Beta, volatilnost i prinos odabranih dionica s NYSE-a

master's thesis

• Title (english): Beta, volatility and return of selected stocks from NYSE
• Author: Luka Đurđek
• Mentor: Davor Zoričić (mentor); MBZ: 258113
• Committee member: Denis Dolinar (predsjednik povjerenstva)
• Committee member: Ena Pecina (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2021-09-24, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Economics of Entrepreneurship

Abstract

Rad prikazuje analizu prinosa, beta koeficijenta i volatilnosti u periodu 2010. do 2020. godine i međuodnos navedenih varijabli. Prije same analize u radu su definirani volatilnost, beta koeficijent i prinos. Kliznim uzorcima kroz vrijeme izračunati su beta koeficijenti, koji su se analizirali u vremenima visoke i niske volatilnosti S&P500 indeksa što je pokazalo veću reprezentativnost beta koeficijenta u periodima niske volatilnosti. Viši prinos u periodu niske volatilnosti ostvarilo je 7 od 9 dionica, te je istih 7 od 9 dionica u viši prinos ostvarilo u periodu kada im je prosječni beta koeficijent bio viši.

Abstract (english)

The paper presents an analysis of beta coefficient, return and volatility in the period from 2010 to 2020 and the relationship between the variables. Before the analysis the paper defines what is beta coefficient, return and volatility. Beta coefficient was calculated in sliding patterns and analyzed in periods of low and high volatility of the S&P500 index. Periods of lower volatility showed higher returns for 7 out of 9 stocks, the same 7 out of 9 stocks had a higher return in periods of lower volatility and higher beta coefficient.

• Keywords: beta koeficijent; prinos; volatilnost; rizik; složeni prinos
• Keywords (english): beta coefficient; return; volatility; risk; compounded return
• Language: croatian
• URN:NBN: urn:nbn:hr:148:424972
• Study programme: Title: Business Economics; specializations in: Finance, Accounting, Marketing, Organization and management, Trade, Tourism, Analysis and Business planning, Business informatics; Course: Analysis and Business planning; Study programme type: university; Study level: graduate; Academic / professional title: diplomirani/a ekonomist/ekonomistica (diplomirani/a ekonomist/ekonomistica)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access; Embargo expiration date: 2023-09-29
• Created on: 2021-09-28 16:22:02