Pregled bibliografske jedinice broj: 1207755
Contribution to testing the efficiency of the Croatian capital market
Contribution to testing the efficiency of the Croatian capital market // Economic and Social Development (Book of Proceedings), 84th International Scientific Conference on Economic and Social Development / Ružić, Vlatka ; Šutić, Branislav ; Učkar, Dean (ur.).
Plitvička jezera: Varaždin Development and Entrepreneurship Agency / University North / Polytechnic "Nikola Tesla" in Gospić / Faculty of Management University of Warsaw / Faculty of Law, Economics and Social Sciences Sale - Mohammed V University in Rabat / Polytechnic of Međimurje in Čakovec, 2022. str. 37-47 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
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Naslov
Contribution to testing the efficiency of the
Croatian capital market
Autori
Učkar, Dean
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Economic and Social Development (Book of Proceedings), 84th International Scientific Conference on Economic and Social Development
/ Ružić, Vlatka ; Šutić, Branislav ; Učkar, Dean - Plitvička jezera : Varaždin Development and Entrepreneurship Agency / University North / Polytechnic "Nikola Tesla" in Gospić / Faculty of Management University of Warsaw / Faculty of Law, Economics and Social Sciences Sale - Mohammed V University in Rabat / Polytechnic of Međimurje in Čakovec, 2022, 37-47
Skup
84th International Scientific Conference Economic and Social Development (ESD 2022)
Mjesto i datum
NP Plitvička jezera, Hrvatska, 17.06.2022. - 18.06.2022
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
Croatian capital market, efficient market hypothesis, security market line
Sažetak
The research conducted in this article analyzes the Efficient Market Hypothesis (EMH) on the Croatian capital market for a period of one year. Data on a weekly basis from March 2021 to March 2022 from the Zagreb Stock Exchange for 47 liquid shares were used. In order to prove the hypothesis, the Security Market Line (SML) model was used, which was calculated in three different variants: general model with coverage of all shares, sector model with coverage of shares in sector indices, and branch model with coverage of shares depending on the companies primary activity. Through the implementation of ANOVA analysis and F test, deviations of the realized yield rates from the theoretical yield values that should be achieved using the SML mode were analyzed. In all three cases, the statistical insignificance of the SML model was proven, ie. its inapplicability. This also proves the existance of a weak form of EMH, since the impossibility of applying the SML model also indicates a position in which no investor can develop a strategy in which he/she can continuously achieve above-average returns.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
