engleski

Difference Estimation between Old - Well Established and European New - Fast Growing Capital Markets

This paper analyses are there differences or/and similarities between old and well established and European new and fast growing capital markets. Firstly, the paper gives the statistical analysis of relevant capital market indices by correlation coefficients, univariante analysis of variance and nonparametric Mann-Whitney U-test and Kruskal-Wallis test. Using modern portfolio theory the efficient frontiers are estimated for each market in analysis. Comparative analysis of results shows significant difference between two groups of markets and significant similarities inside each group. The study is made for American, English, French and German capital markets as developed markets and for Croatian, Slovenian and Czech capital markets as transition European markets. Pearson correlation indices coefficients show that there are huge and significant correlations between developed market indices, while in the group of undeveloped markets there are week correlations between indices. Similar conclusions can be derived according to non-parametric Spearman correlation coefficients of the indices change rates. Univariante analysis of variance confirms that there are significant difference between trends on well established on one side and new transitional capital markets on other side, considering Levene statistic test of homogeneity of indices variances. Furthermore, Kruskal-Vallis test shows that there is no significant difference in trends of the indices change rates in the "developed" group as well as in the "undeveloped" group. Efficient frontiers show the wider range of returns and risk in the group of new and growing capital markets, while established markets offers lower values of return but with significantly lower level of risk.

new and growing capital markets; established markets; statistical analysis; modern portfolio theory; efficient frontiers

nije evidentirano