Determinante razvoja delniških trgov v tranziciji

magistrsko delo

Domen Solina (Author), Sebastjan Strašek (Mentor), Timotej Jagrič (Co-mentor)

Abstract

Razvoj delniškega trga v državah tranzicije je odvisen od številnih makroekonomskih in mikroekonomskih faktorjev. Proces preoblikovanja iz centralno planskega v tržno gospodarstvo, je za številne države predstavljal osrednji izziv na gospodarskem področju. Predvsem preoblikovanje oz. privatizacija državnih družb, je pravzaprav pomenila začetek borznega trgovanja v državah tranzicije. Številni posamezniki so tako pridobili lastniške deleže v pomembnih domačih poslovnih družbah, s katerimi se je začelo trgovati na organiziranih trgih ali borzah. Za poslovne subjekte pa je vendarle najpomembnejši vir financiranja predstavljal bančni sektor oz. medbančni trg, ki je predstavljal osrednjo vlogo pri razvoju borznih trgov v Evropi, medtem ko so v ZDA to vlogo prevzeli kapitalski trgi. Zato je stopnja razvitosti bančnega sistema v državah tranzicije temeljnega pomena in bistveno zaznamuje začetek razvoja posameznega borznega trga. V magistrski nalogi smo opredelili temeljne dejavnike razvoja delniških trgov skozi zgodovino, ki so pozitivno povezani z rastjo BDP-ja na prebivalca v posamezni državi. S preučevanjem stopnje koncentracije smo nato preverili homogenost in posledično konkurenčnost borznega trga v državah tranzicije. Predvsem nas je zanimalo primerjava najrazvitejših trgov in trgov v tranziciji glede na vlogo, ter posledičen vpliv največjih družb (TOP 5 – tržna kap.), ki kotirajo na borznem trgu posamezne države. Stopnjo povezanosti smo prikazali s Pearsonovim koeficientom korelacije, kjer smo primerjali donosnost borznih indeksov v obdobju konjunkture in obdobju finančne krize. S pomočjo Gaussove krivulje smo nato v obliki histogramov prikazali donosnost borznih indeksov v obeh obdobjih. V zadnjem delu naloge smo se posvetili tveganju in institucijskim dejavnikom tveganja na ravni države. Tveganje za posamezne borzne indekse smo opredelili z metodo VaR (ang. Value at Risk), kjer smo analizirali obdobje pred in med finančno krizo. Za posamezne borzne indekse smo pridobili vrednosti pri 99 %, 95% in 90% intervalu zaupanja.

Keywords

finančni trg;trg vrednostnih papirjev;delnice;borze;donos;tveganje;tranzicija;

Data

Language:	Slovenian
Year of publishing:	2012
Source:	Maribor
Typology:	2.09 - Master's Thesis
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	[D. Solina]
UDC:	336.761
COBISS:	11140124
Views:	1721
Downloads:	173
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	ǂThe ǂdeterminants of equity market development in transition economies
Secondary abstract:	Development of a stock market in the transition countries depends on many macro and microeconomic factors. The transformation process from a central planned to a market economy was the main challenge in the economic field for a number of countries. The transformation, e. g. privatisation of state companies was the beginning of stock market in transition countries. A number of individuals have acquired stakes in significant domestic companies, which became means of trading on regulated markets or stock exchanges. For businesses, however, the most important source of funding was a banking sector, e. g. an interbank market, which represented a central role in the development of stock markets in Europe, while in the U. S. that role was taken over by capital markets. Therefore, the development rate of the banking system in transition countries is fundamental and essential for the development of each stock market. In our master paper we identified the fundamental factors of development of stock markets in history, which are positively related to the growth of GDP per capita in each country. By examining the degree of concentration, we also tested for the homogeneity and, consequently, the competitiveness of the stock market in transition countries. Above all, we wanted to compare the most developed markets and markets in transition to the role, and the consequent impact of the largest companies (TOP 5 – market capitalization), which are listed on the stock market of each country. The degree of correlation was based on a Pearson correlation coefficient. By analysing index returns for two periods (before and between financial crisis), we compute results in histograms and show rank correlation for stock indexes. The last part of our paper was given to risk and institutional factors of risk. The VaR (Value at Risk) method allowed us to define basic risks for each stock index before and between crisis period. We calculated the level of degree at 99 %, 95 % and 90 % confidence interval.
Secondary keywords:	markets in transition;stock market;stock exchange;stock index;stock market;rank correlation;Pearson rank correlation;returns;concentration;risk;Value at Risk (VaR);institutional factors of risk;ICRG;PRS;financial crisis;DAX and VaR.;
Type (COBISS):	Master's thesis/paper
Thesis comment:	Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages:	70 f., 17 f. pril.
Keywords (UDC):	social sciences;družbene vede;economics;economic science;ekonomija;ekonomske vede;finance;finance;money;monetary system;banking;stock exchanges;denar;monetarni sistem;bančništvo;borzništvo;
ID:	1019049