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1.
TESTING PROCYCLICALITY OF STOCK MARKET INDICES IN SOUTH EASTERN EUROPEAN COUNTRIES IN TRANSITION AS COMPARED TO WORLD STOCK EXCHANGE CENTRES
Anita Peša, 2011, doktorska disertacija

Opis: We tested the hypothesis of procyclicality for economic activity and the stock exchanges of southeastern European countries relative to the main world Stock Exchange Centers, with a particular emphasis on Croatia (as a country preparing for EU accession) in order to demonstrate the dependence of small financial markets on large ones and to investigate the spillover effect, i.e., the degree and pace of integration of 'new' financial markets into larger ones. Our estimates for the southeastern countries individually and together support the hypothesis of an increase in stock exchange indices in the period of transition, due to the opening of the market economy followed by large capital inflows. Our results for Croatia provided us with evidence that EU accession is a trigger for the better financial integration of a candidate country. The observed countries that are already in the EU wing (Bulgaria, Romania and Slovenia) or those in the process of joining (Croatia and Montenegro) were found to be more dependent on the global financial markets and more exposed to adverse co-movements than other transitional southeastern countries (e.g. Bosnia and Herzegovina and Serbia).
Ključne besede: Stock Exchange, South-East Europe, financial integration, EU accession
Objavljeno: 17.02.2012; Ogledov: 2060; Prenosov: 95
.pdf Celotno besedilo (2,61 MB)

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Capabilities of statistical residual-based control charts in short-and long-term stock trading
Berislav Žmuk, 2016, izvirni znanstveni članek

Opis: The aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control charts, led to an investor’s profit in 67.92% cases. In the short run, the residual-based cumulative sum (CUSUM) control chart led to the highest portfolio profits. In the long run, when average stock prices were used and 2-sigma control limits set, the residual-based exponential weighted moving average control chart had the highest portfolio profit. In all other cases in the long run, the CUSUM control chart appeared to be the best choice. The acknowledgment that the SPC methods can be successfully used in stock trading will, hopefully, increase their use in this field.
Ključne besede: Zagreb Stock Exchange, investments, statistical process control, autocorrelation, residual-based control charts
Objavljeno: 13.11.2017; Ogledov: 304; Prenosov: 154
.pdf Celotno besedilo (731,32 KB)
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