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  • Author: Zdravka Aljinović x
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Zdravka Aljinović and Andrea Trgo


Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is applied to the Croatian stock market to estimate the risk for 8 sectors in Croatia. The method and an appropriate backtesting are applied to the sample of 29 stocks grouped into 8 sectors for the three different periods: the period of economic growth 2006-2007, the crisis period 2008-2009 and the post-crisis period 2013-2014, characterized by long-term economic stagnation in Croatia. Objectives: The objective of this paper is to estimate the risk of 8 sectors on the Croatian stock market in three different economic periods and to identify whether the sectors that are risky during the crisis period are the same sectors that are risky in the period of economic growth and economic stagnation. Methods/Approach: The Conditional Value-at-Risk method and an appropriate backtesting are applied. Results: Empirical findings indicate that sectors that are risky in the period of economic growth are not the same sectors that are risky during the period of economic crisis or stagnation. Conclusions: In all the three periods, the least risky sectors were Hotel-management, Tourism, Food, and Staples Retailing. The Construction sector in all the three periods was among the riskiest sectors

Open access

Jelena Vidović, Tea Poklepović and Zdravka Aljinović


Background: Liquidity is, in practice of portfolio investment, an important attribute of stocks and measuring illiquidity presents a real challenge for researchers, primarily on developed stock markets. Moreover, there is a lack of research dealing with (il)liquidity on emerging markets. In the paper, the problem of applicability and validity of two well-known illiquidity measures, ILLIQ and TURN, on European emerging markets is observed. Objectives: The paper has two main purposes. The first is to test the relative performance of the two selected illiquidity measures in terms of their validity on European emerging stock markets. The second is to propose a new and improved illiquidity measure named Relative Change in Volume (RCV).

Methods/Approach: Using daily returns and traded volumes for 12 stocks which are constituents of stock indices on seven observed markets, ILLIQ and TURN along with the new proposed measure are calculated and tested based on correlation with return. All measures are tested and proposed using the single stock approach.

Results: It is shown that ILLIQ and TURN are not appropriate for seven observed markets. The measures do not follow the obligatory request that returns increase in illiquidity while RCV has the ability of taking into account the pressure of big differences in volume on return. RCV gives satisfactory results, making clear the distinction between liquid and illiquid stocks and between liquid and illiquid markets.

Conclusions: The proposed measure potentially has important implications in illiquidity measurement in general, and not only for investors on emerging stock markets.