CIJENE NEKRETNINA U EURO PODRUČJU: FUNDAMENTI I ULOGA NESTABILNOSTI FINANCIJSKOG TRŽIŠTA

The paper aims to assess whether financial market stress is associated with real house prices in the euro area. Building on the theory of house prices fundamentals, we first apply the second generation cointegration tests and reject a stable long-run relationship between house prices and the variables identified in the theory as their main determinants (fundamentals). Short-run panel data models are then estimated, relating real house prices to their fundamentals and the financial market stress. The results imply that the real GDP per capita growth rate and the loans to households for house purchase are the main determinants of real house prices growth in the short run. Financial market stress is significantly associated with real house prices changes only in some euro area countries. Different panel data estimators are used to show that heterogeneity and cross-section dependence needs to be accounted for to obtain robust estimates. The differences between two group of euro area countries (the PIIGS and the non-PIIGS euro area) are also compared.Ovaj rad ima za cilj procijeniti povezanost nestabilnosti na financijskom tržištu s realnim cijenama nekretnina u euro području. Polazeći od teorije fundamenata cijena nekretnina, prvo primjenjujemo kointegracijske testove druge generacije i odbacujemo stabilan dugoročni odnos između cijena nekretnina i varijabli koje su u teoriji identificirane kao njihove glavne odrednice (fundamenti). Zatim se procjenjuju kratkoročni panel modeli, povezujući cijene nekretnina s njihovim osnovama i nestabilnošću na financijskom tržištu. Rezultati pokazuju da su rast realnog BDP-a po glavi stanovnika i zajmovi kućanstvima za kupnju nekretnina glavne odrednice rasta realnih cijena nekretnina u kratkom roku. Nestabilnost financijskog tržišta značajno je povezan s promjenama cijena nekretnina samo u nekim zemljama euro područja. Različiti procjenitelji panel podataka se primjenjuju kako bi se pokazalo da heterogenost i ovisnost prostornih podataka treba biti uračunata kod robusnih procjena. Također se uspoređuju razlike između dvije skupine zemalja euro područja (PIIGS i euro područje koje nije PIIGS)

Was there a contagion between major European and Croatian stock markets? An analysis of co-exceedances

This article examines extreme returns co-movement and contagion between the Croatian and 10 European stock markets during major financial market distress periods in the period from end of 2003 until start of 2012. The extreme return co-movement analysis is based on analysis of coincidences of extreme return shocks (co-exceedances; extreme returns are defined as lower 5% daily returns in the empirical return distributions) across investigated countries. I found that the first instances of co-exceedances between the Croatian and the observed European stock markets occurred in the 2007, during the subprime mortgage crisis as the predecessor of the global financial crisis. With the start of the global financial crisis, the count of co-exceedances across all observed pairs of stock markets markedly increased. In order to separate contagion from interdependence, I further applied a multinomial logistic function, that enabled me to control for common world and regional factors that affected all investigated stock markets simultaneously. In controlling for these factors I found that the increase in the count of negative return co-exceedances between the Croatian and major European stock markets during the global financial crisis and the eurozone debt crisis cannot be attributed to contagion

Međusobna ovisnost hrvatskog i pojedinih europskih dioničkih tržišta – Kopula GARCH pristup

