20.500.12556/DKUM-69415 Testing the sustainability of growth of the LJSEX in the January 2000 to May 2010 period Analiza rasti indeksa LJSEX z metodo borznih balonov v obdobju januar 2000 do maj 2010 In this paper we analyse the behaviour of the LJSEX, the main index of the Ljubljana Stock Exchange, in the period from January 2000 till May 2010. More precisely, we test for the presence of bubbles and antibubbles and try to determine whether or not a bubble could have been predicted (both the formation and the date of the bubble burst). Second, we also employ techniques used to model antibubbles to forecast the future behaviour of the LJSE index. Besides modelling index dynamics for the aforementioned period, we also seek to determine the factors that led to the bubble forming and later bursting. We find that the bubble could have been forecasted at least several months in advance. On the other hand, a very precise date of the crash seems harder to identify. By more closely analysing the interplay between interest rates, credit activity and the LJSEX, we conclude that there is a clear connection between decreasing interest rates, increased credit activity and the formation of a stock bubble. If there is a clear correlation between the early phase of a bubble and increased credit activity of the banking sector, the link between the end of the bubble and the restriction of credit activity is less pronounced. By fitting the extended antibubble model from (Johansen 1999a) we obtain the values of parameters that give us some indication of the future behaviour of the LJSEX. Based on these results we conclude that in the next few years we are likely to experience a period of increased volatility with no clear increasing or decreasing growth pattern. Članek se ukvarja z analizo prisotnosti borznih balonov osrednjega indeksa ljubljanske borze LJSEX v obdobju od januarja 2000 do maja 2010. Bolj podrobno v članku analiziram, ali so v danem obdobju nastali borzni baloni in anti-baloni ter ali je bilo možno le-te predvideti. Drugič, na podlagi metodologije anti-balonov poskušam napovedati tudi nadaljnje gibanje indeksa LJSEX. Kot ugotovim s pomočjo metodologije vzete iz statistične fizike, bi bilo moč nastanek borznega balona napovedati nekaj mesecev vnaprej. Po drugi strani pa je pok borznega balona težje napovedati. V okviru analize vpliva makroekonomskih faktorjev na delniške tečaje ugotovim, da so padajoče obrestne mere in povečana kreditna aktivnost močno botrovale nastanku borznega balona. Če je v primeru nastanka borznega balona močna soodvisnost med povečano kreditno aktivnostjo in rastjo delniškega tečaja, pa je pok balona težje pripisati zmanjšanju kreditne aktivnosti. S pomočjo metodologije napovedovanja tečajev v fazi anti-balonov (Johansen 1999a) ugotovim ,da lahko v prihodnjih letih na slovenskem delniškem trgu pričakujemo povečano volatilnost brez izrazitega trenda padanja ali rasti tečajev. exchange interest rate business mathematics calculations models borze obrestna mera poslovna matematika kalkulacije modeli true true true Angleški jezik Slovenski jezik Znanstveno delo 2018-01-22 12:37:06 2018-01-22 12:37:48 2022-08-01 17:26:18 2019-07-11 17:31:30 2011 0 0 str. 47-58 št. 2 Letn. 44 mar./apr. 2011 0000-00-00 Zaloznikova Objavljeno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 1318-5454 330.4 610909 20020198 10.2478/v10051-011-0005-x 1318-5454 URN:SI:UM:DK:M5KWNIJH Organizacija_2011_Ahcan_Testing_the_Sustainability_of_Growth_of_the_LJSEX_in_the_January_2000_to_May_2010_period.pdf Organizacija_2011_Ahcan_Testing_the_Sustainability_of_Growth_of_the_LJSEX_in_the_January_2000_to_May_2010_period.pdf 1 E5E3B92BCD0631EC88BBDAC2C7C9031E 37fe6232e40f2b4f93f5d56a4a79499c2151a099330a57d3fe8562816bf479b5 9bb0d592-7c0f-11eb-bb7a-00155d0001ca 20.500.12556/dkum/ab16ba1c-03a8-45e9-a73a-b14189541f5f https://dk.um.si/Dokument.php?lang=slv&id=121419 http://www.degruyter.com/view/j/orga.2011.44.issue-2/v10051-011-0005-x/v10051-011-0005-x.xml 1 https://dk.um.si/Dokument.php?lang=slv&id=121418 Fakulteta za organizacijske vede Organizacija 0 0 0