Naslov
The Crisis Breaks Analysis on Developed Stock Markets

Autori
Aljinović, Zdravka ; Pivac, Snježana ; Tomić-Plazibat, Neli

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

Izvornik
Book of Abstracts of the 58th ISI Word Statistics Congress, Full text on USB stick: 58th ISI Word Statistics Congress / - , 2011, 1-11

Skup
58th ISI Word Statistics Congress

Mjesto i datum
Dublin, Irska, 21.08.2011. - 26.08.2011

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Developed stock markets; Financial crisis; Statistical analysis; Return and risks

Sažetak
The statistical mathematical analysis is applied on capital market indices and their constituents of developed stock markets in order to investigate pre-crisis and actual conditions and trends. The representatives of developed stock markets are Japanese stock market in Asia, American stock market and German stock market in Europe. This paper examines are there differences or/and similarities between these markets in pre-crisis periods (from January 2006 to Bubble Crush in July 2007 and from August 2007 to August 2008) as well as their ‘response’ on actual global financial crisis (the time period from Lehman Shock in September 2008). Firstly, the paper gives the statistical analysis of relevant stock market indices by correlation coefficients, one-way analysis of variance and nonparametric Kruskal-Wallis test, for three observed periods. In order to investigate the relation and trends of returns and risks in these markets, in the rest of the paper, using modern portfolio theory, the efficient frontiers are estimated for each market followed by comparative analysis. Both approaches give a complete picture of trends on developed stock markets in global recession environment. The paper offers comprehensive statistical mathematical analysis of conditions, trends and relations on three world leading stock markets in pre-crisis and crisis periods. The analysis consists of vertical and horizontal characteristics: it investigates behaviour of stock indices in changed conditions, i.e. from pre-crisis to crisis environment ; and also specifies the similarities and/or differences between observed indices in the specific time period. The contribution of the paper is not only in scientifically confirmed expected results in terms of relations and movements on observed stock markets, but also in very precise and reliable measurements of the main variables which characterise the stock market conditions. The results enable qualitative base for financial analysts and potential investors in accordance to their individual utility function, i.e. profit/risk preference.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA