Analiza odnosa između mjere likvidnosti i raspona kupovnih i prodajnih kotizacijskih cijena: Empirijsko istraživanje na uzorku obveznica sa službenih mjesta trgovanja
DOI:
https://doi.org/10.15291/oec.4427Ključne riječi:
stupanj likvidnosti, raspon kupovnih i prodajnih cijena, indeks likvidnosti, IFRS 13Sažetak
Identifikacija stupnja likvidnosti financijskih imovina značajna je u procesu upravljanja i računovodstvenog priznavanja pozicija u vrijednosnim papirima priznatim u knjizi trgovanja ili knjizi banke kod bankovnih financijskih posrednika. Financijska teorija kao najznačajniji indikator likvidnosti vrijednosnih papira uzima raspon između kotiranih kupovnih i prodajnih cijena. Tržišna likvidnost vrijednosnih papira što se indicira u malom rasponu kupovnih i prodajnih cijena smanjuje troškove zauzimanja dugih ili kratkih pozicija kod ključnih nositelja trgovanja na financijskim tržištima. Nakon globalne financijske krize iz 2007 godine Bloomberg razvija novu složenu mjeru likvidnosti financijskih imovina prihvaćenu od strane profesionalnih sudionika financijskog sustava. Temeljni cilj ovoga rada jeste u analizi veze između nove mjere likvidnosti financijskih imovina te njihova raspona kupovnih i prodajnih kotacijskih cijena. Empirijska veza između pokazatelja bit će analizirana na temelju podataka javno kotiranih vrijednosnih papira na dva najveća službena tržišta, Euronext i Londonske burze vrijednosnih papira. Analizom je dokazana značajnost negativne veze između mjere likvidnosti i raspona kotacijskih cijena kod visoko likvidnih dužničkih vrijednosnih papira, ali i kod vrijednosnih papira nižeg stupnja likvidnosti. Rezultati istraživanja mogu se koristiti kod donošenja investicijskih strategija te klasifikaciji portfelja prema stupnju njihove likvidnosti sukladno zahtjevu Međunarodnih standarda financijskog izvještavanja.
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