Panel analiza makroekonomskih indikatora razvoja dioničkog tržišta u odabranim post-tranzicijskim zemljama

professional thesis

• Author: Zdenka Obuljen
• Mentor: Nataša Erjavec (mentor)
• Committee member: Ksenija Dumičić (predsjednik povjerenstva)
• Committee member: Nataša Erjavec (član povjerenstva)
• Committee member: Silvije Orsag (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2016, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Business Mathematics and Statistics

Abstract

Osnovni cilj ovog rada je proučiti makroekonomske indikatore razvoja dioničkog tržišta u post-tranzicijskim zemljama, članicama Europske unije. Stoga je kao zavisna varijabla u modelu korištena tržišna kapitalizacija. Ispitan je utjecaj sljedećih nezavisnih varijabli na tržišnu kapitalizaciju: štednja, inflacija, koeficijent obrtaja, ukupna vrijednost trgovanja na burzi, BDP, domaći krediti privatnom sektoru, investicije u fiksni kapital. Zemlje uključene u ovo istraživanje za vremenski period od 2002. – 2012. godine su: Bugarska, Češka, Hrvatska, Mađarska, Poljska, Rumunjska, Slovačka i Slovenija. U svrhu postizanja ciljeva istraživanja u radu korištene su grafičke i numeričke metode deskriptivne statistike, te metode panel analize. Testom jediničnog korijena utvrđena je stacionarnost podataka, nakon čega su provedeni sljedeći panel modeli: združeni model, panel model s fiksnim efektom i panel model sa slučajnim efektom. Nakon prikaza rezultata procijenjenih modela proveli su se Hausmanov test, F-test i Breusch-Paganov LM test. Na temelju rezultata navedenih testova najboljim modelom pokazao se model s fiksnim efektom. Rezultati analize pokazali su da na razvoj dioničkog tržišta u promatranim zemljama značajno utječu bruto investicije u fiksni kapital, koeficijent obrtaja i ukupna vrijednost dionica kojima se trgovalo. Također, pokazalo se da negativan utjecaj na razvoj dioničkog tržišta imaju inflacija, bruto domaći proizvod, stopa štednje i koeficijent obrtaja. Osim ekonometrijske analize s naglaskom na panel analizu, dan je pregled teorijskih i empirijskih istraživanja o utjecaju makroekonomskih indikatora na razvoj dioničkog tržišta.

Abstract (english)

The aim of this paper is to examine the macroeconomic indicators of stock market developmetnt in post-transition countries, members of the European Union. Therefore, market capitalization is used as a dependent variable in model. In order to investigate their impact on market capitalization following independent variables were included in model : inflation, turnover ratio, stocks traded, GDP p.c., domestic credit to private sector, gross fixed capital formation and gross savings. Countries included in this analysis for the period between 2002 and 2012 are Bulgaria, Czech Republic, Croatia, Hungary, Poland, Romania, Slovakia and Slovenia. In order to reach the goal of this paper were used graphical and numerical methods of descriptive statistics and panel analysis. A battery of panel unit root test is used prior to performing pooled OLS model, fixed effects model, and random effects model. In order to determine which model to employ were conducted Hausman test, F test model and Breusch-Pagan Lagrange Multiplier (LM) test. Based on results of these test as the best model has proven to be fixed effects model. The results of analysis show that gross fixed capital formation, turnover ratio and the stocks traded are important indicators of stock market development. We find that inflation, gross domestic product, savings rate and turnover ratio have negative impact on stock market development. In addition to econometric analysis with focus on panel analysis, this paper gives an overview of theoretical and empirical research on impact of macroeconomic indicators on stock market development.

• Keywords: post-tranzicijske zemlje; Europska unija; tržišna kapitalizacija; panel model s fiksnim efektom
• Keywords (english): post-transition countries; European Union; market capitalization; panel dana; fixed effects model
• Language: croatian
• URN:NBN: urn:nbn:hr:148:543329
• Study programme: Title: Statistical Methods for Economic Analysis and Forecasting; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/specijalistica statističkih metoda za ekonomske analize i prognoziranje (sveučilišni/a specijalist/specijalistica statističkih metoda za ekonomske analize i prognoziranje)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to students and staff of home institution
• Created on: 2016-11-16 12:31:20