EFZG working paper series, No. 01, 2009.
Ostalo
(I)rationality of Investors on Croatian Stock Market – Explaining the Impact of American Indices on Croatian Stock Market
Domagoj Sajter
orcid.org/0000-0001-5492-3570
; Ekonomski fakultet u Osijeku
Tomislav Ćorić
; Ekonomski fakultet u Zagrebu
Sažetak
This study aims to detect and explain co-movements and spill over effects between American and Croatian
stock markets. Following the methodology and findings of Erjavec and Cota (2007), the dependency of the
Crobex index to the main US indices (DJIA, S&P500, NASDAQ) is further examined. The econometric study
is widened, and the persistent relationship between Croatian and American indices is additionally elaborated
using ARIMA and GARCH models using a different data set (January 3rd, 2005 to November 6th, 2008).
Despite the fact that intra-sectoral connections between Croatian and American business sectors are rather
weak, it is clear that the investors on the Croatian stock market dominantly rely on American indices
movements. This was especially apparent during the beginning of the World Financial Crisis in October 2008
when the prices of Croatian companies had almost nothing to do with their business results. The behaviour of
Croatian investors was largely based on the psychological effects of the crisis, and this is why behavioural
finance is introduced to explain what pure financial reasoning could not. High correlation and co-movements
between Croatian and American indices could be explained by three concepts; global factors, contagion and
irrational escalation.
Ključne riječi
ARIMA; GARCH; Crobex; Zagreb Stock Exchange; financial crisis; behavioural finance
Hrčak ID:
136980
URI
Datum izdavanja:
29.1.2009.
Posjeta: 1.005 *