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master's thesis
Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala
Zagreb: University of Zagreb, Faculty of Economics and Business, 2021. urn:nbn:hr:148:731964
Mehić, Jasmina
University of Zagreb
Faculty of Economics and Business

Institutional repository: REPEFZG

Cite this document

Mehić, J. (2021). Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:731964

Mehić, Jasmina. "Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2021. https://urn.nsk.hr/urn:nbn:hr:148:731964

Mehić, Jasmina. "Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2021. https://urn.nsk.hr/urn:nbn:hr:148:731964

Mehić, J. (2021). 'Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 03 April 2025, https://urn.nsk.hr/urn:nbn:hr:148:731964

Mehić J. Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2021 [cited 2025 April 03] Available at: https://urn.nsk.hr/urn:nbn:hr:148:731964

J. Mehić, "Model procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:148:731964

Metadata
TitleModel procjenjivanja kapitalne imovine uz promjene režima na hrvatskom tržištu kapitala
Title (english)Regime-switching Capital Asset Pricing Model on Croatian Stock Market
AuthorJasmina Mehić
MentorKrunoslav Puljić (mentor)
Committee memberDavor Zoričić (predsjednik povjerenstva)
Committee memberDenis Dolinar (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
Zagreb
Defense date and country2021-09-21, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract
Model procjenjivanja kapitalne imovine pretpostavlja linearnu vezu između rizika i očekivanog prinosa. Međutim, u ovom radu će se analizirati dinamičan model procjenjivanja kapitalne imovine na hrvatskom tržištu kapitala u kojemu je pretpostavljena promjenjivost bete kao mjere sistemskog rizika, te model s promjenjivom betom, alfom i varijancom. Cilj rada je empirijski ispitati navedene modele uz promjenjive režime na Zagrebačkoj burzi. Rad je u svojim počecima opisnog karaktera, ali se u... More konačnici dolazi do statističkih metoda te metode analize radi empirijskim ispitivanja. Za hrvatsko tržište kapitala pogodnije je koristiti nelinearan model procjenjivanja kapitalne imovine. Za većinu analiziranih dionica Zagrebačke burze preporuča se korištenje modela s manjim ograničenjima, tj. model u kojemu su promjenjive beta, Jensenova alfa i varijanca. U konačnici, hrvatsko tržište kapitala je nedovoljno razvijeno, neatraktivno i nelikvidno. Stoga se preporuča korištenje navedenog modela kako bi izbjegao barem dio anomalija tržišta. Less
Abstract (english)
The Capital Asset Pricing Model assumes a linear relationship between risk and expected return. However, this paper will observe dynamic Capital Asset Pricing Model on Croatian capital market in which beta varies over time as a systematic risk measure and a variable beta model together with alpha and variance. The aim of this paper is to empirically examine these models with regime-switching on the Zagreb Stock Exchange. The paper is descriptive in its beginnings, but ultimately we get... More to statistical methods and methods of analysis for empirical research. For the Croatian capital market, it is more convenient to use a nonlinear Capital Asset Pricing Model. For most of the analyzed shares of the Zagreb Stock Exchange, it is recommended to use a model with minor restrictions, i.e. a model in which beta, Jensen's alpha and variance vary over time. Ultimately, the Croatian capital market is underdeveloped, unattractive and illiquid. Therefore, it is recommended to use the above model to avoid at least part of the market anomaly. Less
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:731964
Study programmeTitle: Business Economics
Study programme type: university
Study level: integrated undergraduate and graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2021-09-23 16:58:06
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