Evaluating Croatian stock index forecasts View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2019-04

AUTHORS

Silvija Vlah Jerić, Mihovil Anđelinović

ABSTRACT

This paper reports findings from a study that has collected data on the expectations of Croatian stock market participants regarding the future level of the Croatian equity index CROBEX. The data are described and analyzed as a three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The results suggest that the panel under study has not been rational in predicting the index values. Forecasters tend to be biased, with a general tendency to overpredict the real index values in the sampled period. Some forecasters fail the test of efficiency by having a correlation between the forecast error and the past CROBEX value or Croatia’s industrial production which was known to the forecaster at the time the forecast was made. Also, there is considerable individual heterogeneity. The framework used for analyzing the panel data also provided the means to distinguish between shocks and anticipated changes and to calculate them, as well as to calculate the implied volatility measures. More... »

PAGES

1325-1339

Journal

TITLE

Empirical Economics

ISSUE

4

VOLUME

56

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00181-017-1393-4

DOI

http://dx.doi.org/10.1007/s00181-017-1393-4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1101083786


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1403", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Econometrics", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/14", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Economics", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "name": [
            "Faculty of Economics and Business Zagreb, Trg J.F. Kennedya 6, 10000, Zagreb, Croatia"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Vlah Jeri\u0107", 
        "givenName": "Silvija", 
        "id": "sg:person.012114362541.23", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012114362541.23"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "name": [
            "Faculty of Economics and Business Zagreb, Trg J.F. Kennedya 6, 10000, Zagreb, Croatia"
          ], 
          "type": "Organization"
        }, 
        "familyName": "An\u0111elinovi\u0107", 
        "givenName": "Mihovil", 
        "id": "sg:person.015175347462.33", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.015175347462.33"
        ], 
        "type": "Person"
      }
    ], 
    "citation": [
      {
        "id": "https://doi.org/10.1002/jae.1242", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1005470085"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.ijforecast.2008.04.003", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1007522635"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.econlet.2012.03.019", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1008080468"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1002/jae.1167", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1013462691"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1002/jae.954", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1014842066"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.jimonfin.2008.09.001", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1015200528"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1002/jae.1225", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1017168457"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1057/palgrave.jam.2240130", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1023078475", 
          "https://doi.org/10.1057/palgrave.jam.2240130"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.ijforecast.2009.10.008", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1025478431"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.ijforecast.2005.09.007", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1027425763"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1017/cbo9780511493140.011", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1028359390"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s1574-0706(05)01014-1", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1035157750"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/15427560.2014.968720", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1035399594"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/1540-6261.00593", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1036358793"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/17446540802584871", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1042486221"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/209653", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1044165293"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.3406/ecop.1994.5655", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1046190196"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/1467-6419.00105", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1047943977"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/0304-4076(94)01649-k", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1049013923"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/665662", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058850346"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/ma.18.3585252", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058919598"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/1909635", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069638734"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/1992219", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069688226"
        ], 
        "type": "CreativeWork"
      }
    ], 
    "datePublished": "2019-04", 
    "datePublishedReg": "2019-04-01", 
    "description": "This paper reports findings from a study that has collected data on the expectations of Croatian stock market participants regarding the future level of the Croatian equity index CROBEX. The data are described and analyzed as a three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The results suggest that the panel under study has not been rational in predicting the index values. Forecasters tend to be biased, with a general tendency to overpredict the real index values in the sampled period. Some forecasters fail the test of efficiency by having a correlation between the forecast error and the past CROBEX value or Croatia\u2019s industrial production which was known to the forecaster at the time the forecast was made. Also, there is considerable individual heterogeneity. The framework used for analyzing the panel data also provided the means to distinguish between shocks and anticipated changes and to calculate them, as well as to calculate the implied volatility measures.", 
    "genre": "research_article", 
    "id": "sg:pub.10.1007/s00181-017-1393-4", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": false, 
    "isPartOf": [
      {
        "id": "sg:journal.1027901", 
        "issn": [
          "0377-7332", 
          "1435-8921"
        ], 
        "name": "Empirical Economics", 
        "type": "Periodical"
      }, 
      {
        "issueNumber": "4", 
        "type": "PublicationIssue"
      }, 
      {
        "type": "PublicationVolume", 
        "volumeNumber": "56"
      }
    ], 
    "name": "Evaluating Croatian stock index forecasts", 
    "pagination": "1325-1339", 
    "productId": [
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "acfdb1e2abd0e24b115f61882db95588187fd104216b9c450c063d0b0ffefc5a"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1007/s00181-017-1393-4"
        ]
      }, 
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1101083786"
        ]
      }
    ], 
    "sameAs": [
      "https://doi.org/10.1007/s00181-017-1393-4", 
      "https://app.dimensions.ai/details/publication/pub.1101083786"
    ], 
    "sdDataset": "articles", 
    "sdDatePublished": "2019-04-11T12:06", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000360_0000000360/records_118336_00000001.jsonl", 
    "type": "ScholarlyArticle", 
    "url": "https://link.springer.com/10.1007%2Fs00181-017-1393-4"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s00181-017-1393-4'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s00181-017-1393-4'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s00181-017-1393-4'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s00181-017-1393-4'


