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professional thesis
PORTFOLIO COMPARISON OF SELECTED SHARES ON CROATIAN CAPITAL MARKET BEFORE AND AFTER JOINING THE EUROPEAN UNION

Marija Švec (2016)
Metadata
TitleUsporedba portfelja odabranih dionica na hrvatskom tržištu kapitala prije i poslije pristupanja Europskoj Uniji
AuthorMarija Švec
Mentor(s)Branko Novak (thesis advisor)
Abstract
Rad obrađuje usporedbu portfelja odabranih dionica na hrvatskom tržištu kapitala prije i poslije pristupanja Europskoj Uniji. Postavljene su dvije hipoteze: moguće je konstruirati optimalni portfelj na hrvatskom tržištu kapitala jednakog sastava dionica pomoću Markowitzeve teorije koji postiže bolje rezultate nakon pristupanja Europskoj Uniji. Moguće je detaljnom analizom dionica nakon pristupanja Europskoj Uniji konstruirati optimalni portfelj koji daje bolje rezultate od početnog portfelja. Za početni uzorak su odabrane dionice iz sastava indeksa CROBEX na dan 18. ožujka 2013. i 21. rujna 2015. Preuzeti su dnevni i tjedni podaci o prosječnim cijenama dionica pomoću kojih je analizirana likvidnost dionica u smislu broja dana trgovanja kao glavni kriterij za formiranje uzoraka za optimizaciju. Optimizacija portfelja je provedena koristeći Excel – Solver softverski paket. Uz zadane odgovarajuće razine rizika i ograničenja, određeni su udjeli dionica koji maksimiziraju očekivani prinos portfelja. Rad pokazuje da je analiza kompleksna, te zahtijeva razbijanje intervala rizika na komponente na temelju čega se donosi zaključak o hipotezama. Napravljena je usporedba prinosa i rizika indeksa CROBEX sa efikasnim portfeljima kako bi se ispitao odnos aktivne i pasivne strategije ulaganja. Modelima jednostavne linearne regresije ispitan je učinak sistematskog rizika na tržište dionica. Na taj način obuhvaćene su analize obje vrste rizika sa kojima se svaki ulagač suočava. Podaci o prosječnim cijenama dionica, dividendama i vrijednostima indeksa CROBEX su prikupljeni sa Zagrebačke burze, dok su podaci o makroekonomskim pokazateljima prikupljeni iz publikacija Državnog zavoda za statistiku.
KeywordsMarkowitz model portfolio optimisation efficient portfolio systematic and unsystematic risk
Parallel title (English)PORTFOLIO COMPARISON OF SELECTED SHARES ON CROATIAN CAPITAL MARKET BEFORE AND AFTER JOINING THE EUROPEAN UNION
Committee MembersBranko Matić (committee chairperson)
Domagoj Sajter (committee member)
Branko Novak (committee member)
GranterSveučilište Josipa Jurja Strossmayera u Osijeku
Ekonomski fakultet u Osijeku
PlaceOsijek
StateCroatia
Scientific field, discipline, subdisciplineSOCIAL SCIENCES
Economics
Finance
Study programme typeuniversity
Study levelpostgraduate specialist
Study programmePostgraduate specialist study Finance and Banking
Academic title abbreviationmag. spec.
Genreprofessional thesis
Language Croatian
Defense date2016-07-07
Parallel abstract (English)
The thesis studies portfolio comparison of selected shares on Croatian capital market before and after joining the European Union. Two hypothesis are made: using the Markowitz theory, it is possible to create the optimal portfolio on the Croatian capital market of the same share composition that accomplishes better results after joining the European Union. It is possible to create the optimal portfolio using detailed share analysis after joining the European Union that accomplishes better results than the initial one. Shares from index CROBEX on 18 March 2013 and 21 September 2015 are selected as the initial sample. Daily and weekly information about average share prices is used to analyse share liquidity based on the number of trading days as a main criteria for creating optimisation samples. Portfolio optimisation is implemented using Excel – Solver software. Levels of shares that maximise expected portfolio yield are determined using different risk levels and restrictions. The thesis shows the complexity of analysis and requires separation of risk interval to components based on which hypothesis conclusion is made. Yield and risk comparison of index CROBEX and efficient portfolios is made because of the testing of active and passive portfolio strategies. Systematic risk output on share market is tested using the linear regression models. Thereby, both risk types that every investor confronts are included. Information about average share prices, dividends and index CROBEX values are obtained from Zagreb Stock Market, while information about macroeconomic indicators is obtained from Croatian Bureau of Statistics.
Parallel keywords (Croatian)Markowitzev model optimizacija portfelja efikasni portfelj sistematski i nesistematski rizik
Resource typetext
Access conditionAccess restricted to higher education institution's students and staff
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
URN:NBNhttps://urn.nsk.hr/urn:nbn:hr:145:980724
CommitterGordana Kradijan