Klaster analiza posttranzicijskih zemalja prema vrijednostima burzovnih indeksa

master's thesis

• Title (english): Cluster analysis of post-transition countries according to stock market index values
• Author: Filip Fučkan
• Mentor: Nika Šimurina (mentor)
• Committee member: Nika Šimurina (predsjednik povjerenstva)
• Committee member: Nataša Kurnoga (član povjerenstva)
• Committee member: Davor Labaš (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2023-06-21, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Ovaj rad ima za cilj identificirati razlike između jedanaest europskih burzovnih indeksa posttranzicijskih zemalja. Iz političke perspektive, pojam "tranzicija" označava proces prijelaza iz jednostranačkog, nedemokratskog sustava u višestranački, demokratski sustav. U ekonomskoj sferi tranzicija označava prijelaz iz planske, centralno kontrolirane državnovlasničke ekonomije u tržišnu ekonomiju. Burzovni indeks je vrsta indeksa koja mjeri tržište kapitala ili podskup tržišta kapitala i koristi se od strane institucionalnih i malih ulagača kao mjerilo za performanse ulaganja. Indeksi su analizirani koristeći grafičku analizu, deskriptivnu analizu te hijerarhijsku i nehijerarhijsku klaster analizu. Za potrebe grafičke i deskriptivne analize korištene su dnevne vrijednosti indeksa. Varijable jednogodišnji povrat, trogodišnji povrat, petogodišnji povrat i desetogodišnji povrat korištene su u klaster analizi. Odabrano je rješenje s četiri klastera, pri čemu je varijabla desetogodišnji povrat imala najveći utjecaj na razdvajanje između klastera.

Abstract (english)

The objective of this study is to examine the distinctions among eleven European post-transition stock market indices. From a political standpoint, the term "transition" refers to the process of transitioning from a uniparty, undemocratic system to a multiparty, democratic framework. In the economic realm, it signifies the shift from a centrally planned, state-controlled economy to a market-oriented economy. A stock market index is a form of index that assesses the overall stock market or a specific subset of it, and is utilized by both institutional and retail investors as a benchmark for evaluating investment performance. The indices were evaluated using graphical analysis, descriptive analysis, as well as hierarchical and non-hierarchical cluster analysis. Daily index values were used for the purpose of conducting graphical and descriptive analysis. In the cluster analysis, variables such as one-year, three-year, five-year, and ten-year returns were utilized. A four-cluster solution was selected, with the ten-year return variable having the most significant impact on cluster differentiation.

• Keywords: tranzicija; posttranzicijske zemlje; burzovni indeksi; multivarijatna analiza; klaster analiza
• Keywords (english): transition; post-transition countries; stock market indices; multivariate analysis; cluster analysis
• Language: croatian
• URN:NBN: urn:nbn:hr:148:791645
• 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 students and staff of home institution
• Created on: 2023-06-22 20:38:37