Naslov
Modelling Volatility of Individual Stock on Zagreb Stock Exchange

Autori
Laća, Stjepan ; Miletić, Marko ; Andrijašević, Anđela

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of 5th Conference Contemporary Issues in Economics and Technology – CIET 2022 / Buljan Barbača, Domagoja ; Miletić, Marko - Split : Sveučilišni odjel za stručne studije Sveučilišta u Splitu, 2022, 61-68

ISBN
978-953-7220-70-9

Skup
5th Conference Contemporary Issues in Economics and Technology (CIET 2022)

Mjesto i datum
Valencia, Španjolska, 16.06.2022. - 17.06.2022

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
stock, volatility, business performance

Sažetak
Stock market and understanding of variables that impact its performance is one of the most researched topics in finance. Historical data of stock performance can serve as a guide for stock investments and potential returns that can be achieved in the future. Besides potential return other important measure is risk of investment. Risk of investment is usually measured by security`s price volatility which can be defined as the price of security increase or decrease for a given set of returns. The most used measure of volatility of a security is standard deviation which is defined as a measure of dispersion of the probability of an event around its mean. Previous papers on stock volatility on Zagreb Stock Exchange (ZSE) explored volatility of Crobex index and the way it gets influenced by the movement of the international financial markets and volume of traded stocks. The aim of this paper is to research variables that have impact on volatility of an individual stock. Variables included in research are: market movement (Crobex index), presence of stock market maker, presence of dividend payout, volume traded of individual stock, Net Financial Debt (NFD)/ EBITDA ratio, Price to Earnings (P/E) ratio, Enterprise Value (EV)/EBITDA ratio, Return on Equity (ROE) ratio, Operating margin ratio and yearly revenue percent change. Research is done on data of companies included in the official stock index of the Zagreb stock exchange, Crobex (19 company was included on 31 December 2021) from 2010 to 2019 (before Covid-19 pandemic). The data was taken from the Zagreb Stock Exchange website and from Thomson Reuters database where all data for selected companies necessary for this paper were collected.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA