THE PERFORMANCE OF MINIMUM VARIANCE PORTFOLIOS IN THE CROATIAN TOURISM SECTOR
Journal Title: UTMS Journal of Economics - Year 2018, Vol 9, Issue 1
Abstract
Croatian economy is largely dependent on tourism, the direct contribution of travel and tourism to GDP is 10.7%, while total contribution amounts 24.7%, tourism has great impact on employment also. Since tourism is one of the most important sectors for Croatian economy, the aim of this research was to analyze stock liquidity in Zagreb stock exchange and to construct efficient frontier which includes only tourism stocks. Level of liquidity for the Croatian market is generally very low, so only certain stocks which met liquidity criterium were used in this research. Currently there are 31 stocks listed on the Croatian capital market in the tourism sector, and this sector is one of the largest on the Zagreb stock exchange. Purpose of this research was to find out which performance have minimum variance portfolios in Croatian tourism sector, and to measure market risk in a portfolio using value-at-risk methodology. In this research two approaches of measuring value-at-risk methodology have been used: historical and conditional, results were compared with stock market index Crobex and explained.
Authors and Affiliations
Suzana Baresa, Sinisa Bogdan, Zoran Ivanovic
Keywords
Related Articles
- EP ID EP289602
- DOI -
- Views 128
- Downloads 0
RESEARCH ON BEHAVIORS OF GOVERNMENT'S TOURISM MARKETING
Tourism has become one of the world's largest industries with broad prospects and large industrial scale. In tourism marketing, planning and packaging the image of destinations, promotion, and participating in nonprofit...
INDIAN CAPITAL MARKET REVIEW: ISSUES, DIMENSIONS AND PERFORMANCE ANALYSIS
The purpose of an efficient capital market is to mobilize funds from those who have it and route each them to those who can utilize it in the best possible way. India’s financial market is multi-facet but not balanced. I...
MEZZO ECONOMICS ANALITYCAL APPROACH AS THE PROPULSIVE PART OF MANAGERIAL ECONOMICS IN TOURISM
Mezzo Economics covers the area between the Micro and Macro Economics and the organizational approach of the economics of the integral economic communities, which are made of microeconomic entities. Mezzo Economics repre...
THE IMPACT OF SOCIAL TRANSFERS ON INEQUALITY MEASURED BY GINI INDEX: THE EXAMPLE OF MACEDONIA
Through the past few decades the problem of income inequality and welfare segregation has become quite significant for the economies of the countries worldwide. Republic of Macedonia as a country in development is presen...
GEOGRAPHIC POSITIONING AS A DETERMINATION OF TOURISM DEVELOPMENT OF GEVGELIJA REGION
The research of this paper is about casinos in the southernmost city in the Republic of Macedonia – Gevgelija, its geographical position and their role on the development of gambling tourism. Gambling tourism as a specia...