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.