Sinhronost svetovnih delniških gibanj

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Title:	Sinhronost svetovnih delniških gibanj
Authors:	ID Krajnc, Jure (Author) ID Strašek, Sebastjan (Mentor) More about this mentor... ID Jagrič, Timotej (Comentor)
Files:	MAG_Krajnc_Jure_2016.pdf (4,54 MB) MD5: C46A0324592473CBDD9E4DC50455A6AD
Language:	Slovenian
Work type:	Master's thesis
Typology:	2.09 - Master's Thesis
Organization:	EPF - Faculty of Business and Economics
Abstract:	Globalni trgi so izpostavljeni velikim premikom v smislu medsebojnega gospodarskega povezovanja. To vodi h gospodarskim spremembam, ki se odražajo na sinhronosti delniških gibanj, za katere mnogokrat trdimo, da na osnovi znanih informacij in prihodnjih pričakovanj kažejo gospodarsko sliko prihodnosti. Čeprav je sinhronost med delniškimi indeksi na trgu že ves čas prisotna, se z razvojem in integracijo novih trgov sedaj uveljavlja v vse bolj globalnem merilu. Študije potrjujejo, da se sinhronost v času krize povečuje. Pri tem ima pomembno vlogo širjenje okužb ter kanali, po katerih se te prenašajo. Razlogov za hitro in neovirano prenašanje okužb je več. Po eni strani se zaradi medsebojnega povezovanja, ki ga spremljajo povečana medsebojna trgovina, financiranje mednarodnih finančnih ustanov na mednarodnih trgih, ter investitorjev, ki želijo svoje portfelje razpršiti po vseh regijah sveta, ustvarjajo ugodni pogoji za širjenje negativnih šokov oz. okužb. Po drugi strani so države s širjenjem globalizacije in povezovanjem v skupne politične, pravne in valutne sisteme podvržene enakim pogojem, pod katerimi na trgu delujejo. V magistrski nalogi izhajamo iz korelacijske teorije, ter z njeno pomočjo skušamo opredeliti ter pojasniti vzroke, ki vplivajo na moč povezanosti svetovnih delniških indeksov. V teoretičnem delu poskušamo opredeliti vlogo borze v finančnem sistemu, ter navedemo spremembe na borznih trgih, ki v zadnjem obdobju močno krojijo njihovo delovanje. Nadalje v tem delu opredelimo temeljne dejavnike razvoja delniških trgov, ter predstavimo podatke konkretno proučevanega vzorca. V Sklepnem delu teoretičnega dela smo opredelili pojem okužba, ter pojasnili posledice prenašanja negativnih šokov iz okuženih gospodarstev na zdrava in s tem povezano širjenje kriz med svetovnimi ekonomijami. Hkrati smo navedli kanale prenosa, podrobneje opisali potek prenašanja negativnih signalov, ter predstavili načine merjenja okužb in ukrepe namenjene njihovi preprečitvi. V praktičnem delu merimo stopnjo povezanosti med delniškimi indeksi, pri čemer naša analiza temelji na uporabi Pearsonovega korelacijskega koeficienta. Z njim smo proučevali gibanje moči povezanosti med svetovnimi indeksi na podlagi 1-letnega časovnega okna. Predvsem nas je zanimalo gibanje moči povezanosti med nekaterimi svetovnimi delniškimi indeksi v času, še posebej v obdobju 6 gospodarskih kriz v zadnjih 30 letih. Nadalje smo proučevali ali, in v kakšni meri indikatorji stopnje razvitosti borznega trga vplivajo na moč medsebojne povezanosti delniških indeksov. Posebno pozornost smo namenili primerjavi med razvitimi trgi in trgi v razvoju, pri čemer smo v drugem koraku analizo ponovili na vzorcu držav, ki smo jih razcepili na manjše geografske regije. V sklepnem delu praktičnega dela smo merili stopnjo povezanosti temeljnih dejavnikov razvitosti delniškega trga v odnosu do gospodarske rasti posameznega gospodarstva.
Keywords:	delniški trgi, teorija okužbe, gospodarska kriza, Pearsonov korelacijski koeficient, razvite države, države v razvoju, sinhronost, rast bruto domačega proizvoda, likvidnost, tržna kapitalizacija, koeficient obračanja, razvitost borznega trga.
Place of publishing:	[Maribor
Publisher:	J. Krajnc
Year of publishing:	2016
PID:	20.500.12556/DKUM-58627
UDC:	336.76
COBISS.SI-ID:	12432412
NUK URN:	URN:SI:UM:DK:BAHLQLIM
Publication date in DKUM:	11.08.2016
Views:	1632
Downloads:	86
Metadata:
Categories:	EPF
:	KRAJNC, Jure, 2016, Sinhronost svetovnih delniških gibanj [online]. Master’s thesis. Maribor : J. Krajnc. [Accessed 10 April 2025]. Retrieved from: https://dk.um.si/IzpisGradiva.php?lang=eng&id=58627 Copy citation

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Secondary language

Language:	English
Title:	Synchronicity of the World Stock Market
Abstract:	Global markets have gone through various changes in sense of economic integration through the past years. This causes economic changes, which reflect on changing synchronicity of stock markets over time. Based on known information and future expectations, stock markets are often believed to be a good indicator for future economic movements. Although synchronicity among stock markets is a well-known topic, caused by forced economic integration of new markets, now it seems to appear more global. Many studies have shown that synchronicity changes over time, increasing in times of economic and financial shocks. Contagion and channels, through which shocks are transmitted, are believed to play an important role in this. There have been observed many reasons for quick and free-flowing transmission of contagion among world economies. Because of economic integration, which is being escorted by enhanced trade volumes, international activity of financial institutions on global markets, and investors that use modern investment techniques in order to reach optimal diversification, there have been created propitious conditions for expansion of contagion. On the other hand, because of country linkages and creation of common political, law and financial systems, the countries are affected by equal market conditions and so their reactions are being similar. The main goal of our master paper is to define and to explain the factors that are affecting synchronicity among world stock markets. In our theoretical part, we define the role of stock markets for the whole financial system and mention changes, that have been occur through the past years. Furthermore we define the problem of contagion, present the channels of transmission and describe the transmission process. At the end, we present methods for measuring contagion and procedures for mitigate it. Our empirical part is related to measuring correlation coefficients of stock markets. The degree of correlation is based on Pearson correlation coefficient. At the beginning, our analysis consists of measuring correlation by using a 1-year time window. Especially we were interested into, how correlation has changed in crisis, that appeared in the past 30 years. Furthermore we analyze the impact of the financial development degree on correlation coefficients of stock markets. Our focus has been given on comparing the impact on developed countries and countries under development. The second step of this part consists of smaller groups of countries, which were separated according to their geographic closeness. Our last part is related to identify the impact of fundamental factors of stock market development and their relationship to the Growth of GDP per capita in several groups of countries.
Keywords:	stock market, contagion theory, financial crisis, Pearson correlation coefficient, developed countries, developing countries, synchronization, GDP growth, liquidity, market capitalization, turnover ratio, stock market development.

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