文章基本信息

标题：Estimating temporary and permanent stock price innovations on Croatian capital market
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作者：Škrinjarić, Tihana ; Šego, Boško
期刊名称：Croatian Operational Research Review
印刷版ISSN：1848-0225
出版年度：2014
卷号：5
期号：1
页码：25-33
语种：English
出版社：Croatian Operational Research Society
摘要：This paper evaluates the size and duration of temporary and permanent stock price innovations on Croatian capital market in the structural VAR (vector autoregression) framework with Blanchard and Quah (1989) decomposition. The purpose is to identify the effects of temporary price innovations in order to determine to which extent future stock prices can be predicted. Temporary components present in stock prices are explained throughout the mean-reversion hypothesis. This means that stock prices deviate from the fundamental values, but they will revert to their mean. In that way, to some extent, it is possible to predict future price movements. The results show that for the observed period from January 2000 to September 2013, temporary innovations account for only 2.62% of price variability over a two-year horizon. This means that forecasting the future movements of stock prices on Zagreb Stock Exchange is a difficult task.
关键词：temporary and permanent stock innovations; stock market; structural VAR; random walk hypothesis