Is MBI10 the suitable index for the Macedonian Stock Exchange - Аn overview of MSE
Abstract
This research paper investigates the suitability of the MBI10 index for the Macedonian Stock Exchange (MSE) by providing a comprehensive analysis of the exchange's structure, stock liquidity, and the performance of the index in comparison to regional and global benchmarks. The paper begins with an introduction to the MSE, detailing the liquidity of the stocks listed, which is critical for understanding market efficiency and investors’ confidence. A thorough analysis of the MBI10 index follows, evaluating its construction, historical performance, and volatility in relation to other significant regional and worldwide indices. Additionally, the research segments the stocks listed on the MSE by sector, proposing new tailored indices that could better reflect the diverse economic activities present within the market. The research pays particular attention to the effects of key events that have impacted stock valuations, including the
COVID-19 pandemic, the ongoing Ukraine-Russia war, the introduction of new trading days, and significant mergers and acquisitions (M&A). By examining these elements, we aim to assess the resilience and adaptability of the MBI10 in capturing market dynamics and investor sentiments in an evolving economic landscape. The study employed various quantitative methods, including beta calculations, regression analysis, seasonality analysis, and market ratios, to evaluate the valuation of stocks and the suitability of the index MBI10. Ultimately, this paper contributes to the ongoing
discussion regarding the effectiveness of the MBI10 as a representative index for the MSE, providing valuable insights for investors, policymakers and market analysts.
Downloads
References
2. Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns. Journal of Financial Economics, 75(2), 489-518.
3. Barber, B. M., & Odean, T. (2000). "Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors."
4. Bekaert, G., Harvey, C. R., & Lundblad, C. (2005). Does financial liberalization spur growth? Journal of Financial Economics, 77(1), 3-55.
5. Benartzi, S., & Thaler, R. H. (1995). "Myopic Loss Aversion and the Equity Premium Puzzle." The Quarterly Journal of Economics, 110(1), 73-92.
6. Berglöf, E., & Thorton, J. (2013). "Corporate Governance in Transition Economies: Insights from the Western Balkans." Post-Communist Economies.
7. Bhattacharya, U., & Nanda, V. (2000). Liquidation Decisions and the Role of the Asset Pricing Mechanism. Journal of Financial Economics, 56(1), 159-188.
8. Black, B. S. (2001). "The Legal and Institutional Predecessors to the Capital Market." European Business Organization Law Review.
32
9. CFA Institute. (2021). "Corporate Finance". Level II Curriculum.
10. CFA Institute. (2021). "Equity Investments". Level I Curriculum.
11. CFA Institute. (2021). "Equity Valuation and Analysis". Level II Curriculum.
12. CFA Institute. (2021). "Financial Reporting and Analysis". Level II Curriculum.
13. Chordia, T., & Subrahmanyam, A. (2004). "Order Imbalances and Individual Stock
Returns: Theory and Evidence."
14. Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Market Liquidity and Trading Activity. Journal of Finance, 55(2), 501-530.
15. Daneva, A. (2022), “Stock Returns, Risk, and Firm Characteristics of an Emerging Market: Evidence from the Macedonian Stock Exchange”, Erasmus School of Economics
16. Daniel, K., Hollanders, J., & Kahn, C. (2007). "Liquidity and Stock Returns."
17. Fama, E. F. (1970). "Efficient Capital Markets: A Review of Theory and Empirical Work." The Journal of Finance, 25(2), 383-417.
18. Finance Charts. (2025, Feb 5). NVIDIA https://www.financecharts.com/stocks/NVDA/summary/volume
19. Interactive Brokers. (2025, Feb 5). Trade Volume. Commissions. https://www.interactivebrokers.com/en/trading/products
stocks.php?gclid=EAIaIQobChMIh_XUwMqviwMVSD0GAB2iXBYEEAAYASAAEgLys _D_BwE
20. Jegadeesh, N., & Titman, S. (1993). "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." The Journal of Finance, 48(1), 65-91.
21. Just ETFs. (2025, Feb 5). The Best ETFs. https://www.justetf.com/en/market overview/the-best-etfs.html
22. Levine, R. (2005). Finance and growth: Theory and evidence. In Handbook of Economic Growth (Vol. 1, pp. 865-934). Elsevier.
23. Madhavan, A. (2000). Market Microstructure: A Survey. Journal of Financial Markets, 3(3), 205-258.
24. MAPAS. (2025, Feb 5). Law for regulation of mandatory market-based pension funds. p. 70 article 106.
25. Mihailov, A., & Stjepandić, J. (2016). "Stock Market Development in the Southeastern Europe: Evidence from Croatia and Serbia." Financial Theory and Practice.
26. MSE. (2024 Dec 16). Structure of index MBI10. https://www.mse.mk/mk/content/13/3/2010/structure-of-index-mbi10).
27. MSE. (2024, Sep 13). Investor Day. https://www.mse.mk/mk/news/13/9/2024/investor day
28. MSE. (2025, Feb 5). Boom Club. https://bum.mse.mk/
29. MSE. (2025, Feb 5). History. https://www.mse.mk/mk/content/22/1/2008/history
30. National Bank of North Macedonia. (2010). Decision on the methodology for determining capital adequacy.
https://www.nbrm.mk/content/Regulativa/Decision_capital_adequacy_unofficial_revise d_text%20(27_24).pdf
31. OECD. (2020). "The Future of the Capital Market in Emerging Economies." OECD Publishing.
32. Pavlovic, A. (2012). "The Challenges of Developing Capital Markets in the Balkans." Journal of Southeast European and Black Sea Studies.
33. SEC. (2025, Feb 5). Securities https://www.sec.gov.mk/Files/Attachments/zhv%20precisten%2023%202016.pdf
34. Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. Journal of Finance, 52(2), 737-783.
35. Shleifer, A., & Vishny, R.W. (1997). "The Limits of Arbitrage."
36. Stojanovska, N. (2023, Oct 4). Capital gains taxation has reduced stock market turnover
https://mk.bloombergadria.com/blumberg-adrija-tv/blumberg-adrija
tv/41562/odanocuvanjeto-na-kapitalnite-dobivki-go-namali-prometot-na-berzata/news/
37. Stoll, H. R. (2000). Friction. Journal of Finance, 55(4), 1479-1514.
38. World Bank. (2010). Economic Growth in the Post-Soviet Countries: Measuring Change and Convergence. Washington DC: The World Bank.