Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala

master's thesis

• Title (english): Regime-switching Capital Asset Pricing Model on Croatian Stock Market
• Author: Jasmina Mehić
• Mentor: Krunoslav Puljić (mentor)
• Committee member: Davor Zoričić (predsjednik povjerenstva)
• Committee member: Denis Dolinar (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2021-09-21, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Model procjenjivanja kapitalne imovine pretpostavlja linearnu vezu između rizika i očekivanog prinosa. Međutim, u ovom radu će se analizirati dinamičan model procjenjivanja kapitalne imovine na hrvatskom tržištu kapitala u kojemu je pretpostavljena promjenjivost bete kao mjere sistemskog rizika, te model s promjenjivom betom, alfom i varijancom. Cilj rada je empirijski ispitati navedene modele uz promjenjive režime na Zagrebačkoj burzi. Rad je u svojim počecima opisnog karaktera, ali se u konačnici dolazi do statističkih metoda te metode analize radi empirijskim ispitivanja. Za hrvatsko tržište kapitala pogodnije je koristiti nelinearan model procjenjivanja kapitalne imovine. Za većinu analiziranih dionica Zagrebačke burze preporuča se korištenje modela s manjim ograničenjima, tj. model u kojemu su promjenjive beta, Jensenova alfa i varijanca. U konačnici, hrvatsko tržište kapitala je nedovoljno razvijeno, neatraktivno i nelikvidno. Stoga se preporuča korištenje navedenog modela kako bi izbjegao barem dio anomalija tržišta.

Abstract (english)

The Capital Asset Pricing Model assumes a linear relationship between risk and expected return. However, this paper will observe dynamic Capital Asset Pricing Model on Croatian capital market in which beta varies over time as a systematic risk measure and a variable beta model together with alpha and variance. The aim of this paper is to empirically examine these models with regime-switching on the Zagreb Stock Exchange. The paper is descriptive in its beginnings, but ultimately we get to statistical methods and methods of analysis for empirical research. For the Croatian capital market, it is more convenient to use a nonlinear Capital Asset Pricing Model. For most of the analyzed shares of the Zagreb Stock Exchange, it is recommended to use a model with minor restrictions, i.e. a model in which beta, Jensen's alpha and variance vary over time. Ultimately, the Croatian capital market is underdeveloped, unattractive and illiquid. Therefore, it is recommended to use the above model to avoid at least part of the market anomaly.

• Keywords: model procjenjivanja kapitalne imovine; promjene režima; Zagrebačka burza; promjenjivost parametara kroz vremensko razdoblje
• Keywords (english): Capital Asset Pricing Model; regime-switching; Zagreb Stock Exchange; variability of parameters over time
• Language: croatian
• URN:NBN: urn:nbn:hr:148:731964
• 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: 2021-09-23 16:58:06