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Croatian Operational Research Review, Vol.5 No.1 Ožujak 2014.

Izvorni znanstveni članak

Estimating temporary and permanent stock price innovations on Croatian capital market

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

Puni tekst: engleski, pdf (212 KB) str. 25-33 preuzimanja: 309* citiraj
APA 6th Edition
Škrinjarić, T. i Šego, B. (2014). Estimating temporary and permanent stock price innovations on Croatian capital market. Croatian Operational Research Review, 5 (1), 25-33. Preuzeto s https://hrcak.srce.hr/120190
MLA 8th Edition
Škrinjarić, Tihana i Boško Šego. "Estimating temporary and permanent stock price innovations on Croatian capital market." Croatian Operational Research Review, vol. 5, br. 1, 2014, str. 25-33. https://hrcak.srce.hr/120190. Citirano 21.06.2018.
Chicago 17th Edition
Škrinjarić, Tihana i Boško Šego. "Estimating temporary and permanent stock price innovations on Croatian capital market." Croatian Operational Research Review 5, br. 1 (2014): 25-33. https://hrcak.srce.hr/120190

Sažetak
This paper evaluates the size and duration of temporary and permanent stock price innovations on Croatian capital market in the structural VAR (vector autoregression) framework with Blanchard and Quah (1989) decomposition. The purpose is to identify the effects of temporary price innovations in order to determine to which extent future stock prices can be predicted. Temporary components present in stock prices are explained throughout the mean-reversion hypothesis. This means that stock prices deviate from the fundamental values, but they will revert to their mean. In that way, to some extent, it is possible to predict future price movements. The results show that for the observed period from January 2000 to September 2013, temporary innovations account for only 2.62% of price variability over a two-year horizon. This means that forecasting the future movements of stock prices on Zagreb Stock Exchange is a difficult task.

Ključne riječi
temporary and permanent stock innovations; stock market; structural VAR; random walk hypothesis

Hrčak ID: 120190

URI
https://hrcak.srce.hr/120190

Posjeta: 542 *