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Evaluating Croatian stock index forecasts

Author

Listed:
  • Silvija Vlah Jerić

    (Faculty of Economics and Business Zagreb)

  • Mihovil Anđelinović

    (Faculty of Economics and Business Zagreb)

Abstract

This paper reports findings from a study that has collected data on the expectations of Croatian stock market participants regarding the future level of the Croatian equity index CROBEX. The data are described and analyzed as a three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The results suggest that the panel under study has not been rational in predicting the index values. Forecasters tend to be biased, with a general tendency to overpredict the real index values in the sampled period. Some forecasters fail the test of efficiency by having a correlation between the forecast error and the past CROBEX value or Croatia’s industrial production which was known to the forecaster at the time the forecast was made. Also, there is considerable individual heterogeneity. The framework used for analyzing the panel data also provided the means to distinguish between shocks and anticipated changes and to calculate them, as well as to calculate the implied volatility measures.

Suggested Citation

  • Silvija Vlah Jerić & Mihovil Anđelinović, 2019. "Evaluating Croatian stock index forecasts," Empirical Economics, Springer, vol. 56(4), pages 1325-1339, April.
    • Handle: RePEc:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1393-4
    DOI: 10.1007/s00181-017-1393-4
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    More about this item

    Keywords

    Forecast surveys; Three-dimensional panel; Stock index expectations; Forecast bias; Forecast efficiency;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

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