Kvantitativna analiza dionica na hrvatskom tržištu kapitala primjenom MV i CAPM modela : Diplomski rad

U prvom dijelu rada, navedene su osnovne značajke tržišta kapitala i njegova podjela u užem i širem smislu. Također, objašnjen je i pojam burze, te se u ukratko opisao razvoj Zagrebačke burze i navele su se njene značajke. Zatim su objašnjene dionice, vrste dionica i dionički portfelj kao temeljni pojmovi o kojima će se istraživati u drugom dijelu rada. U drugom dijelu rada, navele su se teorijske postavke Markowitzevog modela, i objašnjeni su pojmovi efikasne granice i CAPM modela. U sljedećem poglavlju, navedene su karakteristike odabranih dionica korištenih u analizi, te razlozi njihovog odabira, nakon čega se krenulo ka izračunu parametara korištenih u analizi korisnosti Markowitzeva modela i koeficijenta bete na Zagrebačkoj burzi. Analiza se provodila u programu Microsoft Excel, te u programu IBM SPSS. Na temelju cijena dionica na Zagrebačkoj burzi, formirana je efikasna granica, ispitana je normalnost distribucije cijena, te je izračunat i protumačen koeficijent beta. U samom zaključku, navedeni su rezultati istraživanja, te su objašnjeni razlozi prihvaćanja ili odbacivanja hipoteza.In the first part of this thesis, basic features of financial capital market have been introduced, as well as its breakdown structure. Secondly, the term stock market is explained, the development of Zagreb stock market and its major features is described. Terms such as shares, share types and equity portfolio are mentioned as fundamental notions underlying the research processed in the thesis. Furthermore, theoretical postulates of Markowitz model have been introduced in the second part of the thesis, as well as efficient frontier and CAPM model. In the next chapter, characteristics of shares used in analysis and reasons of choosing them have been mentioned, followed by calculation of parameters relevant for utility analysis of Markowitz model and beta coefficient at the Zagreb stock market. Based on the share prices at the Zagreb stock market, efficient frontier is defined and the normality of the price distribution evaluated. Beta coefficient is calculated and interpreted. In conclusion, final results of research are presented, and reasons for acceptance or rejection of hypothesis are explained. Software used for analysis: Microsoft Excel; IBM SPSS