 

This table displays all metadata directly associated to this object as RDF triples.

139 TRIPLES      21 PREDICATES      50 URIs      19 LITERALS      7 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1007/s00181-017-1393-4 schema:about anzsrc-for:14
2 anzsrc-for:1403
3 schema:author N6143a1d3b7924f64921efc4badb2339f
4 schema:citation sg:pub.10.1057/palgrave.jam.2240130
5 https://doi.org/10.1002/jae.1167
6 https://doi.org/10.1002/jae.1225
7 https://doi.org/10.1002/jae.1242
8 https://doi.org/10.1002/jae.954
9 https://doi.org/10.1016/0304-4076(94)01649-k
10 https://doi.org/10.1016/j.econlet.2012.03.019
11 https://doi.org/10.1016/j.ijforecast.2005.09.007
12 https://doi.org/10.1016/j.ijforecast.2008.04.003
13 https://doi.org/10.1016/j.ijforecast.2009.10.008
14 https://doi.org/10.1016/j.jimonfin.2008.09.001
15 https://doi.org/10.1016/s1574-0706(05)01014-1
16 https://doi.org/10.1017/cbo9780511493140.011
17 https://doi.org/10.1080/15427560.2014.968720
18 https://doi.org/10.1080/17446540802584871
19 https://doi.org/10.1086/209653
20 https://doi.org/10.1086/665662
21 https://doi.org/10.1086/ma.18.3585252
22 https://doi.org/10.1111/1467-6419.00105
23 https://doi.org/10.1111/1540-6261.00593
24 https://doi.org/10.2307/1909635
25 https://doi.org/10.2307/1992219
26 https://doi.org/10.3406/ecop.1994.5655
27 schema:datePublished 2019-04
28 schema:datePublishedReg 2019-04-01
29 schema:description This paper reports findings from a study that has collected data on the expectations of Croatian stock market participants regarding the future level of the Croatian equity index CROBEX. The data are described and analyzed as a three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The results suggest that the panel under study has not been rational in predicting the index values. Forecasters tend to be biased, with a general tendency to overpredict the real index values in the sampled period. Some forecasters fail the test of efficiency by having a correlation between the forecast error and the past CROBEX value or Croatia’s industrial production which was known to the forecaster at the time the forecast was made. Also, there is considerable individual heterogeneity. The framework used for analyzing the panel data also provided the means to distinguish between shocks and anticipated changes and to calculate them, as well as to calculate the implied volatility measures.
30 schema:genre research_article
31 schema:inLanguage en
32 schema:isAccessibleForFree false
33 schema:isPartOf N44e0515c77e3484bbd5dc6846766500c
34 Ne6025f2b780942ffa90be91aabf844d9
35 sg:journal.1027901
36 schema:name Evaluating Croatian stock index forecasts
37 schema:pagination 1325-1339
38 schema:productId N0bd7f2a3da9b4b999389be6dfe912ab1
39 N776170220658439a8738a35a79527d20
40 N8750597868574f31be044ca148c77ba3
41 schema:sameAs https://app.dimensions.ai/details/publication/pub.1101083786
42 https://doi.org/10.1007/s00181-017-1393-4
43 schema:sdDatePublished 2019-04-11T12:06
