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Title:VALČNA ANALIZA SISTEMATIČNEGA TVEGANJA, MODELA CAPM IN DOLGOROČNEGA SPOMINA V DONOSNOSTIH DELNIŠKIH TRGOV SLOVENIJE, ČEŠKE IN MADŽARSKE
Authors:Dajčman, Silvo (Author)
Festić, Mejra (Mentor) More about this mentor... New window
Kavkler, Alenka (Co-mentor)
Files:.pdf DR_Dajcman_Silvo_2012.pdf (5,30 MB)
 
Language:Slovenian
Work type:Dissertation (m)
Typology:2.08 - Doctoral Dissertation
Organization:EPF - Faculty of Business and Economics
Abstract:Delniških trgi Slovenije, Češke in Madžarske nosijo nekatera skupna obeležja (na primer: relativna majhnost in kratka postkomunistična preteklost, relativno majhna tržna kapitalizacija družb na teh trgih, podobni negativni učinki globalne finančne krize, skupno holdinško lastništvo borz), a tudi razlike, pomembne z vidika mednarodnih investitorjev na teh delniških trgih (večja vloga tujih investitorjev na češkem in madžarskem delniškem trgu, kakor pa na slovenskem; promet z delnicami in likvidnost na slovenski delniški borzi je neprimerljivo manjša kot na češki ali madžarski). V disertaciji smo iskali podobnosti in razlike med preučevanimi delniškimi trgi, pomembne za mednarodne investitorje na na teh trgih, ki zahtevajo bolj poglobljeno, ekonometrično analizo, zlasti: i) prisotnost/odsotnost dolgoročnega spomina v časovnih serijah donosnosti delnic in delniških indeksov in s tem povezano vprašanje (šibke) učinkovitosti delniških trgov; ii) (ne)veljavnost modela dolgoročnega vrednotenja (finančnih) sredstev (CAPM), v odvisnosti od časovnega horizonta (oziroma časovne skale) naložb; iii) jakost in časovna dinamika medsebojne povezanosti donosnosti med delniškimi trgi teh držav in z razvitimi delniškimi trgi Evrope. Na osnovi rezultatov testov dolgoročnega spomina (KPSS testa in testov enotskega korena, Geweke in Porter-Hudak (GPH) metode in valčne metode navadnih najmanjših kvadratov (WOLS)) smo ugotovili, da je v časovni seriji donosnosti indeksa slovenskega delniškega trga in nekaterih delnic, kotirajočih na tem trgu, prisoten dolgoročni spomin. Dolgoročni spomin ni bil ugotovljen v donosnostih indeksov madžarskega in češkega delniškega trga ter večine preučevanih delnic, kotirajočih na teh trgih. Različne metode izračuna parametra dolgoročnega spomina ne vodijo do razlik v sklepu. Na osnovi teh rezultatov zatrjujemo, da je slovenski delniški trg neučinkovit, madžarski in češki delniški trg pa sta učinkovita v šibkem smislu. Izračun dinamičnih ocen parametrov dolgoročnega spomina kaže, da slednji ni stabilen, temveč se s časom spreminja. Večskalna veljavnost modela CAPM za preučevane delniške trge je preverjena na osnovi modifikacije metodologije Fame in MacBetha. V prvem koraku te modificirane metodologije je z valčno metodo ocenjena večskalna beta delnic, kotirajočih na teh trgih. V drugem koraku se z metodo posplošenih momentov preverja veljavnost štirih hipotez CAPM. Rezultati kažejo, da sistematično tveganje, oziroma bete delnic, kotirajočih na preučevanih delniških trgih, ni stabilno in je večskalni pojav. Na osnovi rezultatov preverjanja hipotez CAPM sklepamo, da so dokazi o veljavnosti CAPM za delniške trge Slovenije, Madžarske in Češke šibki. Najpogosteje zavrnjena je hipoteza ničelne vrednosti Jensenove alfe in zadostnosti bete kot edinega dejavnika določanja (presežne) donosnosti delnic. Povezanost med delniškimi trgi Slovenije, Češke in Madžarske med seboj kot tudi z razvitimi delniškimi trgi v Evropi (z nemškim delniškim trgom, britanskim, francoskim in avstrijskim trgom) smo ugotavljali z jakostjo sogibanja donosnosti teh delniških trgov. V ta namen smo uporabili več orodij analize (enostavno analizo linearne povezanosti delniških trgov (Pearsonov koeficient korelacije), Grangerjevo analizo vzročnosti, valčno korelacijsko analizo po posameznih skalah, navzkrižno valčno korelacijsko analizo ter DCC-GARCH analizo dinamične pogojne korelacije več spremenljivk) in ugotovili, da je slovenski delniški trg manj povezan z ostalimi evropskimi (s češkim, madžarskim, avstrijskim, francoskim, nemškim in britanskim) delniškimi trgi, kakor pa to velja za madžarski in češki delniški trg. Jakost sogibanja donosnosti delniških trgov v preučevanem obdobju (t.j. v obdobju 1997–2010) se je povečala. Finančne krize, zlasti svetovna finančna kriza, so kratkoročno vplivale na povečano sogibanje donosnosti slovenskega, madžarskega in češkega delniškega trga z ostalimi preučevanimi del
Keywords:delniški trgi, dolgoročni spomin, CAPM, povezanost med delniškimi trgi, valčki, GARCH, posplošena metoda momentov
Year of publishing:2012
Publisher:S. Dajčman]
Source:[Maribor
UDC:336.76
COBISS_ID:21040102 Link is opened in a new window
NUK URN:URN:SI:UM:DK:VBEXHU6B
Views:2061
Downloads:317
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Categories:EPF
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Secondary language

