hrcak mascot   Srce   HID

Izvorni znanstveni članak
https://doi.org/10.1515/bsrj-2016-0014

Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

Tihana Škrinjarić   ORCID icon orcid.org/0000-0002-9310-6853 ; Faculty of Economics and Business, University of Zagreb, Croatia
Boško Šego   ORCID icon orcid.org/0000-0003-0127-3572 ; Faculty of Economics and Business, University of Zagreb, Croatia

Puni tekst: engleski, pdf (621 KB) str. 78-90 preuzimanja: 221* citiraj
APA 6th Edition
Škrinjarić, T. i Šego, B. (2016). Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach. Business Systems Research, 7 (2), 78-90. https://doi.org/10.1515/bsrj-2016-0014
MLA 8th Edition
Škrinjarić, Tihana i Boško Šego. "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach." Business Systems Research, vol. 7, br. 2, 2016, str. 78-90. https://doi.org/10.1515/bsrj-2016-0014. Citirano 19.08.2019.
Chicago 17th Edition
Škrinjarić, Tihana i Boško Šego. "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach." Business Systems Research 7, br. 2 (2016): 78-90. https://doi.org/10.1515/bsrj-2016-0014
Harvard
Škrinjarić, T., i Šego, B. (2016). 'Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach', Business Systems Research, 7(2), str. 78-90. https://doi.org/10.1515/bsrj-2016-0014
Vancouver
Škrinjarić T, Šego B. Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach. Business Systems Research [Internet]. 2016 [pristupljeno 19.08.2019.];7(2):78-90. https://doi.org/10.1515/bsrj-2016-0014
IEEE
T. Škrinjarić i B. Šego, "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach", Business Systems Research, vol.7, br. 2, str. 78-90, 2016. [Online]. https://doi.org/10.1515/bsrj-2016-0014

Sažetak
Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time. Objectives: This study utilizes MGARCH methodology on Croatian financial markets in order to enhance portfolio selection on a daily basis. Methods/Approach: MGARCH methodology is applied to the stock market index CROBEX, the bond market index CROBIS and the kuna/euro exchange rate in order to model the co-movements of returns and risks on a daily basis. The estimation results are then used to form successful portfolios. Results: Results indicate that using MGARCH methodology (the CCC and the DCC model) as guidance when forming and rebalancing a portfolio contributes to less portfolio volatility and greater cumulated returns compared to strategies which do not take this methodology into account. Conclusions: It is advisable to use MGARCH methodology when forming and rebalancing portfolios in terms of portfolio selection.

Ključne riječi
Zagreb Stock Exchang; DCC and CCC GARCH; risk hedging; volatility

Hrčak ID: 166327

URI
https://hrcak.srce.hr/166327

Posjeta: 377 *