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

Original scientific paper

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

Fulltext: english, pdf (212 KB) pages 25-33 downloads: 328* cite
APA 6th Edition
Škrinjarić, T. & Šego, B. (2014). Estimating temporary and permanent stock price innovations on Croatian capital market. Croatian Operational Research Review, 5 (1), 25-33. Retrieved from https://hrcak.srce.hr/120190
MLA 8th Edition
Škrinjarić, Tihana and Boško Šego. "Estimating temporary and permanent stock price innovations on Croatian capital market." Croatian Operational Research Review, vol. 5, no. 1, 2014, pp. 25-33. https://hrcak.srce.hr/120190. Accessed 15 Oct. 2018.
Chicago 17th Edition
Škrinjarić, Tihana and Boško Šego. "Estimating temporary and permanent stock price innovations on Croatian capital market." Croatian Operational Research Review 5, no. 1 (2014): 25-33. https://hrcak.srce.hr/120190
Harvard
Škrinjarić, T., and Šego, B. (2014). 'Estimating temporary and permanent stock price innovations on Croatian capital market', Croatian Operational Research Review, 5(1), pp. 25-33. Available at: https://hrcak.srce.hr/120190 (Accessed 15 October 2018)
Vancouver
Škrinjarić T, Šego B. Estimating temporary and permanent stock price innovations on Croatian capital market. Croatian Operational Research Review [Internet]. 2014 Mar 31 [cited 2018 October 15];5(1):25-33. Available from: https://hrcak.srce.hr/120190
IEEE
T. Škrinjarić and B. Šego, "Estimating temporary and permanent stock price innovations on Croatian capital market", Croatian Operational Research Review, vol.5, no. 1, pp. 25-33, march 2014. [Online]. Available: https://hrcak.srce.hr/120190. [Accessed: 15 October 2018]

Abstracts
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.

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

Hrčak ID: 120190

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

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