THE APPLICATION OF THE CAPITAL ASSET PRICING MODEL ON THE CROATIAN CAPITAL MARKET

The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model on the Zagreb stock exchange during the drop in the total trade turnover, and mostly in the trade of equity securities. This model shows through the analysis techniques used to estimate the systematic risk per share compared to the market portfolio. Also, the model quantifies the environment in which a company and its stocks exist, expressing it as risk, or a beta coefficient. Furthermore, with respect to the market stagnation, one can also discuss the usefulness of the model, especially if the quality of the input data is questionable. In this regard, the importance of the proper application and interpretation of the results obtained based on the model during the stagnation of the market, and especially during the stagnation of the trade of equity securities, is gaining even greater importance and significance. On the other hand, the results obtained through the analysis of data point to problems arising during the application of the model. It turns out the main problem of applying the CAPM model is the market index with negative returns during the observation period

Basic Characteristics of Bonds and their Dynamics on the Croatian Secondary Market

In light of recent announcements of the Ministry of Finance about the emission of the so-called national bonds, this paper deals with the problems related to bonds as the most widely accepted financial instrument on the Croatian secondary market. Although the meaning of the bond as a debt security financial instrument is probably clear to everyone, trading and utilization of all the advantage this financial instrument offers is still insufficiently developed. Moreover, since bonds appear to be a possible alternative to bank deposits, it is necessary to determine the basic concepts of the difference in the calculation of yield between these two potential investments. Considering these facts, the contribution of this paper is aimed at taking a closer look and simplifying the overall understanding of this significant financial instrument. On top of that, the purpose of this paper is to raise the awareness of the broader public with respect to understanding of the basic characteristics of bonds, their advantages and disadvantages and ultimately to elaborate in detail the investment possibilities offered by bonds, as one of the most popular debt security financial instrument in Croatia. The first chapter describes the general problems related to bonds, their basic characteristics and current divisions. The paper then elaborates current dynamics of bonds in the secondary capital market in the Republic of Croatia, providing a comparative presentation of purchase and sale trade channels in the secondary market. The final chapter shows a practical example of price and yield calculation until maturity of the bond issued by the Ministry of Finance of RoC, being traded on Zagreb Stock Exchange

MEĐUOVISNOST INDEKSA INDUSTRIJSKE PROIZVODNJE I TRŽIŠTA KAPITALA U HRVATSKOJ: VAR MODEL

Industrial production is an important indicator of future trends in each of the economy including the Croatian economy. On the other hand, as a preceding factor of the economy dynamics changes, the equity indices of the capital market can be used. Due to different considerations and interpretations of their mutual initial causation, the paper analyzes the interdependence between the main index Croatian capital market CROBEX and indicators of total industrial production of the Republic of Croatian. Also, in the model was introduced exchange parity euro dollar as an additional variable rate which is considered to have a significant influence on the competitiveness of the Croatian economy, as well as the capital market. The theoretical premise about the interaction of the foreign exchange rate and capital markets has been considered in the context of the "flow-oriented" and "stock-oriented" model. Aiming to determine the interdependence between aforementioned variables, the analysis was carried out using the vector autoregression model (VAR). The Granger causality test was conducted as part of the VAR model, as well as the decomposition of variance in future periods and the impulse response function of relevant variables. The results of analysis indicate the existence of causality of the exchange rate to the index of industrial production, as well as the existence of causality of the index of industrial production to CROBEX index.Industrijska je proizvodnja važan pokazatelj budućeg kretanja svakog gospodarstva pa tako i gospodarstva Republike Hrvatske. S druge strane, kao prethodeći faktor promjena dinamike kretanja gospodarstva mogu se koristiti i dionički indeksi tržišta kapitala. S obzirom na različita razmatranja i tumačenja njihove međusobne inicijalne uzročnosti, u radu se ispituje međuovisnost između glavnog indeksa hrvatskog tržišta kapitala CROBEX-a i pokazatelja ukupne industrijske proizvodnje Republike Hrvatske. Kao dodatna varijabla, u model se uvodi i devizni paritet eura prema kuni za kojeg se smatra da ima značajan utjecaj na konkurentnost hrvatskog gospodarstva, kao i na tržište kapitala. Teorijska pretpostavka o interakciji deviznog tečaja i tržišta kapitala razmatrana je u kontekstu „flow oriented“ i „stock oriented“ modela. S ciljem utvrđivanja međuovisnosti između navedenih varijabli, analiza je provedena primjenom modela vektorske autoregresije (VAR). U sklopu VAR modela, proveden je Grangerov test uzročnosti, dekompozicija varijanci u narednim razdobljima, kao i test impulsnog odaziva relevantnih varijabli. Dobiveni rezultati ukazuju na postojanje uzročnosti u smjeru od deviznog tečaja prema indeksu industrijske proizvodnje, kao i postojanje uzročnosti u smjeru od indeksa industrijske proizvodnje prema CROBEX indeksu

Desekularizacija srpskog društva i proučavanje manastirskih opeka (1981-1998)

