Povezanost tržišta kapitala različitih zemalja

master's thesis

• Title (english): Connectedness of capital markets of different countries
• Author: Marko Štimac
• Mentor: Silvije Orsag (mentor); MBZ: 118863
• Committee member: Lidija Dedi (predsjednik povjerenstva)
• Committee member: Martina Sopta (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2020-09-24, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Finance

Abstract

Tržišta kapitala različitih zemalja zadnjih su godina sve integriranija te se šokovi na jednom tržištu često prelijevaju na druga tržišta. To je dobro ustanovljena činjenica koja je rezultat procesa globalizacije i međunarodne integracije. Ovaj rad nastoji kvantificirati tu povezanost međunarodnih tržišta kapitala. U radu se povezanost različitih tržišta kapitala kvantitativno ispituje analizom povezanosti dioničkih indeksa tih tržišta kapitala. Za to se koriste metode analize koeficijenata linearne korelacije dioničkih indeksa, Engel-Grangerov test kointegriranosti te Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test. Rezultati provedene empirijske analize nisu jednoznačni. Koeficijenti linearne korelacije pokazuju da između likvidnosti pojedinih tržišta i koreliranosti njihovih dioničkih indeksa s S&P indeksom postoji pozitivna veza. Međutim, Engel-Grangerov i KPSS test ne pokazuju bitnu vezu između likvidnosti tržišta i kointegriranosti dioničkih indeksa. Koeficijenti linearne korelacije pokazuju da postoji način diverzifikacije portfelja kroz ulaganje u manje likvidna tržišta, no da bi se taj zaključak dobio na snazi potrebna su daljnja istraživanja.

Abstract (english)

The capital markets of different countries have become more integrated in recent years, and shocks in one market often spill over into other markets. This is a well-established fact and it is the result of the process of globalization and international integration. This paper seeks to quantify this connection of international capital markets. The paper quantitatively examines the correlation of different capital markets by analyzing the correlation of stock indices of these capital markets. In order to show this, analysis of coefficients of linear correlations of stock indices, Engel-Granger cointegration test and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test are used. The results of the conducted empirical analyzes are not unambiguous. The linear correlation coefficients show that there is a positive relationship between the liquidity of individual markets and the correlation of their stock indices with the S&P index. However, the Engel-Granger and KPSS test do not show a significant relationship between market liquidity and cointegration of stock indices. The linear correlation coefficients show that a diversication of a portfolio is possible by investing in a less liquid market, but in order for this conclusion to be valid, further research is needed.

• Keywords: integriranost; tržišta kapitala; dionički indeksi; Engel-Grangerov test kointegriranosti; KPSS test
• Keywords (english): integration; capital markets; capital market indices; Engel-Granger test of cointegration; KPSS test
• Language: croatian
• URN:NBN: urn:nbn:hr:148:534646
• 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: 2020-09-24 12:24:41