Technical analysis of the financial markets : a comprehensive guide to trading methods and applicationsJohn J. Murphy
Ključne besede: financial market, finances, financial systems, securities, stock market, indicators, derivatives, futures, options, interests, cycles, trading, financial management, methods, application, technical analysis, financial analysis, exchange, trends, guidebooks
Objavljeno: 01.06.2012; Ogledov: 1642; Prenosov: 121
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Dependence between Croatian and European stock marketsSilvo Dajčman
, 2013, izvirni znanstveni članek
Opis: The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.ʼs). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function. Four different copulas are fitted - a constant and conditional normal and symmetric Joe-Clayton (SJC) copulas - and estimated by a semi-parametric method. We found that the time-varying normal copula yields the best fit for CROBEX-CAC40, CROBEX-DAX, and CROBEX-FTSE-MIB stock indices pairs, while the time-varying SJC copula is the best fit for CROBEX-ATX and CROBEX-FTSE100. Further, we found that the probability of simultaneous extreme positive and negative returns in Croatian and other European stock markets can increase to 0.77 during turbulent times. The lower and upper tail dependence dynamics between Croatian and other European stock markets is similar in pattern, differing only in scale. The basic conclusion of the research is that the dependence between the stock markets of Croatia and five major European stock markets is dynamic and can be properly captured by either a dynamic normal or symmetrized Joe-Clayton copula GARCH models.
Ključne besede: stock market, stock companies, econometric models, Croatia, EU, dependence, copula GARCH
Objavljeno: 17.07.2017; Ogledov: 276; Prenosov: 67
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Long memory in the Croatian and Hungarian stock market returnsMejra Festić
, Alenka Kavkler
, Silvo Dajčman
, 2012, izvirni znanstveni članek
Opis: The objective of this paper is to analyze and compare the fractal structure of the Croatian and Hungarian stock market returns. The presence of long memory components in asset returns provides evidence against the weak-form of stock market effi ciency. The starting working hypothesis that there is no long memory in the Croatian and Hungarian stock market returns is tested by applying the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) (1992) test, Loʼs (1991) modified rescaled range (R/S) test, and the wavelet ordinary least squares (WOLS) estimator of Jensen (1999). The research showed that the WOLS estimator may lead to different conclusions regarding long memory presence in the stock returns from the KPSS and unit root tests or Loʼs R/S test. Furthermore, it proved that the fractal structure of individual stock returns may be masked in aggregated stock market returns (i.e. in returns of stock index). The main finding of the paper is that both the Croatian stock index Crobex and individual stocks in this index exhibit long memory. Long memory is identified for some stocks in the Hungarian stock market as well, but not for the stock market index BUX. Based on the results of the long memory tests, it can be concluded that while the Hungarian stock market is weak form efficient, the Croatian stock market is not.
Ključne besede: stock market, long memory, efficient-market hypothesis, Croatia, Hungary
Objavljeno: 18.07.2017; Ogledov: 275; Prenosov: 44
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Is technology sector in a bubble?Tadej Kelc
, 2017, diplomsko delo
Opis: The thesis is dealing with the question if the U.S. technology sector is in the bubble. Besides the main aim of this thesis, we are also interested in what the changes are in recent stock market bubbles. The analysis of the sector is key to the investors, because with the early identification of a bubble, they can allocate their funds to other less risky investments. On the other hand, the investors can with the analysis of the sector find out if specific sector is undervalued and thus make above average revenue.
Our analysis is based on the study of relative indicators, such as: P/E, P/B, CAPE, P/B, P/S and MarketCap/GDP. We studied the last two historic bubbles and analyzed the current state on the U.S. stock markets. The analysis is focused on the last part of the thesis, where we evaluated what is the current market sentiment in the U.S. stock market, especially in the technology sector. The results are compared to the technology bubble of 2000. In the analysis, we are using U.S. stock market indices as well as the global ones.
U.S. stock market is overvalued, which can be argued with high values of the relative indicators compared to the historical average. Some of them show, that market was valued higher only during the Great Depression in 1929 and during the technological bubble in 2000. Remarkably high values are the result of low interest rates and quantitative easing of central banks. The current expansive monetary politics is encouraging risky businesses and increasing credit businesses. The indicator, showing this kind of operations, is the value of investment financed with credit, which is constantly rising in the U.S. since 2009. As a result, stocks and stock indices are increasing as well. With potential abatement of tax rates and other measures of expansive fiscal politics, stock markets could reach even higher values.
Currently, we are in the ninth year of bull trend, which is close to the record of 1991, which lasted for nearly a decade. Since 2009, there is optimism prevailing in U.S. stock market, which is reflecting in above average revenue. The feature of the stock market bubble is that it is developing slowly and persistently, thus the main question arises, when will this optimism turn into fear and pessimism, or better said, when will the stock market bubble burst. Still, no one has the answer to that yet.
Ključne besede: stock market bubble, technology sector, overvalued, stock market, stock market index, dot.com bubble, housing bubble
Objavljeno: 08.12.2017; Ogledov: 494; Prenosov: 52
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