doktorska disertacija
Uroš Vek (Avtor), Tanja Markovič-Hribernik (Mentor), Timotej Jagrič (Komentor)

Povzetek

Pri investiranju v finančne instrumente so vlagatelji, regulatorji trga in zainteresirana javnost po svetovno finančni krizi v ospredje postavili obvladovanje tveganj kapitalskih trgov. Tveganje je opredeljeno kot negotov izid investiranja, ki je posledica spremembe cen finančnih instrumentov. Modeli in pristopi na področju analiziranja nestanovitnosti, ki so bili predmet razvoja in znanstvenega raziskovanja finančne stroke, so bili raznoliki. V disertaciji obravnava temelji na proučevanju preteklih gibanj nestanovitnosti, t.i. ARCH in GARCH modelih. Disertacija predstavlja doprinos k obstoječi literaturi na področju empiričnega preverjanja nestanovitnosti. V literaturi so države v razvoju obravnavane zgolj parcialno (posamezne države) in ne obstajajo študije, ki nestanovitnost obravnavajo sistematično kot skupino držav s podobnimi karakteristikami. Kot doprinos disertacije štejemo tudi sklepe o primernosti uporabe GARCH modelov za ocenjevanje in analizo nestanovitnosti posameznih delniških indeksov v različnih obdobjih več ekonomsko-finančnih kriz. Ključna teza te disertacije je preverjanje splošnega prepričanja, da so delniški trgi držav v razvoju bolj volatilni od razvitih delniških trgov v času kriz. Med razlogi lahko izpostavimo nižjo likvidnost delniškega trga in večje nihanje poslovnih rezultatov podjetij. Na podlagi ugotovljenih parametrov nestanovitnosti smo preverili, ali razviti delniški trgi v različnih krizah še ohranjajo lastnost nižje volatilnosti. Ugotovili smo, da ne moremo potrditi teze višje volatilnosti delniških trgov v razvoju v času ekonomsko-finančnih kriz. Podrobnejša analiza razkriva, da lahko višjo nestanovitnost povežemo z geografskim območjem izvora krize. Izvor krize je določal višjo volatilnost delniških indeksov. V primeru svetovne finančne krize so tako razviti kot razvijajoči trgi imeli višjo volatilnost, vendar je bila rast višja na razvitih trgih, od koder je kriza izvirala. Prispevek disertacije se kaže tudi na makro in mikroekonomskem nivoju. Makroekonomska politika držav, ki so imele najnižjo volatilnost delniških trgov v času svetovne finančne krize, je bila diametralno različna. Na eni strani ekonomska politika popolne trgovinske in finančne odprtosti ter na drugi strani koncept odprte trgovinske in relativno zaprte finančne politike. Disertacija na mikroekonomski ravni išče odgovora na vprašanje, ali globalna razpršenost portfelja finančnih naložb v luči finančne integracije in iz zornega kota kriz zagotavlja ustrezen nivo diverzifikacije ter kakšen je vpliv diverzifikacije na tveganje portfelja. Učinkovitost mednarodne diverzifikacije je najbolj izrazita pri nepremičninskem portfelju razvitih držav.

Ključne besede

finančni trg;delniški trg;donos;finančna kriza;nestabilnost;tehnološki balon;države v razvoju;disertacije;

Podatki

Jezik: Slovenski jezik
Leto izida:
Tipologija: 2.08 - Doktorska disertacija
Organizacija: UM EPF - Ekonomsko-poslovna fakulteta
Založnik: U. Vek]
UDK: 336.76:338.124.4(043.3)
COBISS: 12098844 Povezava se bo odprla v novem oknu
Št. ogledov: 1272
Št. prenosov: 166
Ocena: 0 (0 glasov)
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Ostali podatki

Sekundarni jezik: Angleški jezik
Sekundarni naslov: Volatility analysis of developed and emerging stock markets during the economic-financial srisis
Sekundarni povzetek: The world financial crisis has made the investors and the regulators bring risk management to the forefront of investing in the financial instruments. Risk is defined as the uncertain outcome of the investment as a result of changes in the prices of the financial instruments. Models and approaches to analyze volatility, which have been the subject of scientific research and the development of financial doctrine, were diverse. The dissertation uses models based on the studies of past trends in volatility, the ARCH and the GARCH models. This dissertation presents a valuable contribution to the existing literature in the field of empirical verification of volatility. In the existing literature, emerging countries are only partially addressed (country-specific) and there are no studies adressing the systematic volatility of emerging markets as a region with common characteristics. The dissertation also contributes findings about the suitability of using the GARCH models for assessing and analyzing the volatility of individual stock indices in different periods of several economic and financial crises. The key thesis of this dissertation is to test the common belief that the emerging stock markets are more volatile than the developed ones during the economic and financial crises. One of the reasons for this thesis may be the exposition to lower liquidity in a stock market and the high volatility of business performance of enterprises. Based on the identified parameters of volatility we tested if the developed stock markets still have the feature of lower volatility in various crises. Our conclusion is that we can not confirm the thesis of higher volatility of emerging equity markets during the economic and financial crisis. More detailed analysis reveals that higher volatility may be linked to the geographical area of the crisis' origin. Its origin provided a higher volatility in stock market indices. In the case of the world financial crisis, both, developed as well as emerging stock markets experienced higher volatility. However, growth of volatility was higher in the developed markets, where the crisis originated. The importance of this dissertation is reflected in the macro- and microeconomic implications. Macroeconomic policy of countries that had the lowest volatility in the equity markets during the global financial crisis was diametrically opposed. On the one hand, the economic policy of a complete trade and financial openness and on the other, the concept of open trade and relatively closed financial markets policy. Microeconomic implications of the thesis are reflected in the answer to the question of whether a global diversification of investment portfolio in light of the financial integration from the perspective of crisis provides an appropriate level of diversification and the impact of diversification on portfolio risk. The effectiveness of an international diversification is most pronounced in the portfolio of real estate indices of the emerging countries.
Sekundarne ključne besede: volatility;Asian financial crisis;Dot-com bubble;World financial crisis;ARCH;GARCH;developed stock markets;emerging stock markets;
URN: URN:SI:UM:
Vrsta dela (COBISS): Doktorska disertacija
Komentar na gradivo: Univ. v Mariboru, Ekonomsko-poslovna fak.
Strani: 244 str.
ID: 8752665