market indices can be
applied worldwide to understand average daily returns of other regional indices and capture
differences among them with regard to their response to the change of economic cycles.
Nevertheless, the explored data for Croatian and Serbian indices have shown that
those two markets were the least stable during the researched period. On the other hand,
research results indicate that all the markets, including the most prestigious world market,
faced serious consequences of the global crisis, which were reflected through negative
average daily returns. In the upcoming research, we might explore more details about the
causality analysis of index price returns and test whether cointegration of long-term indices
exists. The causality between price returns would indicate mutual interdependence of returns,
whereas accurate cointegration-based tracking of regional index signal shapes comparable to
the global stock index signal shape.

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REGIONINIŲ AKCIJŲ RINKŲ INDEKSŲ KAINŲ GRĄŽOS STATISTINĖ ANALIZĖ

Mladen Radišić, Dušan Dobromirov

SANTRAUKA

Šiame straipsnyje analizuojami pasirinktų Vidurio ir Rytų Europos šalių regioninių akcijų rinkų
indeksai. Sudarytas unikalus duomenų rinkinys, kuris apima trejų metų laikotarpio (2007–2009 m.) didžiųjų
Bulgarijos, Kroatijos, Vengrijos, Serbijos ir Slovėnijos akcijų rinkų indeksų kiekvieną dieną gaunamo pelno
duomenis. Keltas tikslas ištirti kiekvienos laiko eilutės stacionarumą per 2008 m. pasaulio finansų krizę.
Apibendrinanti išvada yra tokia, kad vidutinis kiekvieną dieną gaunamas pelnas buvo neigiamas visose akcijų
rinkose. Kita vertus, tai atskleidė, kad reikšmingai skiriasi regioninių rinkų reakcija į krizę.

REIKŠMINIAI ŽODŽIAI: stacionarios laiko eilutės, standartinis nuokrypis, asimetrijos koeficientas, eksceso
koeficientas VRE regionas.

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