The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.’s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function. Four different copulas are fitted – a constant and conditional normal and symmetric Joe-Clayton (SJC) copulas – and estimated by a semi-parametric method. We found that the time-varying normal copula yields the best fit for CROBEX-CAC40, CROBEX-DAX, and CROBEX-FTSE-MIB stock indices pairs, while the time-varying SJC copula is the best fit for CROBEX-ATX and CROBEX-FTSE100. Further, we found that the probability of simultaneous extreme positive and negative returns in Croatian and other European stock markets can increase to 0.77 during turbulent times. The lower and upper tail dependence dynamics between Croatian and other European stock markets is similar in pattern, differing only in scale. The basic conclusion of the research is that the dependence between the stock markets of Croatia and five major European stock markets is dynamic and can be properly captured by either a dynamic normal or symmetrized Joe-Clayton copula GARCH models.Cilj ovog rada je analizirati strukturu međusobne ovisnosti prinosa hrvatskog i pet europskih dioničkih tržišta (austrijskog, francuskog, njemačkog, talijanskog i britanskog). Ishodišna hipoteza jest, da je međusobna ovisnost dinamična i vjerojatno nelinearna i stoga ne može biti korektno ocjenjena primjenom običnih mjera međuzavisnosti, kao što su Pearsonova korelacija i dinamična korelacija. Umjesto toga, u ovom se radu primjenjuje pristup kopula GARCH, s univarijantnim GARCH modeliranjem prinosa pojedinih tržišta, a struktura međusobne ovisnosti modelira se kopula funkcijama. Upotrijebljene su četiri različite kopula funkcije – konstantna i kondicionalna normalna i simetrična Joe-Claytonova (SJC) kopula – koje se ocjenjuju semi-parametričnom metodom. Rezultati studije pokazuju, da najbolju ocjenu međusobne ovisnosti između indeksa CROBEX-CAC40, CROBEX-DAX i CROBEX-FTSEMIB pruža dinamična normalna kopula, a između CROBEX-ATX i CROBEX-FTSE100 dinamična SJC kopula. Jedan od rezultata ove studije ukazuje na to da vjerojatnost simultanog ekstremnog pozitivnog i ekstremno negativnog prinosa na hrvatskom i jednom od drugih istraženih europskih dioničkih tržišta može porasti na 77 % u trenutku ekstremne volatilnosti na dioničkom tržištu

ODVISNOST IZMEĐU SLOVENSKOG I EUROPSKIH DIONIČKIH TRGOVA – DCCGARCH ANALIZA

This paper examines the comovement and spillover dynamics between the Slovenian and some European (the UK, German, French, Austrian, Hungarian and the Czech) stock market returns. A dynamic conditional correlation GARCH (DCC-GARCH) analysis is applied to returns series of representative national stock indices for the period from April 1997 to May 2010 to answer the following questions: i) Is correlation (comovement) between the Slovenian and European stock markets time-varying; ii) Are there return and volatility spillovers between European and Slovenian stock markets; iii) What effect did financial crises in the period from April 1997 to May 2010 have on the comovement between the investigated stock markets? Results of the DCC-GARCH analysis show that comovement between Slovenian and European stock markets is time-varying and that there were significant return spillovers between the stock markets. Financial crises in the observed period increased comovement between Slovenian and European stock markets.U ovom radu se analizira dinamika kretanja donosa i prijenosa volatilnosti između dioničkih trgova Slovenije i pojedinih europskih država (Velike Britanije, Njemačke, Austrije, Madžarske i Češke republike). Upotrijebljena je DCC-GARCH analiza na podacima dnevnih donosa dioničkih trgova za period između aprila 1997 i maja 2010 kako bi se odgovorilo na sledeča pitanja: i) Da li je korelacija između donosima slovenskog i europskih dioničkih trgova dinamična; ii) Postoje li prijenos donosa i volatilnosti između slovenskog i europskih dioničkih trgova; iii) Kako su financijske krize u Europi i svijetu u istraživanom periodu utjecale na korelaciju donosa dioničkih trgova? Rezultati pokazuju, kako je korelacija između donosima slovenskog i europskih dioničkih trgova dinamična i da postoje prijenos donosa i volatilnosti između slovenskog i europskih dioničkih trgova. Financijske krize su vodile u porast u međusobni odvisnosti slovenskog i europskih dioničkih trgova

