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Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa

Tomić, Bojan and Sesar, Andrijana and Džaja, Tomislav (2014): Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa. Published in: Accounting and Management No. 15th International Scientific and Professional Conference (June 2014): pp. 265-283.

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A rational approach to investing is manifested through the realization of a higher yield for a given level of risk, and the realization of a given yield by accepting lower risk levels. Through the investment process, the question that is brought to investors’ attention is the importance of effective diversification as a necessary prerequisite for successful goal achievement. Generally speaking, economic (financial) crisis that originally started in the USA in 2007 helped generating the economic crisis in the Eurozone and then globally. Industrial and financial connection between the U.S. and Europe has contributed to the rapid "development" of the crisis and a causal relationship and the spread of the crisis across European capital market. Since the close economic connection already indicates the interdependence between U.S. and European markets, the question is: How large is the influence that the USA has over the European capital and what are the appropriate ways to measure and describe that influence. The purpose of this study is to identify, quantify and describe the impact, and the correlation between the leading U.S. Dow Jones Industrial Average (DJIA) index and European capital markets. In this case, the European capital market is presented as an optimal risk portfolio created from ten selected EU equity indices of and is shown in the form of a European market index. Finally, simple linear regression demonstrated significant dependence of the created European index upon the DJIA index, which indicates that there is a high probability that we can predict and demonstrate how DJIA index value changes affect on European capital market movements.

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