Modeling stock market volatility in Croatia: A reappraisal
Purpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model. Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, St...
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| Format: | Article |
| Language: | English |
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Faculty of Economics and Business in Osijek
2021-01-01
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| Series: | Ekonomski Vjesnik |
| Subjects: | |
| Online Access: | https://hrcak.srce.hr/file/392364 |
| _version_ | 1797332521276407808 |
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| author | Hrvoje Jošić Berislav Žmuk |
| author_facet | Hrvoje Jošić Berislav Žmuk |
| author_sort | Hrvoje Jošić |
| collection | DOAJ |
| description | Purpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model.
Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, Student’s-distribution with fixed degrees of freedom and generalized error distribution (GED) with fixed parameters).
Results: The findings obtained in the research are in the line with previous research in this field (Erjavec & Cota, 2007; Sajter & Ćorić, 2009). The volatility of CROBEX returns is positively correlated with the volume of trade on the Zagreb Stock Exchange and movements on the main European and American stock markets. The movement of S&P 500 stock market index returns is transmitted from the previous day, providing signals for the direction of change of CROBEX index returns in the present.
Conclusion: Therefore, this paper provides evidence that investors in Croatia strongly rely on the past information received from the American S&P500 stock market index. Furthermore, there seems to exist the co-movement between CROBEX and main European indexes on the same trading day. |
| first_indexed | 2024-03-08T07:50:06Z |
| format | Article |
| id | doaj.art-ac22b3f85d2f439b8f1494262dcbe72b |
| institution | Directory Open Access Journal |
| issn | 0353-359X 1847-2206 |
| language | English |
| last_indexed | 2024-03-08T07:50:06Z |
| publishDate | 2021-01-01 |
| publisher | Faculty of Economics and Business in Osijek |
| record_format | Article |
| series | Ekonomski Vjesnik |
| spelling | doaj.art-ac22b3f85d2f439b8f1494262dcbe72b2024-02-02T14:51:46ZengFaculty of Economics and Business in OsijekEkonomski Vjesnik0353-359X1847-22062021-01-01342431442Modeling stock market volatility in Croatia: A reappraisalHrvoje Jošić0Berislav Žmuk1University of Zagreb, Faculty of Economics and Business, Zagreb, CroatiaUniversity of Zagreb, Faculty of Economics and Business, Zagreb, CroatiaPurpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model. Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, Student’s-distribution with fixed degrees of freedom and generalized error distribution (GED) with fixed parameters). Results: The findings obtained in the research are in the line with previous research in this field (Erjavec & Cota, 2007; Sajter & Ćorić, 2009). The volatility of CROBEX returns is positively correlated with the volume of trade on the Zagreb Stock Exchange and movements on the main European and American stock markets. The movement of S&P 500 stock market index returns is transmitted from the previous day, providing signals for the direction of change of CROBEX index returns in the present. Conclusion: Therefore, this paper provides evidence that investors in Croatia strongly rely on the past information received from the American S&P500 stock market index. Furthermore, there seems to exist the co-movement between CROBEX and main European indexes on the same trading day.https://hrcak.srce.hr/file/392364stock market volatilityGARCH (1,1)American and European stock marketsCroatia |
| spellingShingle | Hrvoje Jošić Berislav Žmuk Modeling stock market volatility in Croatia: A reappraisal Ekonomski Vjesnik stock market volatility GARCH (1,1) American and European stock markets Croatia |
| title | Modeling stock market volatility in Croatia: A reappraisal |
| title_full | Modeling stock market volatility in Croatia: A reappraisal |
| title_fullStr | Modeling stock market volatility in Croatia: A reappraisal |
| title_full_unstemmed | Modeling stock market volatility in Croatia: A reappraisal |
| title_short | Modeling stock market volatility in Croatia: A reappraisal |
| title_sort | modeling stock market volatility in croatia a reappraisal |
| topic | stock market volatility GARCH (1,1) American and European stock markets Croatia |
| url | https://hrcak.srce.hr/file/392364 |
| work_keys_str_mv | AT hrvojejosic modelingstockmarketvolatilityincroatiaareappraisal AT berislavzmuk modelingstockmarketvolatilityincroatiaareappraisal |