IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

(I)rationality of Investors on Croatian Stock Market – Explaining the Impact of American Indices on Croatian Stock Market

Listed author(s):
  • Domagoj Sajter


    (Faculty of Economics in Osijek, University of Osijek)

  • Tomislav Ćorić


    (Faculty of Economics and Business, University of Zagreb)

This study aims to detect and explain co-movements and spill over effects between American and Croatian stock markets. Following the methodology and findings of Erjavec and Cota (2007), the dependency of the Crobex index to the main US indices (DJIA, S&P500, NASDAQ) is further examined. The econometric study is widened, and the persistent relationship between Croatian and American indices is additionally elaborated using ARIMA and GARCH models using a different data set (January 3rd, 2005 to November 6th, 2008). Despite the fact that intra-sectoral connections between Croatian and American business sectors are rather weak, it is clear that the investors on the Croatian stock market dominantly rely on American indices movements. This was especially apparent during the beginning of the World Financial Crisis in October 2008 when the prices of Croatian companies had almost nothing to do with their business results. The behaviour of Croatian investors was largely based on the psychological effects of the crisis, and this is why behavioural finance is introduced to explain what pure financial reasoning could not. High correlation and co-movements between Croatian and American indices could be explained by three concepts; global factors, contagion and irrational escalation.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: First version, 2009
Download Restriction: no

Paper provided by Faculty of Economics and Business, University of Zagreb in its series EFZG Working Papers Series with number 0901.

in new window

Length: 13
Date of creation: 29 Jan 2009
Handle: RePEc:zag:wpaper:0901
Contact details of provider: Postal:
Trg J.F.Kennedya 6, 10000 Zagreb

Phone: +385 1 233-5633
Fax: +385 1 238-3333
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:zag:wpaper:0901. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (WPS)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.