Naslov
Evaluating Croatian stock index forecasts

Autori
Vlah Jerić, Silvija ; Anđelinović, Mihovil

Izvornik
Empirical economics (0377-7332) 56 (2018); 1325-1339

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

Ključne riječi
Forecast surveys ; Three-dimensional panel ; Stock index expectations ; Forecast bias ; Forecast efficiency

Sažetak
This paper reports findings from a study that has collected data on the expec-tations of Croatian stock market participants regarding the future level of the Croatianequity index CROBEX. The data are described and analyzed as a three-dimensionalpanel with multiple individual forecasters, target years, and forecast horizons. Theresults suggest that the panel under study has not been rational in predicting the indexvalues. Forecasters tend to be biased, with a general tendency to overpredict the realindex values in the sampled period. Some forecasters fail the test of efficiency by hav-ing a correlation between the forecast error and the past CROBEX value or Croatia’sindustrial production which was known to the forecaster at the time the forecast wasmade. Also, there is considerable individual heterogeneity. The framework used foranalyzing the panel data also provided the means to distinguish between shocks andanticipated changes and to calculate them, as well as to calculate the implied volatilitymeasures.

Izvorni jezik
Engleski

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