Dugoročna memorija u prinosima hrvatskog i madžarskog dioničkog tržišta

The objective of this paper is to analyze and compare the fractal structure of the Croatian and Hungarian stock market returns. The presence of long memory components in asset returns provides evidence against the weak-form of stock market effi ciency. The starting working hypothesis that there is no long memory in the Croatian and Hungarian stock market returns is tested by applying the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) (1992) test, Lo’s (1991) modified rescaled range (R/S) test, and the wavelet ordinary least squares (WOLS) estimator of Jensen (1999). The research showed that the WOLS estimator may lead to different conclusions regarding long memory presence in the stock returns from the KPSS and unit root tests or Lo’s R/S test. Furthermore, it proved that the fractal structure of individual stock returns may be masked in aggregated stock market returns (i.e. in returns of stock index). The main fi nding of the paper is that both the Croatian stock index Crobex and individual stocks in this index exhibit long memory. Long memory is identifi ed for some stocks in the Hungarian stock market as well, but not for the stock market index BUX. Based on the results of the long memory tests, it can be concluded that while the Hungarian stock market is weakform efficient, the Croatian stock market is not.U ovom radu analizira se dugoročna memorija prinosa hrvatskog i madžarskog dioničkog tržišta. Prisutnost dugoročne memorije u prinosima dokaz je neučinkovitosti dioničkog tržišta. Pod pretpostavkom da je moguće prinose modelirati kao ARFIMA (engl. Autoregressive Fractionally Integrated Moving Average) procese, aplicirani su Kwiatkowski-Phillips-Schmidt-Shin (KPSS) (1992) test i Jensenova (1999) valna metoda klasičnih najmanjih kvadrata (engl. wavelet ordinary least squares – WOLS) kako bi se dobila ocjena parametra integriranosti prinosa dioničkih tržišta. Rezultati ove studije ukazuju na to da WOLS, KPSS i R/S metoda vode do različitih konstatacija o dugoročnoj memoriji u prinosima dioničkog tržišta. Nadalje, utvrđeno je da dugoročna memorija u prinosima pojedinačnih dionica može biti ˝zamaskirana˝ u agregatnim prinosima dioničkog indeksa, koji uključuje ove dionice. Stoga je za investitore bitno da istovremeno testiraju i potencijalnu prisutnost dugoročne memorije u prinosima indeksa dioničkog tržišta i pojedinačne dionice u koje investiranju. Ključni rezultat studije je dokaz o dugoročnoj memoriji u prinosima hrvatskog dioničkog indeksa Crobex i pojedinačnih dionica u indeksu. Dugoročna memorija identifi cirana je i za pojedinačne dionice na madžarskom dioničkom tržištu, ali ne i za sam indeks BUX. Na temelju rezultata testova dugoročne memorije, odbačena je hipoteza slabe tržišne učinkovitosti za hrvatsko, ali ne i za madžarsko dioničko tržište

Multiscale test of CAPM for three Central and Eastern European stock markets

This paper examines the systematic risk and validity of the basic capital asset pricing model of Sharpe (1964), Lintner (1965) and Mossin (1966) in three Central and Eastern European stock markets (i.e. Slovenia, Hungary and Czech Republic). The CAPM is tested on a multiscale basis, building on the Fama and MacBeth (1973) methodology and applying two modern econometric techniques – wavelet analysis and generalized method of moments estimation. Empirical results indicate that the systematic risk and validity of CAPM implications are multiscale phenomena. Empirical evidence in support of CAPM implications in the investigated Central and Eastern European stock markets is found to be weak. The most commonly violated CAPM hypotheses are the zero Jensen's alpha condition, positive market premium, and the non-systematic influence of non-observable variables on the excess returns of stocks in these stock markets

