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master's thesis
Efikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama
2017. urn:nbn:hr:162:702966
Tokić, Saša
University of Zadar
Department of Economics

Cite this document

Tokić, S. (2017). Efikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama (Master's thesis). Zadar: University of Zadar. Retrieved from https://urn.nsk.hr/urn:nbn:hr:162:702966

Tokić, Saša. "Efikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama." Master's thesis, University of Zadar, 2017. https://urn.nsk.hr/urn:nbn:hr:162:702966

Tokić, Saša. "Efikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama." Master's thesis, University of Zadar, 2017. https://urn.nsk.hr/urn:nbn:hr:162:702966

Tokić, S. (2017). 'Efikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama', Master's thesis, University of Zadar, accessed 22 December 2024, https://urn.nsk.hr/urn:nbn:hr:162:702966

Tokić S. Efikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama [Master's thesis]. Zadar: University of Zadar; 2017 [cited 2024 December 22] Available at: https://urn.nsk.hr/urn:nbn:hr:162:702966

S. Tokić, "Efikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama", Master's thesis, University of Zadar, Zadar, 2017. Available at: https://urn.nsk.hr/urn:nbn:hr:162:702966

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Metadata
TitleEfikasnost tržišta kapitala u Hrvatskoj i odobaranim europskim zemljama
Title (english)Capital Market Efficiency in Croatia and Selected European Countries
AuthorSaša Tokić
MentorBerislav Bolfek (mentor)
Committee memberAnita Peša (predsjednik povjerenstva)
Committee memberMladen Rajko (član povjerenstva)
Committee memberBerislav Bolfek (član povjerenstva)
GranterUniversity of Zadar
(Department of Economics)
Zadar
Defense date and country2017-09-20, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Organization and Management
Abstract
U ovom radu analiziraju se tržišta kapitala u četiri tranzicijske države (Hrvatska, Srbija, Slovenija, Slovačka) nad dnevnim prinosima indeksa u razdoblju od 01.01.2006. do 31.12.2016. koje je vrlo malo ili nimalo pokriveno trenutno dostupnom literaturom. Analiza je provedena koristeći statističke testove, konkretno test serijske korelacije, test jediničnog korijena u obliku proširenog Dickey-Fuller testa, test homogenosti niza, test omjera varijanci te siječanjski efekt. Dobiveni rezultati sugeriraju kako svi analizirani indeksi osim BelexLine-a u većoj mjeri zadovoljavaju hipotezu efikasnosti tržišta dok su rezultati za indeks BelexLine neodređeni te se mogu protumačiti kao pobijanje slabe forme hipoteze efikasnosti. Slijedom dobivenih rezultata na svim indeksima osim BelexLine potreban je pasivan pristup upravljanja portfeljem no dodatni testovi i kompleksniji modeli su nužni kako bi se ovakav zaključak potvrdio.
Abstract (english)
This paper analyzes capital markets in four developing countries (Croatia, Serbia, Slovenia, Slovakia) using daily returns of their respective indices from 01.01.2006. till 31.12.2016., timeframe which was rarely analyzed. Analysis was done by various statistics test, more precisely serial correlation test, runs test, augmented Dickey-Fuller test, unit root test, variance ratio test and test of January effect. Results suggest that all analyzed indices expect BelexLine follow weak form of efficient market hypothesis while the results on the BelexLine index are mixed and it can be concluded that it does not follow weak form of efficient market hypothesis. Given these results it can be said that passive approach to portfolio management is more appropriate on all indices except BelexLine but also additional test and more complex models are necessary in order to confirm this conclusion.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:162:702966
Study programmeTitle: Management
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2017-12-28 11:06:46