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1.
Borzni mehurčki in racionalnost špekuliranja
Janez Ferbar, 2009, polemika, diskusijski prispevek, komentar

Opis: V članku analiziramo borzne mehurčke in se sprašujemo o njihovem obstoju. S temeljnega vidika je namreč v času nastajanja mehurček nemogoče prepoznati, pač pa moramo počakati dovolj dolgo, da vidimo, če so bili tečaji morda upravičeni s prihodnjimi denarnimi tokovi. Navedemo tudi druge tržne omejitve, zaradi katerih borzni mehurčki na trgu z racionalnimi pričakovanji ne bi smeli obstajati. Ker pa empirični testi mehurčke potrjujejo, analiziramo vedenje racionalnih trgovcev - špekulantov, ki so zaradi možnosti kasnejše preprodaje ali/in kapitalskega dobička pripravljeni za finančni instrument plačati več, kot bi bili pripravljeni plačati, če bi ga morali zadržati za vedno.
Ključne besede: borze, borzništvo
Objavljeno: 10.07.2015; Ogledov: 702; Prenosov: 40
URL Povezava na celotno besedilo

2.
Tail dependence between Central and Eastern European and major European stock markets
Silvo Dajčman, 2013, izvirni znanstveni članek

Opis: This article analyses dynamic tail dependence between the returns of the three largest Central and Eastern European (CEE) stock markets (Hungary, Czech Republic and Poland) and two major Eurozone stock markets (Germany and France). Tail dependence is modelled by a constant and dynamic 'symmetrized Joe-Clayton' (SJC) copula assuming GARCH stock market return processes. The results of the dynamic SJC copula model show that the dependence between pair-wise observed stock markets is time-varying and asymmetric with lower tail dependence mostly exceeding upper tail dependence. The results of the article imply that advantages of international portfolio diversification are reduced in downturns.
Ključne besede: borze, borzništvo, finančna kriza, EU
Objavljeno: 10.07.2015; Ogledov: 455; Prenosov: 22
URL Povezava na celotno besedilo

3.
Co-exceedances in Eurozone sovereign bond markets
Silvo Dajčman, 2013, izvirni znanstveni članek

Opis: The paper examines contagion between the sovereign bond markets of six Eurozone countries (France, Germany, Ireland, Italy, Spain, and Portugal) in the period from January 2000 to August 2011. A multinomial logistic model is applied to analyze contagion based on measuring joint occurrences of large yield changes (i.e., co-exceedances), while controlling for developments in common and regional factors th at affect all sovereign bond markets simultaneously. I found that the Eurozoneʼs stock markets (EUROSTOXX50) returns, United Statesʼ Treasury note yields, and the Euro - U.S. dollar (EUR - USD) exchange rate significantly impact the probability of extreme posi tive yield moves in the Eurozoneʼs sovereign bond markets. Positive EUROSTOXX50 returns and upside moves in U.S. Treasury note yields increased the probability of extreme positive sovereign bond yield moves in the Eurozone, whereas an increase in the EUR-USD exchange rate significantly reduced the probability. Conditional volatility in the Eurozone stock markets and the money market interest rate do not significantly impact the probability of extreme yield increases in the Eurozoneʼs sovereign bond markets. Furthermore, the probability of observing exceedance across Eurozone sovereign bond markets increased dramatically during the Eurozone debt crisis compared to the pre-crisis period. This studyʼs results also indicate less synchronous extreme yield dynamics across the Eurozone sovereign bond markets during the global financial crisis, especially during the Eurozone debt crisis compared to the pre-crisis period.
Ključne besede: borze, borzništvo, krize, finančna kriza, ekonometrični modeli, analiza, EU
Objavljeno: 10.07.2015; Ogledov: 697; Prenosov: 38
URL Povezava na celotno besedilo

4.
Co-exceedances in Eurozone sovereign stock markets - a multinomial logit analysis of contagion
Silvo Dajčman, 2013, izvirni znanstveni članek

Opis: This paper examines contagion between stock markets of six Eurozone countries (France, Germany, Greece, Ireland, Italy, and Spain ) during period from December 3, 2003 to January 27, 2012. A multinomial logistic model is applied to analyze contagion based on a measure of joint occurrences of extreme negative stock market returns (i.e. co-exceedances) while controlling for common and regional factors that affect all stock markets simultaneously. The results indicate that the DJI returns, the EUROSTOXX50 conditional volatility, and the EUR - USD exchange rate significantly impacted the probability of extreme negative returns in Eurozone stock markets. The probability of co-exceedance (or contagion) between the investigated Eurozone stock markets during the global financial crisis and the Eurozone debt crisis did not increase significantly.
Ključne besede: borze, borzništvo, krize, finančna kriza, ekonometrični modeli, analiza, EU
Objavljeno: 10.07.2015; Ogledov: 603; Prenosov: 38
URL Povezava na celotno besedilo

5.
A formal test of asymmetric correlation in stock market returns and the relevance of time interval of returns - a case of Eurozone stock markets
Silvo Dajčman, 2013, izvirni znanstveni članek

Opis: The paper examines the asymmetry of correlation between the Eurozoneʼs stock market returns. The asymmetry of correlation is investigated pair-wise, by estimating the exceedance correlation between returns of two stock markets at a time. As markets can be very volatile, especially in crisis periods, and because there are investors with different investment horizons, we investigate whether the results are sensitive to time interval of stock market returns. We found that the results of the exceedance correlation estimates and the asymmetric correlation test do depend on the time interval of returns. When longer time interval returns (20-day moving average returns) are used , the Eurozone stock markets ʼreturnsʼ dynamics are more (pair-wise) correlated in the falling markets than in the up markets, while for daily returns , the correlations in the up markets are higher for most of the investigated Euro zoneʼs stock indices pairs. An important implication of the results of the paper is that investors in stock markets should investigate the exceedance correlations and asymmetry of correlation for those return intervals (daily, weekly, monthly, etc.) that correspond to their investment horizon.
Ključne besede: borze, borzništvo, ekonometrični modeli, korelacije, analiza, EU
Objavljeno: 10.07.2015; Ogledov: 644; Prenosov: 211
URL Povezava na celotno besedilo

