THE IMPACT OF GLOBAL FINANCIAL CRISIS ON CREATION OF MULTISECTORAL DIVERSIFICATED OPTIMAL PORTFOLIOS BY USING MARKOWITZ THEORY ON THE ZAGREB STOCK EXCHANGE

Bojan Moric Milovanovic () and Marko Curkovic ()
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Bojan Moric Milovanovic: Faculty of Economics and Business, University of Zagreb
Marko Curkovic: Faculty of Economics and Business, University of Zagreb

Economic Thought and Practice, 2014, vol. 23, issue 1, 389-408

Abstract: On the 22nd of February 2013, the sectoral indices were introduced on the Zagreb Stock Exchange, so it can be concluded that in the context of the Croatian capital market development, the observation of sectoral yields and risks gained more importance. The purpose of this paper is to present the risk and return statistical analysis results of selected stocks listed in the sectoral indices over a long period of time. In this way, it is possible to obtain performance results of individual sector indices before and after the beginning of the financial crisis. The analysis of relationship between observed stock price changes is conducted by using correlation matrix. Previous researches have primarily focused on creation of an optimal portfolio by using weekly or monthly data without analyzing the impact of financial crisis. Therefore, the contribution of this paper can be seen in analyzing the impact of financial crisis on performance of different sector indices.

Keywords: Markowitz theory; Modern Portfolio Theory; Zagreb Stock Exchange; Sectoral Diversification; Global Financial Crisis (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2014
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