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Original scientific paper
https://doi.org/10.17535/crorr.2014.0013

Stock selection using a hybrid MCDM approach

Tea Poklepović   ORCID icon orcid.org/0000-0002-6279-6070 ; Faculty of Economics, University of Split
Zoran Babić ; Faculty of Economics, University of Split

Fulltext: english, pdf (248 KB) pages 273-290 downloads: 800* cite
APA 6th Edition
Poklepović, T. & Babić, Z. (2014). Stock selection using a hybrid MCDM approach. Croatian Operational Research Review, 5 (2), 273-290. https://doi.org/10.17535/crorr.2014.0013
MLA 8th Edition
Poklepović, Tea and Zoran Babić. "Stock selection using a hybrid MCDM approach." Croatian Operational Research Review, vol. 5, no. 2, 2014, pp. 273-290. https://doi.org/10.17535/crorr.2014.0013. Accessed 21 Nov. 2019.
Chicago 17th Edition
Poklepović, Tea and Zoran Babić. "Stock selection using a hybrid MCDM approach." Croatian Operational Research Review 5, no. 2 (2014): 273-290. https://doi.org/10.17535/crorr.2014.0013
Harvard
Poklepović, T., and Babić, Z. (2014). 'Stock selection using a hybrid MCDM approach', Croatian Operational Research Review, 5(2), pp. 273-290. https://doi.org/10.17535/crorr.2014.0013
Vancouver
Poklepović T, Babić Z. Stock selection using a hybrid MCDM approach. Croatian Operational Research Review [Internet]. 2014 [cited 2019 November 21];5(2):273-290. https://doi.org/10.17535/crorr.2014.0013
IEEE
T. Poklepović and Z. Babić, "Stock selection using a hybrid MCDM approach", Croatian Operational Research Review, vol.5, no. 2, pp. 273-290, 2014. [Online]. https://doi.org/10.17535/crorr.2014.0013

Abstracts
The problem of selecting the right stocks to invest in is of immense interest for investors on both emerging and developed capital markets. Moreover, an investor should take into account all available data regarding stocks on the particular market. This includes fundamental and stock market indicators. The decision making process includes several stocks to invest in and more than one criterion. Therefore, the task of selecting the stocks to invest in can be viewed as a multiple criteria decision making (MCDM) problem. Using several MCDM methods often leads to divergent rankings. The goal of this paper is to resolve these possible divergent results obtained from different MCDM methods using a hybrid MCDM approach based on Spearman’s rank correlation coefficient. Five MCDM methods are selected: COPRAS, linear assignment, PROMETHEE, SAW and TOPSIS. The weights for all criteria are obtained by using the AHP method. Data for this study includes information on stock returns and traded volumes from March 2012 to March 2014 for 19 stocks on the Croatian capital market. It also includes the most important fundamental and stock market indicators for selected stocks. Rankings using five selected MCDM methods in the stock selection problem yield divergent results. However, after applying the proposed approach the final hybrid rankings are obtained. The results show that the worse stocks to invest in happen to be the same when the industry is taken into consideration or when not. However, when the industry is taken into account, the best stocks to invest in are slightly different, because some industries are more profitable than the others.

Keywords
MCDM approach; Spearman’s rank coefficient; stock selection

Hrčak ID: 133702

URI
https://hrcak.srce.hr/133702

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