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https://doi.org/10.2478/bsrj-2018-0015

CVaR in Measuring Sector's Risk on the Croatian Stock Exchange

Zdravka Aljinović   ORCID icon orcid.org/0000-0002-9133-0149 ; Faculty of Economics, University of Split, Split, Croatia
Andrea Trgo   ORCID icon orcid.org/0000-0003-3912-5639 ; Faculty of Economics, University of Split, Split, Croatia

Puni tekst: engleski, pdf (415 KB) str. 8-17 preuzimanja: 119* citiraj
APA 6th Edition
Aljinović, Z. i Trgo, A. (2018). CVaR in Measuring Sector's Risk on the Croatian Stock Exchange. Business Systems Research, 9 (2), 8-17. https://doi.org/10.2478/bsrj-2018-0015
MLA 8th Edition
Aljinović, Zdravka i Andrea Trgo. "CVaR in Measuring Sector's Risk on the Croatian Stock Exchange." Business Systems Research, vol. 9, br. 2, 2018, str. 8-17. https://doi.org/10.2478/bsrj-2018-0015. Citirano 19.07.2019.
Chicago 17th Edition
Aljinović, Zdravka i Andrea Trgo. "CVaR in Measuring Sector's Risk on the Croatian Stock Exchange." Business Systems Research 9, br. 2 (2018): 8-17. https://doi.org/10.2478/bsrj-2018-0015
Harvard
Aljinović, Z., i Trgo, A. (2018). 'CVaR in Measuring Sector's Risk on the Croatian Stock Exchange', Business Systems Research, 9(2), str. 8-17. https://doi.org/10.2478/bsrj-2018-0015
Vancouver
Aljinović Z, Trgo A. CVaR in Measuring Sector's Risk on the Croatian Stock Exchange. Business Systems Research [Internet]. 2018 [pristupljeno 19.07.2019.];9(2):8-17. https://doi.org/10.2478/bsrj-2018-0015
IEEE
Z. Aljinović i A. Trgo, "CVaR in Measuring Sector's Risk on the Croatian Stock Exchange", Business Systems Research, vol.9, br. 2, str. 8-17, 2018. [Online]. https://doi.org/10.2478/bsrj-2018-0015

Sažetak
Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is applied to the Croatian stock market to estimate the risk for 8 sectors in Croatia. The method and an appropriate backtesting are applied to the sample of 29 stocks grouped into 8 sectors for the three different periods: the period of economic growth 2006-2007, the crisis period 2008-2009 and the post-crisis period 2013-2014, characterized by long-term economic stagnation in Croatia. Objectives: The objective of this paper is to estimate the risk of 8 sectors on the Croatian stock market in three different economic periods and to identify whether the sectors that are risky during the crisis period are the same sectors that are risky in the period of economic growth and economic stagnation. Methods/Approach: The Conditional Value-at-Risk method and an appropriate backtesting are applied. Results: Empirical findings indicate that sectors that are risky in the period of economic growth are not the same sectors that are risky during the period of economic crisis or stagnation. Conclusions: In all the three periods, the least risky sectors were Hotel-management, Tourism, Food, and Staples Retailing. The Construction sector in all the three periods was among the riskiest sectors.

Ključne riječi
Conditional Value-at-Risk (CVaR); Croatian stock market; sector’s risk

Hrčak ID: 203478

URI
https://hrcak.srce.hr/203478

Posjeta: 177 *