Naslov
Do Oil Prices Affect Croatian Stock Market?

Autori
Lolić Čipčić, Marina ; Pavić Kramarić, Tomislava ; Miletić, Marko

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

Izvornik
Gospodarstvo istočne Hrvatske – vizija i razvoj, Economy of eastern Croatia – vision and growth / Mašek Tonković, Anka - Osijek : Ekonomski fakultet Sveučilišta Josipa Jurja Strossmayera u Osijeku, 2017, 1083-1092

Skup
6. međunarodni znanstveni simpozij Gospodarstvo istočne Hrvatske – vizija i razvoj

Mjesto i datum
Osijek, Hrvatska, 25.05.2017. - 27.05.2017

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
oil prices, CROBEX, capital market, nominal effective exchange rate

Sažetak
The impact of oil prices on capital markets usually implies that the increase of oil prices results in increased input costs at the microeconomic-company level, thereby reducing profits. Also, if oil prices increase, consumers will spend more of their income on petroleum products thereby reducing the share of consumption on other goods. As a consequence, profits fall, as well as company share values. When it comes to spending on petroleum products, income elasticity is higher than price elasticity, so strong economic activity can result in growth of company profits and their share values even if oil prices rise. The existing literature on the subject does not indicate a single conclusion ; sometimes there is a negative correlation between oil prices and capital markets, sometimes there is none. The aim of the paper, using data on the CROBEX as the official index of the Zagreb Stock Exchange and oil prices data, is to examine whether there is a statistically significant relationship between oil prices and the movement of the Croatian capital market. In an effort to thoroughly check the direction and the nature of oil prices influence on the Croatian capital market, we used several different indicators of oil prices, to take cognizance of the possible significance of the volatility of oil prices or the effect of surprise, and possible differences in the nature of the impact of oil prices on the capital market depending on whether oil prices rise or fall. The paper also uses two additional variables ; the exchange rate, introduced by the nominal effective exchange rate variable, and the industrial production index as a proxy for gross domestic product (GDP), for GDP information are published on a quarterly basis. The model uses monthly data for the period from 01/2000 to 12/2015, for this data frequency was considered optimal in terms of being able to detect the possible impact of explanatory variables on the movement of Zagreb Stock Exchange index - CROBEX. VAR(Vector Auto Regression) methodology was employed in order to detect the possible capital market reaction to the explanatory variables with a time lag.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA