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The European Journal of Applied Economics
2023, vol. 20, br. 1, str. 1-21
Bihevioralne finansije - testiranje hipoteze efikasnog tržišta na Beogradskoj berzi
Mijailović Olivera, Mizdraković Vule ORCID
Univerzitet Singidunum, Beograd, Srbija

e-adresa: olivera_kv@live.com
Ključne reči: bihevioralne finansije; (i)racionalna očekivanja; Hipoteza efikasnog tržišta; berza
Sažetak
Cilj ovog rada je da ukaže na ograničenja i razloge neuspeha u modelovanju i konkretizaciji naučnih saznanja zbog pretpostavke o racionalnom ponašanju investitora. Potvrđena neefikasnosti na tržištu kapitala na investitore utiče tako što odluke ne zasnivaju na valjano valorizovanim finansijskim instrumentima. Rezultati sprovedenog empirijskog istraživanja opovrgle su hipotezu tradicionalnih finansija koje se zasnivaju na pretpostavci o racionalnom donošenju odluka. Stoga, za razumevanje procesa investicionog odlučivanja neophodno je koristiti pristup koji nude bihevioralne finansije budući da uvode komponentu iracionalnosti. Svrha je sprovođenje analize prinosa i volatilnosti tržišnog indeksa Belex15 u cilju donošenja efikasnih investicionih odluka, primenom i upoređivanjem rezultata ARCH i GARCH modela. Modeli su namenjeni za analizu vremenskih serija koje poseduju nestabilnost uslovne varijanse. Obuhvatajući 2.517 logaritmovanih prinosa Belex15, odabran je E-GARCH model, a rezultati sugerišu da investitori moraju biti oprezni u donošenju odluka jer uticaj negativnih šokova na volatilnost prinosa ima snažan dugotrajan efekat memorije, što ove investicije čini veoma rizičnim, posebno u nepovoljnim ekonomskim okolnostima.
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O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/EJAE20-42296
primljen: 18.01.2023.
revidiran: 10.03.2023.
prihvaćen: 18.03.2023.
objavljen u SCIndeksu: 13.05.2023.
metod recenzije: dvostruko anoniman
Creative Commons License 4.0

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