master's thesis
PREGLED I ANALIZA RAZVOJA TRŽIŠTA VRIJEDNOSNICA S FIKSNIM PRINOSOM U HRVATSKOJ

Tina Vuleta (2016)
University of Split
Faculty of economics Split
Metadata
TitlePREGLED I ANALIZA RAZVOJA TRŽIŠTA VRIJEDNOSNICA S FIKSNIM PRINOSOM U HRVATSKOJ : diplomski rad
AuthorTina Vuleta
Mentor(s)Zdravka Aljinović (thesis advisor)
Abstract
Predmet istraživanja ovog rada su vrijednosni papiri s fiksnim prinosom na hrvatskom tržištu kapitala. Prikazane su glavne vrste i karakteristike obveznica, prednosti te rizici koje nose; trenutno stanje i razvoj hrvatskog tržišta obveznica kroz povijest. Usporedbom hrvatskog i poljskog tržišta obveznica, zaključeno je da je hrvatsko sekundarno tržište znatno nerazvijenije. Hrvatsko tržište karakterizira mali broj izdavatelja te mali obujam trgovanja. Korištenjem koncepta trajanja se pokazala osjetljivost cijena domaćih obveznica na promjenu kamatne stope te provela imunizacija buduće obveze korištenjem obveznica s domaćeg tržišta. Uzeta su u obzir i svojstva konveksnosti obveznica koja u velikoj mjeri pomaže objašnjenju promjene vrijednosti obveznice ako na tržištu dođe do veće promjene kamatne stope. S ciljem dobivanja uvida u odnos prinosa i rizika koje nose obveznice na hrvatskom tržištu, korišten je Markowitzev model optimizacije portfelja, pronađeni su efikasni portfelji te formirana obveznička efikasna granica. Hrvatsko tržište obveznica i dalje nema ulogu kakvu bi trebalo imati na tržištu kapitala i njegov razvoj je nužan za daljnji razvoj cjelokupnog financijskog sustava.
KeywordsBonds Croatian bond market duration Markowitz model
GranterUniversity of Split
Faculty of economics Split
PlaceSplit
StateCroatia
Scientific field, discipline, subdisciplineSOCIAL SCIENCES
Economics
Study programme typeuniversity
Study levelgraduate
Study programmeBusiness Studies
Academic title abbreviationmag. oec.
Genremaster's thesis
Language Croatian
Defense date2016
Parallel abstract (English)
Subject research in this paper are securities with fixed income on Croatian capital market. Main types and characteristics of bonds, advantages and risks they have; current situation and development of Croatian bond market through history are shown. By comparing Croatian and Polish bond market, it is concluded that Croatian secondary market is underdeveloped. Croatian market is characterised by a small number of issuers and a small turnover throughout the years. Using the concept of duration, volatility of prices of domestic bonds when the interest rates are changing was examined and immunization of a future debt using bonds from domestic market was performed. Abilities of convexity was also considered which is an important tool in explaining the change of bond value in case of a higher change of interest rate on the market. With the intention of getting an insight in relation between income and risk that characterise bonds on Croatian market, Markowitz model of portfolio optimization was used, efficient portfolios were found and efficient bond border was formed. Croatian bond market still does not have the role it is supposed to have on the capital market and its development is essential for further development of the entire financial system.
Parallel keywords (Croatian)Obveznice hrvatsko tržište obveznica trajanje Markowitzev model
Resource typetext
Access conditionOpen access
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
URN:NBNhttps://urn.nsk.hr/urn:nbn:hr:124:475466
CommitterIvana Gizdić