koeficijent korelacije indeksa berzi bivse jugoslavije

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Koeficijent korelacije indeksa berzi Jugoslavije u periodu 2004-2013

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, , ,

: :. 14/11

, 2013.

3

1. - , 51.1. 61.2. 81.3. 9

2. 122.1. - 122.1.1. -142.1.2. -152.1.3. - 172.2. 19

3. 5 - , SASX10, BELEX10, CROBEX MONEX2023

34

36

26. 1896. Charles . Dow Dow Jones Industrial Average (DJIA) . DJIA , . Dow 1884. (), Dow Jones Railroad Average.[footnoteRef:1] 19- , DJRA , .[footnoteRef:2] [1: Dow Jones Railroad Average Dow Jones Transportation Average] [2: Dow Jones Industrial Average Brochure, 31. 2011, Dow Jones Industrial Average URL: http://www.djindexes.com/mdsidx/downloads/brochure_info/Dow_Jones_Industrial_Average_Brochure.pdf (12.06.2013)]

, , . . - , 1, 10, 100 1000, . . , . , , , . , . , DJIA, , - S&P 500 (Standard & Poors).[footnoteRef:3] , - FTSE 100, - Nikkei 225, - DAX, - . [3: : Bodie, Kane, Marcus. Investments, The McGraw-Hill/Irwin, 2010, . 44-49]

, . 2004. - ( ) ( ). 2013. . 4 (, , Montenegro ). , () .

: ? .

( ) ., , , .

1. - ,

. , ( ). . , .[footnoteRef:4] Pearson- Spearman- . , Pearson-. [4: , , , . . - , , 2006, . 362]

Pearson- , ( , , ), .[footnoteRef:5] Pearson- -1 1, -1 ( , . , ), 1 . 0 . , , . [5: , , , . . - , , 2006, . 364]

1.1.

Pearson- :

:- ;- ;- ;- y;- .

:

Pearson- : ; ; ; ( 30).[footnoteRef:6] [6: http://mi.medri.hr/assets/P6_Korelacija.pdf (13.07.2013)]

, Pearson- . . 1.1 1.1. . 1.1.

|r|= 1

0,8 | r | < 1

0,5 | r | < 0,8

0,2 | r | < 0,5

0 | r | < 0,2

r = 0

1.1.

, , . r.

1.2.

, . . :

r . :.

:

r , 0, :

.[footnoteRef:8] : . [8: , , , . . - , , 2006, . 368]

( - t) p- .[footnoteRef:9] [9: : , , , . . - , , 2006, . 367-370]

1.3.

, . , . , . .[footnoteRef:10] , : [10: Bodie, Kane, Marcus. Investments, The McGraw-Hill/Irwin, 2010, . 129]

( , ). , . , (, ) . , , . . 1.2. ( ). - (stock) (bond), () . , 10%, 18,63. , 5%, 8,27. , , , . 1.3. , 40% , 60% . 7%,

1.2. [footnoteRef:11] [11: : http://highered.mcgraw-hill.com/sites/0078034698/student_view0/chapter6/ (17.06.2013)]

1.3. [footnoteRef:12] [12: : http://highered.mcgraw-hill.com/sites/0078034698/student_view0/chapter6/ (17.06.2013)]

, ( ) 40% 60% ( ), . (. ) 347,10 (18,63), 68,40 (8,27). , . [footnoteRef:13]: [13: Bodie, Kane, Marcus. Investments, The McGraw-Hill/Irwin, 2010, . 170]

, ( ) , , , . ( ). (mild recession) , , . . , , . . , , ., ( , , , , ), .

2.

2004. 2013. . , : , , , , , Montenegro () .[footnoteRef:14] , . [14: , ]

2.1. -

9. 2001. .[footnoteRef:15] : [15: , . , , , 2012, . 44]

14.03.2002- 20 ; 30.09.2002- , ; 10.12.2002- ; 20.08.2003- ; 30.10.2003- (SEM- Stock Exchange Monitor); 03.05.2004- (); 01.08.2004- (); 01.01.2006- (10); 20.03.2006- ; 17.05.2006- ; 29.01.2007- (WFE- World Federation of Exchange); 22.11.2007- (FESE) , ; 05.12.2007- (GIRS, MIRS, RS FIN); 15.02.2008- , , Montenegro NEX Montenegro ; 24.03.2008- ; 04.08.2009- Thomson Reuters-a; 01.12.2009- BATX- ; 11.05.2011- ; 16.11.2011- .[footnoteRef:16] [16: www.blberza.comURL: http://www.blberza.com/Pages/docview.aspx?page=sp4 ) (18.06.2013)]

, ( ) 2004. . , 1.000 , , 1.1.[footnoteRef:17] [17: , , , , 20. 2011, . 1]