Međusobna ovisnost hrvatskog i pojedinih europskih dioničkih tržišta

The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.ʼs). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function. Four different copulas are fitted - a constant and conditional normal and symmetric Joe-Clayton (SJC) copulas - and estimated by a semi-parametric method. We found that the time-varying normal copula yields the best fit for CROBEX-CAC40, CROBEX-DAX, and CROBEX-FTSE-MIB stock indices pairs, while the time-varying SJC copula is the best fit for CROBEX-ATX and CROBEX-FTSE100. Further, we found that the probability of simultaneous extreme positive and negative returns in Croatian and other European stock markets can increase to 0.77 during turbulent times. The lower and upper tail dependence dynamics between Croatian and other European stock markets is similar in pattern, differing only in scale. The basic conclusion of the research is that the dependence between the stock markets of Croatia and five major European stock markets is dynamic and can be properly captured by either a dynamic normal or symmetrized Joe-Clayton copula GARCH models.Cilj ovog rada je analizirati strukturu međusobne ovisnosti prinosa hrvatskog i pet europskih dioničkih tržišta (austrijskog, francuskog, njemačkog, talijanskog i britanskog). Ishodišna hipoteza jest, da je međusobna ovisnost dinamična i vjerojatno nelinearna i stoga ne može biti korektno ocjenjena primjenom običnih mjera međuzavisnosti, kao što su Pearsonova korelacija i dinamična korelacija. Umjesto toga, u ovom se radu primjenjuje pristup kopula GARCH, s univarijantnim GARCH modeliranjem prinosa pojedinih tržišta, a struktura međusobne ovisnosti modelira se kopula funkcijama. Upotrijebljene su četiri različite kopula funkcije – konstantna i kondicionalna normalna i simetrična Joe-Claytonova (SJC) kopula – koje se ocjenjuju semi-parametričnom metodom. Rezultati studije pokazuju, da najbolju ocjenu međusobne ovisnosti između indeksa CROBEX-CAC40, CROBEX-DAX i CROBEX-FTSEMIB pruža dinamična normalna kopula, a između CROBEX-ATX i CROBEX-FTSE100 dinamična SJC kopula. Jedan od rezultata ove studije ukazuje na to da vjerojatnost simultanog ekstremnog pozitivnog i ekstremno negativnog prinosa na hrvatskom i jednom od drugih istraženih europskih dioničkih tržišta može porasti na 77 % u trenutku ekstremne volatilnosti na dioničkom tržištu

Asymmetric correlation of sovereign bond yield dynamics in the Eurozone

This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3, 2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by applying the test of Yongmiao Hong, Jun Tu, and Guofu Zhou (2007). Whereas the test of Hong, Tu, and Zhou (2007) is static, the present paper provides also a dynamic version of the test and identifies time periods when the correlation of Eurozone sovereign bond yield dynamics became asymmetric. We identified seven pairs of sovereign bond markets for which the null hypothesis of symmetry in correlation of sovereign bond yield dynamics can be rejected. Calculating rolling-window exceedance correlation, we found that the time-varying upper- (i.e. for positive yield changes) and lower-tail correlations (i.e. for negative yield changes) for pair-wise observed sovereign bond markets normally follow each other closely, yet during some time periods (for most pair-wise observed countries, these periods are around the September 11 attack on the New York City WTC and around the start of the Greek debt crisis) the difference in correlation does increase. The results show that the upper- and lower-tail correlation was symmetric before the Eurozone debt crisis for most of the pair-wise observed sovereign bond markets but has become much less symmetric since then

Co-exceedances in Eurozone sovereign bond markets

The paper examines contagion between the sovereign bond markets of six Eurozone countries (France, Germany, Ireland, Italy, Spain, and Portugal) in the period from January 2000 to August 2011. A multinomial logistic model is applied to analyze contagion based on measuring joint occurrences of large yield changes (i.e., co-exceedances), while controlling for developments in common and regional factors th at affect all sovereign bond markets simultaneously. I found that the Eurozoneʼs stock markets (EUROSTOXX50) returns, United Statesʼ Treasury note yields, and the Euro - U.S. dollar (EUR - USD) exchange rate significantly impact the probability of extreme posi tive yield moves in the Eurozoneʼs sovereign bond markets. Positive EUROSTOXX50 returns and upside moves in U.S. Treasury note yields increased the probability of extreme positive sovereign bond yield moves in the Eurozone, whereas an increase in the EUR-USD exchange rate significantly reduced the probability. Conditional volatility in the Eurozone stock markets and the money market interest rate do not significantly impact the probability of extreme yield increases in the Eurozoneʼs sovereign bond markets. Furthermore, the probability of observing exceedance across Eurozone sovereign bond markets increased dramatically during the Eurozone debt crisis compared to the pre-crisis period. This studyʼs results also indicate less synchronous extreme yield dynamics across the Eurozone sovereign bond markets during the global financial crisis, especially during the Eurozone debt crisis compared to the pre-crisis period