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Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia

Author

Listed:
  • Tihana Skrinjaric

    (Faculty of Economics and Business, University of Zagreb, Croatia)

  • Zrinka Orlovic

    (Faculty of Economics and Business, University of Zagreb, Croatia)

Abstract

Major events in Croatia regarding economy and politics in the last three years have been related to the Agrokor concern. Agrokor is one of the biggest companies/concerns in Croatia and Southeastern Europe. Since some of Agrokor’s stocks are listed on the Croatian stock market, the economic and political events regarding Agrokor have affected the stock market as well to an extent. In this study we observe the effects of several economic and political events on stock returns on the Zagreb Stock Exchange, by dividing the sample into two groups. The first group consists of Agrokor’s stocks and the other group consists of stocks of other companies which are listed and frequently traded on the market. The methodology used in the study was event study, by using parametric and non-parametric tests. The results indicate that specific economic and political events have affected Agrokor’s stock returns negatively. Other stock returns were not affected, or were affected positively, but not statistically significantly.

Suggested Citation

  • Tihana Skrinjaric & Zrinka Orlovic, 2019. "Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 21(1), pages 47-86, June.
    • Handle: RePEc:iez:survey:ces-v21_1-2019_skrinjaric-orlovic
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    References listed on IDEAS

    as
    1. Jeetendra Dangol, 2008. "Unanticipated Political Events and Stock Returns: An Event Study," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 20, pages 86-110, April.
    2. Dimitrios Asteriou & Antonios Sarantidis, 2016. "Political instability and stock market returns: Evidence from OECD countries," Economics and Business Letters, Oviedo University Press, vol. 5(4), pages 113-124.
    3. Andros Gregoriou, 2011. "The liquidity effects of revisions to the CAC40 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 21(5), pages 333-341.
    4. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Agrokor case; Zagreb Stock Exchange; economic and political events; abnormal return; non-parametric tests;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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