Developing and Developed Mediterranean Stock Exchanges: Interdependence in Periods of Crisis and Stability

Abstract

Article history: Received: March 12, 2024; Reviewed: May 20, 2024; Accepted: June 21, 2024; Available online: June 30, 2024. This research aims to explore how the stock exchange indexes of developed and developing Mediterranean countries are interrelated, both during times of crisis and stability. Specifically, it examines the association between Macedonia's MBI10 index and the stock exchange indexes of Serbia (BELEX15), Italy (FTSE MIB), and Spain (IBEX35) from 2005 to 2022 using monthly data. To understand how crises impact the relationships between these markets, the study breaks down the timeframe into four distinct periods: before the Great Financial Crisis (pre-GFC), during the GFC, after the GFC (post-GFC), and during the Covid-19 pandemic and energy crisis. Through Pearson correlation and linear regression analyses, the findings show that the MBI10's correlation with the BELEX15, FTSE MIB, and IBEX35 indexes was strongest during the GFC. However, this correlation dropped significantly during the Covid-19 pandemic and energy crisis. JEL Classification: F02, F21, G15

Keywords

• Mediterranean
• stock exchange
• Great Financial Crisis
• interdependence
• Covid-19
• energy crisis