44 schema:sdLicense https://scigraph.springernature.com/explorer/license/
45 schema:sdPublisher N2dc18243cdf7423480115c0070e572d7
46 schema:url https://link.springer.com/10.1007%2Fs00181-017-1393-4
47 sgo:license sg:explorer/license/
48 sgo:sdDataset articles
49 rdf:type schema:ScholarlyArticle
50 N0bd7f2a3da9b4b999389be6dfe912ab1 schema:name readcube_id
51 schema:value acfdb1e2abd0e24b115f61882db95588187fd104216b9c450c063d0b0ffefc5a
52 rdf:type schema:PropertyValue
53 N2dc18243cdf7423480115c0070e572d7 schema:name Springer Nature - SN SciGraph project
54 rdf:type schema:Organization
55 N44e0515c77e3484bbd5dc6846766500c schema:issueNumber 4
56 rdf:type schema:PublicationIssue
57 N52c9d472fc2547b8858a236301092c10 rdf:first sg:person.015175347462.33
58 rdf:rest rdf:nil
59 N6143a1d3b7924f64921efc4badb2339f rdf:first sg:person.012114362541.23
60 rdf:rest N52c9d472fc2547b8858a236301092c10
61 N776170220658439a8738a35a79527d20 schema:name dimensions_id
62 schema:value pub.1101083786
63 rdf:type schema:PropertyValue
64 N8750597868574f31be044ca148c77ba3 schema:name doi
65 schema:value 10.1007/s00181-017-1393-4
66 rdf:type schema:PropertyValue
67 Nb21ee49b084e40b390b6bfd38a99d064 schema:name Faculty of Economics and Business Zagreb, Trg J.F. Kennedya 6, 10000, Zagreb, Croatia
68 rdf:type schema:Organization
69 Nd3f366525da844bfabea1c3a395d9f71 schema:name Faculty of Economics and Business Zagreb, Trg J.F. Kennedya 6, 10000, Zagreb, Croatia
70 rdf:type schema:Organization
71 Ne6025f2b780942ffa90be91aabf844d9 schema:volumeNumber 56
72 rdf:type schema:PublicationVolume
73 anzsrc-for:14 schema:inDefinedTermSet anzsrc-for:
74 schema:name Economics
75 rdf:type schema:DefinedTerm
76 anzsrc-for:1403 schema:inDefinedTermSet anzsrc-for:
77 schema:name Econometrics
78 rdf:type schema:DefinedTerm
79 sg:journal.1027901 schema:issn 0377-7332
80 1435-8921
81 schema:name Empirical Economics
82 rdf:type schema:Periodical
83 sg:person.012114362541.23 schema:affiliation Nd3f366525da844bfabea1c3a395d9f71
84 schema:familyName Vlah Jerić
85 schema:givenName Silvija
86 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012114362541.23
87 rdf:type schema:Person
88 sg:person.015175347462.33 schema:affiliation Nb21ee49b084e40b390b6bfd38a99d064
89 schema:familyName Anđelinović
90 schema:givenName Mihovil
91 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.015175347462.33
92 rdf:type schema:Person
93 sg:pub.10.1057/palgrave.jam.2240130 schema:sameAs https://app.dimensions.ai/details/publication/pub.1023078475
94 https://doi.org/10.1057/palgrave.jam.2240130
95 rdf:type schema:CreativeWork
96 https://doi.org/10.1002/jae.1167 schema:sameAs https://app.dimensions.ai/details/publication/pub.1013462691
97 rdf:type schema:CreativeWork
98 https://doi.org/10.1002/jae.1225 schema:sameAs https://app.dimensions.ai/details/publication/pub.1017168457
99 rdf:type schema:CreativeWork
100 https://doi.org/10.1002/jae.1242 schema:sameAs https://app.dimensions.ai/details/publication/pub.1005470085