Changes in religiosity that took place in Serbia in the 1980s and 1990s have been a subject of sociological studies, but they can also be reviewed by having insight into paradigmatic research literature and scientific projects of the time. In the period of scarce publications about Orthodox heritage, and the rise of religious-theological publications, researchers from the Center for Multidisciplinary Studies of the University of Belgrade (CMS) and SASA investigated the composition and structure of Serbian monastery bricks. From 1981 to 1998, several publications on the topic of monastery bricks appeared, in which the academician and head of the CMS materials science group Momčilo Ristić had a prominent role. The work of the researchers gathered around the joint venture was motivated by their desire to explore national culture, tradition and history, and inspired by the durability of building materials and their aesthetic value. Realized at the time of desecularization, this project contributed to the promotion of Orthodox heritage in Serbia. The first phase involved medieval Serbian monasteries, while the second included the monasteries of Fruška Gora. The project whose conception and context are studied in this paper, is a connection of methods and techniques used by materials science on one side, with medieval studies, archaeology and history of art, architecture, science and technology studies on the other. For the CMS researchers, it was not a one-off initiative finished at the end of the last century, as this type of research continued throughout the first and the second decade of the 21st century.Promene u religioznosti koje su se odigrale u Srbiji tokom 1980-ih i 1990-ih godina bile su predmet socioloških studija, ali se one mogu sagledati i uvidom u paradigmatičnu stručnu literaturu i naučne projekte tog vremena. U periodu nedostatka publikacija o pravoslavnom nasleđu i porasta broja religijsko-teoloških publikacija, istraživači Centra za multidisciplinarne studije Univerziteta u Beogradu (CMS) i SANU istraživali su sastav i strukturu manastirskih opeka. Od 1981. do 1998. godine publikovano je više izdanja koja za temu imaju opeke srpskih manastira, u čemu je istaknutu ulogu imao akademik i šef Odseka za nauku o materijalima CMS-a Momčilo Ristić. Rad istraživača okupljenih oko zajedničkog poduhvata bio je motivisan interesovanjem za nacionalnu kulturu, tradiciju i istoriju kao i estetikom, te dugovečnošću materijala upotrebljenih za gradnju. Realizovan u vremenu desekularizacije, ovaj projekat je doprineo prezentaciji i promociji srpske kulturno-istorijske baštine. Prvu fazu projekta karakteriše istraživanje srpskih srednjovekovnih manastira, dok su drugom fazom obuhvaćeni fruškogorski manastiri. Projekat čiji se koncepcija i kontekst proučavaju u ovom radu, predstavlja vezu metoda i tehnika koje se koriste u nauci o materijalima sa jedne strane, sa medievistikom, arheologijom i istorijom umetnosti, arhitekture, nauke i tehnologije sa druge strane. Za istraživače CMS-a to nije bila jednokratna inicijativa završena krajem prošlog veka, jer se ova vrsta istraživanja nastavila tokom prve i druge decenije 21. veka

BITCOIN: Systematic Force of Cryptocurrency Portfolio

Cryptocurrencies represent a new type of digital asset that cannot be linked to the framework of fundamental and systematic factors of existing financial instruments of the traditional capital market. Due to the lack of strictly defined fundamental indicators, supported by the results of research by the academic community, considering cryptocurrencies as investment opportunities can put investors in a subordinate position, a situation of complete uncertainty. Cryptocurrencies and their entire technical infrastructure are still a kind of unknown to the general public. Due to this, but also the lack of a regulatory framework, investors have to rely on sometimes uncertain information gathered through various media platforms. However, regardless of the type of assets and the mentioned shortcomings, when constructing a portfolio, investors should consider the dynamics of returns of potential components of the portfolio in order to identify and quantify the assumed investment risk and define the expected return. Cryptocurrencies are based on the idea of decentralization initially introduced by bitcoin blockchain technology and as such have their own historical sequence of origin. Since bitcoin is the first digital currency based on asymmetric cryptography, the change in its value can serve as a leading indicator of the movement of the cryptocurrency market as a whole. Accordingly, this paper will formally identify and describe the performance of the cryptocurrency portfolio with different optimization goals taking into account the assumption of a significant systematic impact of bitcoin cryptocurrency on the dynamics of the value of the aggregate secondary cryptocurrency market. For this purpose, six optimization targets will be formed: MinVar, MinCVaR, MaxSR, MaxSTARR, MaxUT and MaxMean. The results of the formed portfolios will be compared with the results of portfolios with the same allocation objectives, but which include a limitation on the impact of BTC as a systematic factor. The results suggest that by controlling the exposure by factor, better overall portfolio performance can be achieved through higher returns and Sharpe Ratio in four of the six implemented optimization strategies, while in terms of absolute risk measure five out of six portfolios achieved lower overall risk. Also, the obtained results confirm that the bitcoin transaction system plays a major role in defining the future movement of the value of the secondary cryptocurrency market

Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala

Using different techniques, models and strategies investors are trying to construct their own portfolio whose dynamic performance should beat the market, or portfolio that should achieve yields more than the yield of the market in equilibrium. Active search for undervalued stocks, as well as the continuous trading with them, should result in a efficient market, which reflects aggregate value of all relevant and available information related to the individual instruments. This definition suggests that the use of any kind technique, analysis and strategies to project future prices of securities may not achieve desired result of investors, because the relevant informations are already integrated in the market price. On the other hand, if the efficient markets hypothesis is accurate, calendar anomalies should not exist. The Monday effect, the day of the week or the weekend effect are the calendar anomalies that have already been tested and proven in the developed capital markets, as well as in the emerging markets. They are expressed so that a specific day of the week can affect the dynamics of share return. This paper examines the presence of Monday effect, the day of the week effect, as well as the presence of the week of the month effects in the Croatian capital market. The results confirm the existence of Monday effect, but also and the presence of other calendar patterns, which brings into question the accuracy of the efficient markets hypothesis, as well as the very efficiency of the Croatian capital market

Expert systems and reporting systems

Problem istraživanja doktorske disertacije se odnosi na veliku količinu podataka i nedostatak informacija u izveštajima sistema za poslovno izveštavanje. Iako uglavnom prepuni grafika i tabela, izveštaji sadrže samo podatke tj. njihove grafičke predstave koje bi trebalo da omoguće jednostavniji uvid u poslovanje. To dovodi do posledice da korisnici ovih izveštaja moraju ručno da tumače ove podatke (pregledanjem više izveštaja), pa mogu da propuste da uoče neke bitne informacije zbog: prevelike količine podataka, premorenosti, nedostatka koncentracije, nedostatka znanja ili iskustva, zbog subjektivnosti ili zlonamernosti. U radu se predlaže automatizacija procesa tumačenja podataka tj. njihovog pretvaranja u informacije. Ceo pristup se zasniva na relaciji koja definiše da podaci postaju informacije kada im se doda značenje (tumačenje). Da bi se dobilo tumačenje podataka i oni pretvorili u informacije, potrebno je odgovarajuće (domensko) znanje. Predložena realizacija ovog pristupa obuhvata primenu metoda, tehnika i tehnologija ES u cilju automatizacije procesa tumačenja vrednosti poslovnih pokazatelja. Konkretno, predlaže se da se deklarativni deo znanja (za tumačenje vrednosti pokazatelja) predstavi putem klasa, a proceduralni deo znanja putem pravila i fuzzy teorije. Zaključivanje se može izvršiti ulančavanjem unapred i fuzzy zaključivanjem, a informacije (zaključci) mogu da se pretvore u rečenice koje liče na govorni jezik korišćenjem tehnike učaurenog teksta. Posle napravljenog pregleda postojećeg stanja iz oblasti sistema za poslovno izveštavanje i ekspertnih sistema detaljno je definisan i obrazložen predloženi pristup sa teorijskog stanovišta. Diskusijom se ukazalo na (potencijalne) pozitivne i negativne aspekte rešenja, a zatim je dat i plan realizacije rešenja. Demonstracija pristupa putem izrade prototipa - PT aplikacije (PT - enterprise Profit interpretation Tutor) je omogućila proveru i dokazivanje postavljenih hipoteza. Izveštaji koje ova aplikacija pravi sadrže i podatke (u vidu grafika i tabela) ali i informacije u vidu rečenica kontrolisanog jezika...Dissertation research problem relates to the large amount of data and lack of information in the reports for business reporting systems. Although rich with charts and tables, reports actually contain only data (their graphical representations) and little or no information. Report users need to manually interpret this data (reviewing various reports) and, as consequence, may fail to detect some important information because of: too much data, fatigue, lack of concentration, lack of knowledge or experience, because of subjectivity, or malice. This paper proposes automating the data-to-information transformation process. The proposed approach is based on the relation that states that data becomes information when meaning (interpretation) is added to it. Also, appropriate (domain) knowledge is required in order to obtain meaning from data. The proposed implementation of this approach involves applying expert system methods, techniques and technologies in order to automate key performance indicator interpretation. Specifically, declarative knowledge is to be presented by classes, and procedural knowledge with rules and fuzzy theory. The information can be derived by forward chaining and fuzzy inference, and it can be then converted into natural-language-like sentences by using canned text. After reviewing the current situation in the field of business intelligence systems and expert systems, the proposed approach is explained in detail from the theoretical point of view. It is then followed by a discussion focusing on the (potential) positive and negative aspects of the solution, and then by the implementation plan. By demonstrating the approach with a prototype - PT application (PT - Enterprise Profit Interpretation Tutor), testing and proving of the hypotheses was enabled. Reports that the application provides contain data (in the form of graphics and tables) but also information (in the form of natural-language-like sentences). The evaluation consisted of an evaluation study in which subjects were students who used PT as a teaching aid. The results show that students believe that PT is useful and relatively easy to use. Explanations in the reports are considered useful and easy to understand, but would need to be more comprehensive. The largest number of students surveyed believe that working with PT application to some extent contributes to increasing their knowledge and that it provides a faster and somewhat more interesting way to mastering profit interpretation..