Language:English
Title:Wavelet analysis of systematic risk, CAPM and long memory in the stock market returns of Slovenia, Czech Republic and Hungary
Abstract:The stock markets of Slovenia, the Czech Republic, and Hungary share some common characteristics (these are stock markets with only a relatively short post-communist era; a relatively small market capitalization of companies listed in these stock markets; similar negative effects of financial crisis on the stock market; being owned by a common holding company), but also differences which are important for the international investors at these stock markets (the Czech and Hungarian stocks have attracted many foreign investors, the Slovenian market less so; the stock market turnover and liquidity of shares listed at the Ljubljana stock exchange is smaller than at its counterparts). In this dissertation, similarities and differences between the stock markets are investigated which can be found only by applying an econometric analysis, especially: i) the presence of long memory in the time series of stock and stock market returns in these stock markets; ii) the validity of the capital asset pricing model (CAPM) on a multiscale basis; iii) the strengths and time path of interdependence of the stock market returns. The results of long memory tests (KPSSS test and unit root tests, Geweke and Porter-Hudak (GPH) method, wavelet ordinary least squares method) show the presence of long memory in returns of some stocks and stock index at the Slovenian stock market, while it could not be identified for the returns of stock indices and most of stocks, listed in the stock markets of the Czech Republic and Hungary. Different methods of calculating long memory parameter lead to identical conclusion. The results implicate that the Slovenian stock market is weak-form inefficient, while the Czech and Hungarian stock markets are weak-form efficient. Dynamical long memory parameter estimates show that long memory parameter is time-varying. In order to test the validity of the CAPM model, a modification of the Fama and MacBeth methodology was proposed, where in the first stage the systematic risk of individual stocks in the stock markets was calculated applying a wavelet methodology. In the second stage regression, four CAPM implications were tested in the generalized method of moment’s framework. We found that the systematic risk and validity of the CAPM implications is a multiscale phenomenon. Empirical evidence in support of the CAPM implications in the investigated CEE stock markets was found to be weak. The CAPM hypotheses that seem to be the most commonly violated in these stock markets are the zero Jensen´s alpha condition and non-systematic influence of non-observable variables on the excess returns of stocks in these stock markets. Interdependence between stock markets of Slovenia, the Czech Republic, and Hungary with the more developed European stock markets (namely the German, the United Kingdom´s, French, and Austrian) was analyzed by the means of calculating the strength of comovement between the stock market returns by applying versatile tools: a simple measure of linear dependence (the Pearson´s correlation coefficient), wavelet correlation analysis, wavelet cross-correlation analysis and a dynamical conditional correlation (DCC-GARCH) analysis. We found that the Slovenian stock market was less interdependent with other European stock markets than the Czech or Hungarian stock markets. The comovement between stock markets in the observed time period (1997–2010) increased. The financial crises in this period led to a temporary increased comovement between the investigated CEE´s and the more developed European stock markets.
Keywords:stock markets, long memory in stock returns, CAPM, interdependencies between stock markets, wavelets, GARCH, generalized method of moments


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