Pregled bibliografske jedinice broj: 778108
Time varying CAPM betas on Zagreb Stock Exchange
Time varying CAPM betas on Zagreb Stock Exchange // Proceedings of the 13th International Symposium on Operational Research / Zadnik Stirn, L. ; Žerovnik, J. ; Kljajić Borštnar, M. ; Drobne, S. (ur.).
Ljubljana: Slovensko društvo informatika, 2015. str. 413-418 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 778108 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Time varying CAPM betas on Zagreb Stock Exchange
Autori
Škrinjarić, Tihana
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the 13th International Symposium on Operational Research
/ Zadnik Stirn, L. ; Žerovnik, J. ; Kljajić Borštnar, M. ; Drobne, S. - Ljubljana : Slovensko društvo informatika, 2015, 413-418
ISBN
978-961-6165-45-7
Skup
The 13th International Symposium on Operational Research in Slovenia
Mjesto i datum
Bled, Slovenija, 23.09.2015. - 25.09.2015
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
CCC and DCC GARCH; Zagreb Stock Exchange; CAPM; time varying beta; stocks
Sažetak
This paper employs a CCC GARCH(1, 1) model in order to identify the volatility dynamics of stock market and sector indices on Zagreb Stock Exchange. Time varying CAPM betas are estimated in order to test whether portfolio formation based on the results can enhance portfolio performance. Based upon data on 5 sector indices from January 2nd 2012 to May 15th 2015, the results indicate that time varying betas should be taken into account when forming portfolios.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
