Inflation rate impact on the share returns of real sector companies in AP Vojvodina
Abstract
Taking into account the current trends in the domestic financial market,
the subject of this research is the analysis, testing and quantification
of the inflation rate impact on the daily share returns of the real sector
companies in AP Vojvodina. The aim of the research is to generate
concrete, practically tested and quantified knowledge about the possibilities
and efficiency of the GARCH models application to quantify
the inflation rate impact on the share returns of the observed companies.
The period covered by the survey is from 2006 to 2016 and it includes
the real sector companies of AP Vojvodina whose shares are quoted
within the stock exchange index BELEXline. The research results show
the exact correlation between the daily return rates of the observed
companies and the financial risk factor - the inflation rate. The results
also show a positive impact of the variable inflation rate on the returns
of companies NIS a.d (0.013876), Sojaprotein a.d (0.019167) and Vital
a.d (0.051056), and a negative impact on the returns of the company
Veterinary Institute a.d (-0.000183). The research results confirm the
role and significance of the application of econometric models in order
to quantify financial risk factors of returns from investment activities
in the real sector companies of AP Vojvodina.
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