101 rdf:type schema:CreativeWork
102 https://doi.org/10.1002/jae.954 schema:sameAs https://app.dimensions.ai/details/publication/pub.1014842066
103 rdf:type schema:CreativeWork
104 https://doi.org/10.1016/0304-4076(94)01649-k schema:sameAs https://app.dimensions.ai/details/publication/pub.1049013923
105 rdf:type schema:CreativeWork
106 https://doi.org/10.1016/j.econlet.2012.03.019 schema:sameAs https://app.dimensions.ai/details/publication/pub.1008080468
107 rdf:type schema:CreativeWork
108 https://doi.org/10.1016/j.ijforecast.2005.09.007 schema:sameAs https://app.dimensions.ai/details/publication/pub.1027425763
109 rdf:type schema:CreativeWork
110 https://doi.org/10.1016/j.ijforecast.2008.04.003 schema:sameAs https://app.dimensions.ai/details/publication/pub.1007522635
111 rdf:type schema:CreativeWork
112 https://doi.org/10.1016/j.ijforecast.2009.10.008 schema:sameAs https://app.dimensions.ai/details/publication/pub.1025478431
113 rdf:type schema:CreativeWork
114 https://doi.org/10.1016/j.jimonfin.2008.09.001 schema:sameAs https://app.dimensions.ai/details/publication/pub.1015200528
115 rdf:type schema:CreativeWork
116 https://doi.org/10.1016/s1574-0706(05)01014-1 schema:sameAs https://app.dimensions.ai/details/publication/pub.1035157750
117 rdf:type schema:CreativeWork
118 https://doi.org/10.1017/cbo9780511493140.011 schema:sameAs https://app.dimensions.ai/details/publication/pub.1028359390
119 rdf:type schema:CreativeWork
120 https://doi.org/10.1080/15427560.2014.968720 schema:sameAs https://app.dimensions.ai/details/publication/pub.1035399594
121 rdf:type schema:CreativeWork
122 https://doi.org/10.1080/17446540802584871 schema:sameAs https://app.dimensions.ai/details/publication/pub.1042486221
123 rdf:type schema:CreativeWork
124 https://doi.org/10.1086/209653 schema:sameAs https://app.dimensions.ai/details/publication/pub.1044165293
125 rdf:type schema:CreativeWork
126 https://doi.org/10.1086/665662 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058850346
127 rdf:type schema:CreativeWork
128 https://doi.org/10.1086/ma.18.3585252 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058919598
129 rdf:type schema:CreativeWork
130 https://doi.org/10.1111/1467-6419.00105 schema:sameAs https://app.dimensions.ai/details/publication/pub.1047943977
131 rdf:type schema:CreativeWork
132 https://doi.org/10.1111/1540-6261.00593 schema:sameAs https://app.dimensions.ai/details/publication/pub.1036358793
133 rdf:type schema:CreativeWork
134 https://doi.org/10.2307/1909635 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069638734
135 rdf:type schema:CreativeWork
136 https://doi.org/10.2307/1992219 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069688226
137 rdf:type schema:CreativeWork
138 https://doi.org/10.3406/ecop.1994.5655 schema:sameAs https://app.dimensions.ai/details/publication/pub.1046190196
139 rdf:type schema:CreativeWork
 




Preview window. Press ESC to close (or click here)


...