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Makroekonomske Determinante Dioničkih Cijena Na Primjeru Hrvatske

Author

Listed:
  • Josip Arnerić

    (Ekonomski fakultet Zagreb)

  • Luka Vladović

    (Ekonomski fakultet, Sveučilište u Splitu)

Abstract

Cilj je ovog rada istražiti povezanost između makroekonomskih pokazatelja hrvatskog gospodarstva i dioničkih cijena na Zagrebačkoj burzi. U tu svrhu korišteni su panel-podatci i korigirani procjenitelj fiksnog efekta. U dosadašnjim istraživanjima na ovu temu nije korišten korigirani procjenitelj fiksnog efekta, već su korišteni ostali procjenitelji statičkih panel-modela (procjenitelj s fiksnim efektom i združeni procjenitelj) i dinamičkih panelmodela (Arellano-Bondov procjenitelj i Blundell-Bondov procjenitelj), stoga korištenje korigiranog procjenitelja fiksnog efekta predstavlja glavni doprinos ovoga rada. Rezultati procijenjenih dinamičkih panel-modela pokazali su kako na cijene dionica na hrvatskom tržištu kapitala statistički značajan i pozitivan utjecaj imaju cijene istih dionica iz prethodnog kvartala, indeks industrijske proizvodnje, realni BDP, inflacija i kamatne stope. S druge strane, negativan utjecaj imaju indeks pouzdanja potrošača, ESI, indeks cijena nekretnina, neto štednja sektora kućanstva te dug opće države.

Suggested Citation

  • Josip Arnerić & Luka Vladović, 2021. "Makroekonomske Determinante Dioničkih Cijena Na Primjeru Hrvatske," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 72(2), pages 199-223.
    • Handle: RePEc:hde:epregl:v:72:y:2021:i:2:p:199-223
    DOI: 10.32910/ep.72.2.3
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    Keywords

    dinamički panel model; korigirani procjenitelj fiksnog efekta; tržište kapitala; makroekonomski pokazatelji;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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