| Abstract | Sarajevo Stock Exchange was established as one of the mediators of the mass
privatization processes in Bosnia and Herzegovina at the beginning of the 21st century.
The market capitalization of the Sarajevo Stock Exchange kept increasing through the
years up until the last global financial crisis. This paper aims to examine the influence
of the global financial crisis on the operations of the Sarajevo Stock exchange market.
The multiple structural breaks model determines a statistically significant change in
the value of the Sarajevo Stock Exchange benchmark index – SASX-10 around the time
the spillover effects of the crisis in Europe started affecting the market of Bosnia and
Herzegovina. The date of the structural break had been determined as of April 7, 2009.
Serial correlation tests and Autoregressive models were employed to examine the
weak-form efficiency of both periods. The tests are applied on the series in January
1 2006-April 7, 2009 for the first period and April 7, 2009 – June 24, 2019, for the
second period. The results indicate weak-form inefficiency during both periods with
a significant increase in inefficiency after the beginning of the crisis. In addition the
EGARCH model reveals high shock sensitivity of the market and the presence of leverage
effect. It is important to note, however, that a decrease in inefficiency may not be
entirely attributable to the crisis as the market activity has declined in general as a
result of the prolonged and unsuccessful privatization processes. In Bosnia and
Herzegovina, a large number of companies still are state-owned resulting in very low
market capitalization. |
