Odrednice volatilnosti kapitalnih ulaganja u odabranim posttranzicijskim zemljama

master's thesis

• Title (english): Determinants of capital investment volatility in selected post-transition countries
• Author: Diana Rončević
• Mentor: Vladimir Arčabić (mentor)
• Committee member: Jakša Krišto (predsjednik povjerenstva)
• Committee member: Tomislav Globan (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2022-09-28, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Macroeconomics

Abstract

Cilj rada je dvostruk. Prvi cilj rada dokazati je kako izravna strana ulaganja predstavljaju otporniji tip ulaganja od portfeljnih i ostalih ulaganja korištenjem triju mjera volatilnosti: standardne devijacije, koeficijenta varijacije te indeksa volatilnosti. Istraživanje je provedeno na uzorku od jedanaest europskih posttranzicijskih zemalja u periodu od četvrtog kvartala 1997. do prvog kvartala 2021. godine. Rezultati istraživanja pokazuju kako su izravna strana ulaganja, mjerena koeficijentom varijacije i indeksom volatilnosti, bila najstabilniji tip ulaganja u svih jedanaest promatranih država. Prema standardnoj devijaciji, izravna strana ulaganja bila su najmanje volatilna u pet odabranih zemalja, dok su u ostalim zemljama portfeljna ulaganja bila najstabilniji tip ulaganja. Drugi cilj rada je utvrditi koje makroekonomske varijable su mogle utjecati na otpornost kapitalnih priljeva u Republici Hrvatskoj. Rezultati analize ukazuju na to kako je stabilnost cijena, odnosno inflacija imala najveći utjecaj na stabilnost kapitalnih priljeva u Republici Hrvatskoj. Osim inflacije, kretanje na tržištu dionica i razina deviznih rezervi imale su značajan utjecaj na objašnjavanje otpornosti kapitalnih priljeva u Republici Hrvatskoj.

Abstract (english)

The aim of the work is twofold. The first goal of the paper is to prove that foreign direct investments represent a more resistant type of investment than portfolio and other investments using three measures of volatility: standard deviation, coefficient of variation and volatility index. The research was conducted on a sample of eleven European post-transition countries in the period from the fourth quarter of 1997. to the first quarter of 2021. The results of the research show that foreign direct investments, measured by the coefficient of variation and volatility index, were the most resistant type of investment in all eleven observed countries. According to the standard deviation, foreign direct investment was the least volatile in the five selected countries, while in the other countries portfolio investment was the most stable type of investment. The second goal of the paper is to determine which macroeconomic variables could have influenced the resistance of capital inflows in the Republic of Croatia. The results of the analysis indicate that price stability, in essence inflation, had the greatest impact on the stability of capital inflows in the Republic of Croatia. In addition to inflation, movements on the stock market and the level of foreign exchange reserves had a significant impact on explaining the resistance of capital inflows in the Republic of Croatia.

• Keywords: volatilnost; kapitalna ulaganja; izravna strana ulaganja; portfeljna ulaganja; ostala ulaganja
• Keywords (english): volatility; capital investments; foreign direct investments; portfolio investments; other investments
• Language: croatian
• URN:NBN: urn:nbn:hr:148:318181
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2022-09-28 21:03:58