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Kalendarski učinci na Zagrebačkoj burzi

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  • Mislav

Abstract

U radu se istražuje kalendarski efekt na Zagrebačkoj burzi (ZSE) analizom prinosa indeksa CROBEX i CROBIS u razdoblju od rujna 2003. do ožujka 2025. Ispituje se predviđaju li sustavne razlike u prinosima između dionica i obveznica na početku mjeseca korekcije prinosa na kraju mjeseca. Za testiranje ove hipoteze koristi se regresijska analiza u i simulirana investicijska strategija. Rezultati pokazuju negativnu povezanost između razlika prinosa u prvoj i zadnjoj trećini mjeseca, što potvrđuje postojanje kalendarskog efekta rebalansiranja. Investicijska strategija ostvaruje znatno bolje rizikom prilagođene prinose, s Sharpeovim omjerom dvostruko većim od strategije „kupi i drži“ CROBEX indeks. Robusnost rezultata potvrđena je analizom osjetljivosti na vremenski okvir rebalansa, pri čemu se najbolji rezultati postižu upravo pet dana prije kraja mjeseca. Suprotno tome, placebo test s rebalansiranjem početkom mjeseca pokazuje slabije rezultate, što sugerira da je efekt vezan uz institucionalne aktivnosti krajem mjeseca. Dobiveni nalazi pružaju uvid u vremensku osjetljivost strategija rebalansiranja i ukazuju na mogućnosti poboljšanja prinosa na tržištima u nastajanju.

Suggested Citation

  • Mislav, 2025. "Kalendarski učinci na Zagrebačkoj burzi," Croatian Review of Economic, Business and Social Statistics, Croatian Statistical Association, vol. 11(1), pages 81-98.
    • Handle: RePEc:cro:crebss:v:11:y:2025:i:1:p:81-98:id:35983
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