Zaštita od inflacije na hrvatskom tržištu kapitala

master's thesis

• Title (english): Hedging against inflation on the Croatian capital market
• Author: Matija Čemerin
• Mentor: Mile Bošnjak (mentor)
• Committee member: Denis Dolinar (predsjednik povjerenstva)
• Committee member: Ivan Novak (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2023-06-29, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Zaštita od inflacije podrazumijeva investiranje u zlato, obveznice, dionice i nekretnine kako bi se smanjio negativan utjecaj inflacije odnosno, učinak pada kupovne moći. Zbog nedostatka adekvatne strategije za zaštitu od inflacije, ovaj diplomski rad razmatra mogućnost zaštite od inflacije na hrvatskom tržištu kapitala koristeći šest sektorskih indeksa izlistanih na Zagrebačkoj burzi (ZSE). Na temelju podataka od travnja 2013. do prosinca 2022. godine, provedena je analiza koherentnosti valova. Empirijski rezultati pokazuju da je inflacija bila vodeća varijabla u koherentnim kretanjima pozitivne korelacije između stope inflacije i prinosa indeksa CROBEXnutris samo u drugoj polovici 2022. godine i time sugerirajući mogućnost zaštite za vrlo kratak vremenski period. Koherentna kretanja između prinosa ostalih sektorskih indeksa i stope inflacije postoje u kratkim vremenskim periodima, ali s prinosima kao vodećom varijablom implicirajući nemogućnost zaštite od inflacije. Sektorski indeksi Zagrebačke burze pretežito ne pokazuju mogućnost zaštite od inflacije te aludiraju na nelikvidnost hrvatskog tržišta kapitala.

Abstract (english)

Hedging against inflation encompasses investing in gold, bonds, stocks and real estate in order to reduce the negative impact of inflation, i.e. the effect of a decline in purchasing power. Due to the lack of an adequate hedging strategy, this thesis examines the possibility of hedging against inflation on the Croatian capital market using six sector indices listed on the Zagreb Stock Exchange (ZSE). Based on the data from April 2013 to December 2022, wavelet coherence analysis was carried out. Empirical results show that inflation was the leading variable in the coherent movements with positive correlation between the inflation rate and the CROBEXnutris index returns only in the second half of 2022, thus suggesting the possibility of protection for a very short period. Coherent movements between other sector indices returns and the inflation rate exists in short periods with returns as the leading variable, implying the inability of hedging against inflation. Sector indices of the Zagreb Stock Exchange mostly do not show the possibility of hedging against inflation and allude to the illiquidity of the Croatian capital market.

• Keywords: zaštita od inflacije; prinosi na tržištima kapitala; analiza koherentnosti valova; burzovni indeksi
• Keywords (english): hedging against inflation; stock market returns; wavelet analysis; stock market indices
• Language: croatian
• URN:NBN: urn:nbn:hr:148:405756
• 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: Access restricted to authenticated users
• Created on: 2023-06-30 08:36:41