ANALIZA PERFORMANSI ODABRANIH DIONICA CEE REGIJE I NACIONALNIH TRŽIŠTA

master's thesis

• Title (english): PERFORMANCE ANALYSIS OF SELECTED STOCKS IN THE CEE REGION AND NATIONAL MARKETS
• Author: Marija Mihalj
• Mentor: Denis Dolinar (mentor)
• Committee member: Davor Zoričić (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: 2021-09-30, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Rad je usmjeren na modernu teoriju portfelja kao i na model procjenjivanja kapitalne imovine. Svrha rada je analiza rizično-profitnih obilježja odabranih dionica srednjoistočne Europe te utvrđivanje optimalnosti novoformiranih reprezentativnih indeksa regije u odnosu na nacionalne indekse. Metodom glavnih komponenata analiziraju se odabrane dionice regije u pogledu njihove izloženosti latentnim faktorima rizika. Novoformirani indeksi CEE regije rezultat su primjene različitih metoda ponderiranja promatranih dionica. Metoda ponderiranja na temelju tržišne kapitalizacije najmanje je uspješna dok su se korištene heurističke strategije ponderiranja pokazale znatno uspješnije u diversifikaciji rizika.

Abstract (english)

This paper focuses on the modern portfolio theory and capital asset pricing model. The objective of this paper is to analyze the risk-return characteristics of stocks from the CEE region and to determine the optimality of newly formed indices. Principal component analysis is used to analyze selected stocks of the region in terms of their exposure to latent risk factors. The newly formed indices of the CEE region are the result of applying different methods for weighting the observed stocks. The market capitalization weighting method is the least successful, and the heuristic strategies used have proven to be much more successful in diversifying risk.

• Keywords: moderna teorija portfelja; CAPM; heurističke strategije; tržišni indeksi; CEE regija
• Keywords (english): modern portfolio theory; CAPM; heuristic strategies; market indices; CEE region
• Language: croatian
• URN:NBN: urn:nbn:hr:148:449425
• 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: 2021-10-04 06:58:03