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2018, vol. 15, br. 2, str. 43-57
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Uticaj stope inflacije na prinose od akcija u kompanijama realnog sektora u AP Vojvodini
Inflation rate impact on the share returns of real sector companies in AP Vojvodina
aUniverzitet Educons, Fakultet poslovne ekonomije, Sremska Kamenica, Srbija bUniverzitet 'Union - Nikola Tesla', Fakultet za strateški i operativni menadžment - FSOM, Beograd, Srbija
e-adresa: milosevicm1@gmail.com
Projekat: Project by the Provincial Secretariat for Higher Education and Scientific Research: Analysis of Financial Risk Factors in Sustainable Development of AP Vojvodina, no. 142-451-3554/2017-01/02.
Sažetak
Uzimajući u obzir aktuelne trendove na domaćem finansijskom tržištu, predmet istraživanja u radu je analiziranje, testiranje i kvantifikacija uticaja stope inflacije na dnevne stope prinosa akcija kompanija realnog sektora AP Vojvodine. Cilj istraživanja jesu konkretna, u praksi testirana i kvantifikovana saznanja o mogućnostima i efikasnosti primene GARCH modela u funkciji kvantifikacije uticaja stope inflacije na stope prinosa akcija posmatranih kompanija. Vremenski period obuhvaćen istraživanjem je od 2006. do 2016-te godine i uključuje kompanije realnog sektora AP Vojvodine čije se akcije kotiraju u okviru berzanskog indeksa BELEXline. Rezultati istraživanja pokazuju tačnu korelacionu vezu između dnevnih stopa prinosa posmatranih kompanija i faktora finansijskog rizika - stope inflacije. Rezultati takođe pokazuju pozitivan uticaj varijable stope inflacije na prinose akcija kompanija NIS a.d (0.013876), Sojaprotein ad (0.019167) i Vital a.d (0.051056), a negativan uticaj na prinose akcija kompanije Veterinarski zavod a.d (-0.000183). Rezultati istraživanja potvrđuju ulogu i značaj primene ekonometrijskih modela u svetlu kvantifikacije faktora finansijskih rizika na prinose od aktivnosti investiranja u kompanije realnog sektora AP Vojvodine.
Abstract
Taking into account the current trends in the domestic financial market, the subject of this research is the analysis, testing and quantification of the inflation rate impact on the daily share returns of the real sector companies in AP Vojvodina. The aim of the research is to generate concrete, practically tested and quantified knowledge about the possibilities and efficiency of the GARCH models application to quantify the inflation rate impact on the share returns of the observed companies. The period covered by the survey is from 2006 to 2016 and it includes the real sector companies of AP Vojvodina whose shares are quoted within the stock exchange index BELEXline. The research results show the exact correlation between the daily return rates of the observed companies and the financial risk factor - the inflation rate. The results also show a positive impact of the variable inflation rate on the returns of companies NIS a.d (0.013876), Sojaprotein a.d (0.019167) and Vital a.d (0.051056), and a negative impact on the returns of the company Veterinary Institute a.d (-0.000183). The research results confirm the role and significance of the application of econometric models in order to quantify financial risk factors of returns from investment activities in the real sector companies of AP Vojvodina.
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