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Abstract: V članku uvajamo likvidnost v standardno analizo tvegane vrednosti. Osnovne VaR modele nadgradimo z informacijami o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Nadgrajene modele testiramo na podlagi domačega in tujih naborov delnic. Ugotavljamo, da likvidnostni VaR modeli ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja. Le-ti metodološko na eni strani predstavljajo napredek v okviru obravnave tržnih tveganj, vendar na drugi strani rezultati testiranj modelov kažejo pomanjkanje robustnosti. Glede primerjave rezultatov po naborih delnic pa ugotavljamo, da so rezultati za slovenski nabor kljub manjši globini trga primerljivi s tistimi iz tujine.
Keywords: tvegana vrednost, likvidnost, statistični test ustreznosti
Published in RUP: 30.12.2015; Views: 2673; Downloads: 78
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Abstract: In the paper we investigate the properties of the stock markets in six transition economies: Slovenia, Hungary, Poland, Russia, Slovakia and the Czech Republic. We try to find out, whether the transition has some effect on the stock markets in the sense of Efficient Market Hypothesis (EMH). According to the empirical work done in this field we suggest methodology, which will be based on a new approach for testing the validly of the EMH. In contrast to other studies, we will not only test the EMH for the whole transition process, but also investigate whether the result are stable over time. This will probably give us some additional information on the transition process in the observed countries.
Keywords: trg kapitala, analiza, kapital, tranzicija
Published in RUP: 15.10.2013; Views: 2809; Downloads: 72
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