Naslov
Estimating temporary and permanent stock price innovations on Croatian capital market

Autori
Škrinjarić, Tihana ; Šego, Boško

Izvornik
Croatian operational research review (1848-0225) 5 (2014), 1; 25-33

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
temporary and permanent stock innovations; stock market; structural VAR; random walk hypothesis

Sažetak
This paper evaluates the size and duration of temporary and permanent stock price innovations on Croatian capital market in the structural VAR (vector autoregression) framework with Blanchard and Quah (1989) decomposition. The purpose is to identify the effects of temporary price innovations in order to determine to which extent future stock prices can be predicted. Temporary components present in stock prices are explained throughout the mean-reversion hypothesis. This means that stock prices deviate from the fundamental values, but they will revert to their mean. In that way, it is possible to predict future price movements to some extent. The results show that for the observed period from January 2000 to September 2013, temporary innovations account for only 2.62% of price variability over a two year horizon. This means that forecasting future movements of stock prices on Zagreb Stock Exchange is a difficult matter.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA