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master's thesis
Primjena CAPM modela na hrvatsko tržište kapitala
Rijeka: University of Rijeka, Faculty of Economics, 2018. urn:nbn:hr:192:187204
Kaveljević, Hrvoje
University of Rijeka
Faculty of Economics and Business

Cite this document

Kaveljević, H. (2018). Primjena CAPM modela na hrvatsko tržište kapitala (Master's thesis). Rijeka: University of Rijeka, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:192:187204

Kaveljević, Hrvoje. "Primjena CAPM modela na hrvatsko tržište kapitala." Master's thesis, University of Rijeka, Faculty of Economics and Business, 2018. https://urn.nsk.hr/urn:nbn:hr:192:187204

Kaveljević, Hrvoje. "Primjena CAPM modela na hrvatsko tržište kapitala." Master's thesis, University of Rijeka, Faculty of Economics and Business, 2018. https://urn.nsk.hr/urn:nbn:hr:192:187204

Kaveljević, H. (2018). 'Primjena CAPM modela na hrvatsko tržište kapitala', Master's thesis, University of Rijeka, Faculty of Economics and Business, accessed 19 April 2024, https://urn.nsk.hr/urn:nbn:hr:192:187204

Kaveljević H. Primjena CAPM modela na hrvatsko tržište kapitala [Master's thesis]. Rijeka: University of Rijeka, Faculty of Economics and Business; 2018 [cited 2024 April 19] Available at: https://urn.nsk.hr/urn:nbn:hr:192:187204

H. Kaveljević, "Primjena CAPM modela na hrvatsko tržište kapitala", Master's thesis, University of Rijeka, Faculty of Economics and Business, Rijeka, 2018. Available at: https://urn.nsk.hr/urn:nbn:hr:192:187204

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Metadata
TitlePrimjena CAPM modela na hrvatsko tržište kapitala
Title (english)Applicability of capm model on Croatian capital market
AuthorHrvoje Kaveljević
MentorAlemka Šegota (mentor)
Committee memberAlemka Šegota (predsjednik povjerenstva)
Committee memberJelena Jardas Antonić (član povjerenstva)
Committee memberDavor Mance (član povjerenstva)
GranterUniversity of Rijeka
Faculty of Economics and Business
Rijeka
Defense date and country2018-03-23, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract
Predmet istraživanja ovog rada jest CAPM model (eng. Capital Asset Pricing Model) i njegova primjenjivost na hrvatskom tržištu vrijednosnih papira. Razrađene su teorijske pretpostavke CAPM modela kroz analizu MV-modela (eng. Mean Variance model), te su izloženi različiti do sada korišteni pristupi u empirijskom testiranju. Odabran je i zatim testiran dvofaktorski CAPM model koristeći pristup kojega su prvi puta proveli Fischer Black, Michael Jensen i Myron Scholes pomoću deset portfelja dionica sa hrvatskog tržišta kapitala. Za potrebe testa konstruiran je efikasan tržišni portfelj sastavljen od šezdeset dionica sa Zagrebačke burze. Također je konstruiran i nerizičan instrument sastavljen od trezorskih zapisa Ministarstva Financija ročnosti od 90 dana. Provedena je ekonometrijska analiza u skladu sa odabranim testom te je analizirana mogućnost primjene CAPM modela na hrvatsko tržište kapitala. Na temelju empirijskih podataka postignuti su odgovarajući rezultati koji opravdavaju primjenu CAPM modela na domaće tržište kapitala.
Abstract (english)
The applicability of CAPM model on Croatian equity market is analysed in this paper. Theoretical framework of the CAPM model is laid out tthrough analysis of the Mean Variance model and various theoretical approaches for CAPM testing are discussed. Two factor model was tested using the approach first implemented by Fischer Black, Michael Jensen and Myron Scholes using multiple portfolios of stocks from the Croatian equity market. For the purpose of the test, market portfolio consisting of sixty stocks listed on the Zagreb stock exchange was created. Also, a risk free proxy consisting of short term goverment bonds with maturity of 90 days was created. Econometric analysis was carried out and with regard to obtained results applicability of CAPM model on Croatian equity market was disscused. Based on empirical econometric research and results, usage of CAPM model was justified on the local equity market.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:192:187204
Study programmeTitle: Business Economics; specializations in: Finance and Banking, Entrepreneurship, Management, Finance and Accounting, Marketing, International Business, IT Business
Course: Entrepreneurship
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
RepositoryRepository of the University of Rijeka, Faculty of Economics and Business
Created on2018-03-27 16:57:02

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