Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa (Comparative Analysis of European Capital Market and Dow Jones Industrial Average Index)

RiM Konferencija - zbornik znanstvenih radova, 2014

19 Pages Posted: 17 Aug 2020

See all articles by Bojan Tomić

Bojan Tomić

EFFECTUS University College for Law and Finance

Date Written: June 5, 2014

Abstract

Croatian Abstract: Racionalni pristup investiranju očituje se kroz ostvarivanje što većeg prinosa za danu razinu rizika, odnosno ostvarivanje danog prinosa uz prihvaćanje što manje razine rizika. U procesu investiranja, investitorima se nameće pitanje učinkovite diversifikacije kao nužan preduvjet u ostvarenju svog cilja. Ekonomska kriza u širem smislu, koja se 2007. godine dogodila u SAD-u, generirala je i ekonomsku krizu na području eurozone, odnosno krizu na globalnoj razini. Industrijsko-financijska povezanost SAD-a i Europe doprinijela je bržem „razvoju“ krize te kao uzročno posljedičnu vezu širenju krize i na tržišta kapitala u Europi. Budući da se već postojanjem ekonomske povezanosti potvrđuje njihova međuovisnost, postavlja se pitanje u kojoj se mjeri i koliko točno može opisati utjecaj SAD-a na europsko tržište kapitala. Svrha ovog rada je ustanoviti, kvantificirati i opisati utjecaj, odnosno korelaciju između vodećeg američkog Dow Jones Industrial Average (DJIA) indeksa i europskog tržišta kapitala. U tu svrhu, europsko tržište kapitala je predstavljeno kao optimalni rizični portfelj kreiran od deset odabranih dioničkih indeksa EU-a te je prikazan u obliku europskog tržišnog indeksa. Konačno, modelom jednostavne linearne regresije ustanovljena je značajna zavisnost kreiranog europskog indeksa u odnosu na DJIA indeks što ukazuje da je s visokim postotkom pouzdanosti moguće predvidjeti i objasniti kretanje vrijednosti europskog tržišta kapitala na osnovu promjene vrijednosti DJIA indeksa.

English Abstract: A rational approach to investing is manifested through the realization of a higher yield for a given level of risk, and the realization of a given yield by accepting lower risk levels. Through the investment process, the question that is brought to investors’ attention is the importance of effective diversification as a necessary prerequisite for successful goal achievement. Generally speaking, economic (financial) crisis that originally started in the USA in 2007 helped generating the economic crisis in the Eurozone and then globally. Industrial and financial connection between the U.S. and Europe has contributed to the rapid “development” of the crisis and a causal relationship and the spread of the crisis across European capital market. Since the close economic connection already indicates the interdependence between U.S. and European markets, the question is: How large is the influence that the USA has over the European capital and what are the appropriate ways to measure and describe that influence. The purpose of this study is to identify, quantify and describe the impact, and the correlation between the leading U.S. Dow Jones Industrial Average (DJIA) index and European capital markets. In this case, the European capital market is presented as an optimal risk portfolio created from ten selected EU equity indices of and is shown in the form of a European market index. Finally, simple linear regression demonstrated significant dependence of the created European index upon the DJIA index, which indicates that there is a high probability that we can predict and demonstrate how DJIA index value changes affect on European capital market movements.

Note: Downloadable document available in Croatian.

Keywords: Optimization of the Portfolio, the Correlation Coefficient, Coefficient of Determination, Linear Regression, Slope – Beta

JEL Classification: G11, G12, G15

Suggested Citation

Tomić, Bojan, Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa (Comparative Analysis of European Capital Market and Dow Jones Industrial Average Index) (June 5, 2014). RiM Konferencija - zbornik znanstvenih radova, 2014, Available at SSRN: https://ssrn.com/abstract=3632932

Bojan Tomić (Contact Author)

EFFECTUS University College for Law and Finance ( email )

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