RETURN, RISK AND MARKET INDEKS ONLINE VOLUME SEARCH INTERDEPENDENCE: SHOCK SPILLOVER APPROACH ON ZAGREB STOCK EXCHANGE

Autor: Tihana Škrinjarić
Jazyk: chorvatština
Rok vydání: 2021
Předmět:
Zdroj: Ekonomski pregled
Volume 72
Issue 1
ISSN: 1848-9494
0424-7558
Popis: U ovome istraživanju razmatraju se vremenski promjenjiva međuovisnost i prelijevanje šokova između prinosa i rizika na službeni indeks Zagrebačke burze te volumena pretraživanja vezanog uz tržišni indeks na tražilici Google. Želi se ispitati kako investitorova pozornost mjerena volumenom pretraživanja može koristiti u modeliranju prinosa i/ili rizika službenog indeksa, ali se pritom dozvoljava i povratna veza prema volumenu pretraživanja. Za mjesečne podatke u razdoblju travanj 2004. – siječanj 2019. godine nalazi se vremenski promjenjiva međuovisnost svih triju varijabli, s povećanjem šokova prelijevanja u vrijeme financijske krize, kao i krize koncerna Agrokor (proljeće 2017. godine). Doprinos istraživanja očituje se u primjeni relativno nove metodologije indeksa prelijevanja šokova u okviru vektorskih autoregresijskih modela za razmatranje ovakve teme u literaturi. Temeljem rezultata istraživanja dane su okvirne smjernice potencijalnim investitorima za buduće primjene.
This research examines the time-varying interdependence and shock spillovers between the return and risk of the official Zagreb Stock Exchange index and the online volume search on the Google search engine. The aim is to examine how investors’ attention measured by the online volume search can be used in modelling of the return and/or risks of the official stock market index. However, the methodology allows for a feedback relationship from the return and risk series to the volume search variable. Based on monthly data for the period from April 2004 to January 2019, results indicate that a time-varying interdependence is found for all three variables in the model. Moreover, spillover shocks are greater in the financial crisis and the crisis of Agrokor concern (in the spring of 2017). The contribution of this research is found in using a relatively new methodology of spillover index within the vector autoregression model in applying this methodology within the finance topics examined in the literature. Based on the results in the paper, guidelines are given to potential investors for future applications.
Databáze: OpenAIRE
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