Makroekonomske determinante razvoja tržišta dionica u Republici Hrvatskoj

master's thesis

• Title (english): MACROECONOMICS DETERMINANTSW OF STOCK MARKET DEVELOPMENT IN CROATIA
• Author: Katarina Sorić
• Mentor: Nataša Erjavec (mentor)
• Committee member: Silvije Orsag (predsjednik povjerenstva)
• Committee member: Antonija Kožul (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2015-09-14, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

U radu se istražuje odnos makroekonomskih varijabli i razvoja tržišta dionica primjenom vektorske autoregresijske metodologije. Rezultati pokazuju pozitivnu povratnu povezanost između likvidnosti i veličine tržišta dionica. Znatan pozitivni utjecaj razvoja tržišta dionica na gospodarski rast potvrđuje hipotezu o vođenju ponudom u odnosu realnog i financijskog sektora. Povratna pozitivna veza između razvoja bankarskog sektora i razvoja tržišta dionica pokazuje komplementarnost ovih aspekata financijskog sustava. Utvrđen je negativan utjecaj inflacije na razvoj tržišta dionica.

Abstract (english)

Vector autoregressive methodology is applied to examine the relationship between macroeconomic variables and stock market development. The results suggest a positive feedback relationship between stock market liquidity and stock market size. Positive and significant effect of stock market development on economic growth confirms the supply-leading hypothesis on the relationship between real and financial sector. Positive feedback relationship between stock market development and bank sector development suggests the complementarity of these institutions. Negative effect of inflation on stock market development is also found.

• Keywords: Razvoj tržišta dionica; Makroekonomske determinante; Vektorski autoregresijski model; Grangerova uzročnost; Kointegracija; Analiza funkcije impulsnog odaziva
• Keywords (english): Stock market development; Macroeconomic determinants; Vector autoregressive model; Granger causality; Cointegration; Impulse response analysis
• Language: croatian
• URN:NBN: urn:nbn:hr:148:560275
• Study programme: Title: Business Economics; Study programme type: university; Study level: 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: 2016-09-28 14:41:12