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(I)rationality of Investors on Croatian Stock Market: Explaining the Impact of American Indices on Croatian Stock Market

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  • Domagoj Sajter Tomislav Æoriæ

    (Faculty of Economics, University of Osjek, Osjek, Croatia Faculty of Economics, University of Zagreb, Zagreb, Croatia)

Abstract

American stock markets are by far the most influential markets in the world, and the abundance of information coming from them is closely monitored all over the planet. However, it seems difficult to rationally explain the immense scope of impact of the US stock indices on a rather small market such as Croatian. Zagreb Stock Exchange quotes Croatian companies that have low international significance, can rarely be perceived as strong regional players, and their connections with the USA (if any) are weak and mostly exceptions to the rule. This study follows the methodology and findings of Erjavec and Cota (2007), as an extension and further examination of the dependency of the Crobex index to the main US indices (DJIA, S&P500, NASDAQ). The econometric study is widened, and the persistent relationship between Croatian and American indices is additionally elaborated using ARIMA and GARCH models. Along with quantitative determination of the interconnectedness three concepts are introduced to explain high correlation and co-movements between Croatian and American indices; global factors, contagion and irrational escalation.

Suggested Citation

  • Domagoj Sajter Tomislav Æoriæ, 2009. "(I)rationality of Investors on Croatian Stock Market: Explaining the Impact of American Indices on Croatian Stock Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 12(2), pages 57-72, November.
    • Handle: RePEc:zag:zirebs:v:12:y:2009:i:2:p:57-72
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    Cited by:

    1. Mihaela Grubišiæ Šeba, 2017. "20 Years of the Croatian Capital Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 20(SCI), pages 41-58, April.
    2. Tomić, Bojan & Sesar, Andrijana & Džaja, Tomislav, 2014. "Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa [Comparative analysis of european capital market and Dow Jones Industrial Average Index]," MPRA Paper 55555, University Library of Munich, Germany.
    3. Tomić, Bojan & Sesar, Andrijana, 2015. "Interdependence of Industrial Production Index and capital market in Croatia: VAR model," MPRA Paper 66816, University Library of Munich, Germany.
    4. Ion POHOAŢĂ, & Delia Elena DIACONAÅžU, Author-Workplace-Name: Alexandru Ioan Cuza University of IaÅŸi, 700506, Romania & Oana Ramona SOCOLIUC, 2016. "Economic Dynamics €“ Stock Market Evolution: A Relation Committed To Dysfunctionality In Romania And Croatia," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(1), pages 1-40, January.
    5. Tomasz Schabek & Bojana Olgiæ Draženoviæ & Davor Mance, 2019. "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 741-758.
    6. Schinckus, Christophe, 2018. "Pataphysics of finance: An essay of visual epistemology," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 52(C), pages 57-68.

    More about this item

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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