1.1. - ( 01. 2004. 15. 2004)[footnoteRef:18] [18: TLKM- Te .; RFUM- .; BLPV- .; VBBB- NLB . ; NOVB- . ; HPAL- . ; TRPD- .. ; BOKS- .. ; TRZN- .. ; ALPR- .. ; VLPH- .. ]

, . (free float), 10% ( ). - 20%. (price index).[footnoteRef:19] [19: , , , , 20. 2011, . 1]

2.1.1. -

5 30 , , . .[footnoteRef:20] 20 1.2. [20: , , , , 20. 2011, . 1]

1.2. (19.06.2013)[footnoteRef:21] [21: www.blberza.comURL: http://www.blberza.com/Pages/SecurityList.aspx?index=BIRS (19.06.2013)]

2.1.2. -

, 6 , 90% . . , . . 1.3.

1.3. -

. , 1. , , . ( Uee 1.3). -.[footnoteRef:22] [22: , , , , 20. 2011, . 3]

2.1.3. -

- :

:- -;- ;- -;- - ;- ;- / -);- ( -);- -.[footnoteRef:23] [23: , , , , 20. 2011, . 3]

- -, 1000 .

K 25% -, , , 25%. :

: - - ( - m 25%);- 1, , n m k;- -;- ;- 25%;- 25%.

-, -, .

:- ;- -;- -;- - ( /, );- -;- - 25%;- 25%.[footnoteRef:24] [24: , , , , 20. 2011, . 4]

2.2.

. 21. 1894. . '', : ( ), , , .''[footnoteRef:25] 2005. BELEX15, . 2.1. 10.05.2013. [25: www.belex.rsURL: http://www.belex.rs/o_berzi/istorijat (23.06.2013)]

2.1. BELEX15[footnoteRef:26] [26: www.belex.rsURL: http://www.belex.rs/trgovanje/indeksi/belex15/korpa (23.06.2013)]

e , 15. 1907. . , 1911. . 1991. , 25 , 2 , Zagrebaku burzu .[footnoteRef:27] - CROBEX (Croatian Bourse Equity Index) 1. 1997. , 1.000 . 23.06.2013. 2.2, 25 . [27: http://zse.hrURL: http://zse.hr/default.aspx?id=26 (23.06.2013)]

2.2. CROBEX-a[footnoteRef:28] [28: http://zse.hrURL: http://www.zse.hr/default.aspx?id=44101&index=CROBEX (23.06.2013)]

13. 1995. . 01.11.2001. , 5 . 04.01.2005. 10, , 1.000. , 2.3.

2.3. 10[footnoteRef:29] [29: http://www.mse.mkURL: http://www.mse.mk/en/content/13/3/2010/structure-of-index-mbi10 (23.06.2013)]

13. 2001. 9 . , SASX-10, 31.12.2004, 1.000.[footnoteRef:30] ( 07.01.2013) 2.4. [30: URL: http://195.222.43.81/sase-final/language/hr-HR/Tr%C5%BEi%C5%A1te/Indexi/SASX-10.aspx (23.06.2013)]

2.3. SASX-10[footnoteRef:31] [31: URL: http://195.222.43.81/sase-final/language/hr-HR/Tr%C5%BEi%C5%A1te/Indexi/SASX-10.aspx (23.06.2013)]

26. 1989. . CEESEG AG (The CEE Stock Exchange Group) 4 : , , . 31. 2006. SBITOP , 1.000. 2.5.

2.5. SBITOP 24. juna 2013.[footnoteRef:32] [32: http://www.ljse.siURL: http://www.ljse.si/cgi-bin/jve.cgi?doc=2071 (23.06.2013)]

2.6. MONEX20[footnoteRef:33] [33: http://www.ljse.siURL: http://www.ljse.si/cgi-bin/jve.cgi?doc=2071 (23.06.2013)]

Montenegro 1993. . 2001. .. , 2010. . 2010. Montenegro, 10. 2011. . MONEX20 01.03.2003. , 1.000 . , 15.03.2013, 2.6.3. 5 - , SASX10, BELEX10, CROBEX MONEX20

. , . J.P.Morgan-a 2010. .[footnoteRef:34] , , (), , , , , [footnoteRef:35] Nowhere Left to Hide- Stock Market Correlation, Regional Diversification, and the Case for Investing in Africa 2010. Todd Moss Ross Thuotte, S&P 500. , , S&P 500 0,86, 0,79 ( - 0,31).[footnoteRef:36] S&P 500, , , , 3.1.[footnoteRef:37] [34: Why We Have a Correlation Bubble, J.P.Morgan Global Equity Derivatives & Delta One Strategy, 2010, . 1] [35: Why We Have a Correlation Bubble, J.P.Morgan Global Equity Derivatives & Delta One Strategy, 2010, . 4] [36: Todd Moss and