6.
The dynamics of return comovement and spillovers between the Czech and European stock markets in the period 1997-2010
Silvo Dajčman, 2012, izvirni znanstveni članek

Opis: The paper examines the comovement and spillover dynamics between the returns of the Czech and some major European stock markets (namely, the Austrian, French, German, and UK markets, as well as the Central and Eastern European stock markets of Poland, Hungary, and Slovenia). By applying the Dynamic Conditional Correlation GARCH model and Granger causality tests on wavelet transformed returns series for the period April 1997-May 2010 the following specific questions are answered. Is the co-movement (correlation) between the Czech and European stock markets time-varyinǵ What effect did the financial crises in the period 1997-2010 and the accession of the Czech Republic to the European Union have on the comovement between the Czech and European stock markets investigated? We also investigate whether there were return spillovers between the markets and whether they depended on the horizon over which they are calculated (i.e., are they a multiscale phenomenon). We found that comovement between the Czech and other stock market returns is time-varying. Furthermore, we found significant return spillovers between the Czech and European stock markets in the observed period. The wavelet Granger causality tests show that return spillovers were a multiscale phenomenon.
Ključne besede: borze, borzništvo, ekonometrični modeli, analiza, metode, Češka, EU
Objavljeno: 10.07.2015; Ogledov: 557; Prenosov: 34
URL Povezava na celotno besedilo

7.
E-BORZNIŠTVO
Kris Varga, 2014, diplomsko delo

Opis: Nastanek in razvoj informacijskih tehnologij je v veliki meri pripomogel k povezovanju in globalizaciji sveta. V zadnjem desetletju je svetovni splet uspel postati rutinski del vsakdanjika za velik del svetovnega prebivalstva. V današnjem času se z informacijskimi tehnologijami srečujemo vsepovsod, v službi, doma, v šolah, v okviru preživljanja časa za opravljanje obveznosti ali pa v svojem prostem času. Raba spleta in informacijskih tehnologij se je razširila prav tako v poslovnem svetu. Kot posledice tega je poslovanje postalo veliko hitrejše, cenejše in kakovostnejše. Z razvojem in uvajanjem rabe informacijskih tehnologij pri poslovanju se je to razširilo na številna področja, od rabe spleta doma in v podjetjih do njegove rabe za poslovanje v državnih organizacijah. Rabo informacijskih tehnologij na vseh ravnem poslovanja podjetja oziroma organizacije imenujemo elektronsko poslovanje. Trend zadnjega desetletja je poslovanje borz preko spleta, kar imenujemo e-borzništvo. Elektronsko borzništvo obsega od lastne spletne strani določene borze do trgovanja in izvajanja drugih borznih storitev preko spleta. Za tovrstno poslovanje vsaka borza uporablja neko platformo, preko katere se lahko člani prijavljajo in prosto trgujejo preko spleta. Da bo koncept borznega poslovanja jasen bomo v prvem poglavju tega diplomskega seminarja definirali borze, borzništvo in način poslovanja borz. Prav tako bomo opisali pomembnejše organizacije v Sloveniji, ki so ključnega pomena za slovensko borzništvo. Za razumevanje koncepta trgovanja pa bomo prav tako opisali potek postopka. Opredelili bomo finančne inštrumente ter navedli, s katerimi finančnimi inštrumentu trgujejo na ljubljanski borzi. Našteli in opisali bomo nekaj vrst vrednostnih papirjev. V drugem poglavju bomo opredelili e-poslovanje, njegove ravni, področja ipd. Ker je veliko trenj o varnosti le tega bomo prav tako navedli kako se lahko zavarujemo na spletu. Navedli bomo nekaj prednosti in slabosti poslovanja preko spleta. Po pojasnitvi pojmov e-poslovanje in borzništvo bomo vsebino smiselno povezali in podrobno opisali v podpoglavju e-borzništvo. Skozi zgodovino bomo predstavili kako je prišlo do rabe informacijskih tehnologij na trg kapitala po svetu. Predstavili bomo e-borzništvo v Sloveniji od samega začetka njegove rabe na ljubljanski borzi do aktualnega časovnega obdobja. Več pozornosti bomo namenili opisu trgovalnega sistema BTS, ki je bil prvi tak sistem v Sloveniji in je bil v redni rabi vse do leta 2009, ko ga je zamenjal sistem Xetra. S tem sistemom ljubljanska borza posluje še danes. Za primerjavo ljubljanske borze bomo opisali tudi elektronsko poslovanje zagrebške borze, ki je začela z e-poslovanjem med prvimi v Evropi. Po opisu e-poslovanja ljubljanske in zagrebške borze, bomo primerjali obe borzi ter oba trgovalna sistema, ki sta v rabi. Ljubljanska borza, kot smo že rekli, za svoje poslovanje uporablja trgovalni sistem Xetra, zagrebška borza pa se poslužuje uslug trgovalnega sistema X-stream, OMX. Oba sistema sta prepoznavna in razširjena s številnimi funkcijami in možnostmi prilagajanja.
Ključne besede: e-poslovanje, e-borzništvo, elektronsko borzništvo, ljubljanska borza, zagrebška borza, Xetra
Objavljeno: 03.12.2014; Ogledov: 1092; Prenosov: 71
.pdf Celotno besedilo (1,07 MB)

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