Naslov
Difference Estimation between Old - Well Established and European New - Fast Growing Capital Markets

Autori
Aljinović, Zdravka

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni

Izvornik
Abstract Book of the 8th International Conference on Operations Research ICOR2008 / - Havana, 2008

Skup
8th International Conference on Operations Research ICOR 2008

Mjesto i datum
Havana, Kuba, 25.02.2008. - 29.02.2008

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
new and growing capital markets; established markets; statistical analysis; modern portfolio theory; efficient frontiers

Sažetak
This paper analyses are there differences or/and similarities between old and well established and European new and fast growing capital markets. Firstly, the paper gives the statistical analysis of relevant capital market indices by correlation coefficients, univariante analysis of variance and nonparametric Mann-Whitney U-test and Kruskal-Wallis test. Using modern portfolio theory the efficient frontiers are estimated for each market in analysis. Comparative analysis of results shows significant difference between two groups of markets and significant similarities inside each group. The study is made for American, English, French and German capital markets as developed markets and for Croatian, Slovenian and Czech capital markets as transition European markets. Pearson correlation indices coefficients show that there are huge and significant correlations between developed market indices, while in the group of undeveloped markets there are week correlations between indices. Similar conclusions can be derived according to non-parametric Spearman correlation coefficients of the indices change rates. Univariante analysis of variance confirms that there are significant difference between trends on well established on one side and new transitional capital markets on other side, considering Levene statistic test of homogeneity of indices variances. Furthermore, Kruskal-Vallis test shows that there is no significant difference in trends of the indices change rates in the "developed" group as well as in the "undeveloped" group. Efficient frontiers show the wider range of returns and risk in the group of new and growing capital markets, while established markets offers lower values of return but with significantly lower level of risk.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA