Improving portfolio liquidity

IF 0.5 Q4 ECONOMICS

Croatian Operational Research Review Pub Date : 2023-07-10 DOI:10.17535/crorr.2023.0003

Dujam Kovač, Doris Podrug

引用次数: 1

Abstract

This article describes how investors on the Zagreb Stock Exchange (ZSE) can use Multiple Criteria Decision Making (MCDM) to select shares for investment. Both financial and market liquidity criteria are used to compare different shares. Market liquidity criteria include the average number of daily trades and the average daily turnover on the regular market. These criteria help to determine the liquidity of shares in the secondary market, which is the main contribution of this research.The investment selection proposal is based on the PROMETHEE. The performance of the portfolio constructed using the Modern Portfolio Theory (MPT) was tested. Predictably, the inclusion of liquidity criteria in the share selection process resulted in an increase in the liquidity of the portfolio, an effect that is clearly evident after 2019. However, such a portfolio does not provide significantly different returns compared to a scenario where liquidity criteria are excluded from share selection process. Reading this paper provides an insight into how to make investment decisions based on criteria consistent with investors’ objectives in an developing capital market.

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提高投资组合流动性

本文介绍了萨格勒布证券交易所（ZSE）的投资者如何使用多准则决策（MCDM）来选择投资股票。金融和市场流动性标准都用于比较不同的股票。市场流动性标准包括常规市场的平均每日交易次数和平均每日营业额。这些标准有助于确定股票在二级市场的流动性，这是本研究的主要贡献。投资选择方案以PROMETHEE为基础。测试了使用现代投资组合理论（MPT）构建的投资组合的性能。不出所料，在股票选择过程中纳入流动性标准导致了投资组合流动性的增加，这一影响在2019年后明显可见。然而，与将流动性标准排除在股票选择过程之外的情况相比，这种投资组合不会提供显著不同的回报。阅读本文可以深入了解在发展中的资本市场中，如何根据符合投资者目标的标准做出投资决策。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Croatian Operational Research Review ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

22 weeks

期刊介绍： Croatian Operational Research Review (CRORR) is the journal which publishes original scientific papers from the area of operational research. The purpose is to publish papers from various aspects of operational research (OR) with the aim of presenting scientific ideas that will contribute both to theoretical development and practical application of OR. The scope of the journal covers the following subject areas: linear and non-linear programming, integer programing, combinatorial and discrete optimization, multi-objective programming, stohastic models and optimization, scheduling, macroeconomics, economic theory, game theory, statistics and econometrics, marketing and data analysis, information and decision support systems, banking, finance, insurance, environment, energy, health, neural networks and fuzzy systems, control theory, simulation, practical OR and applications. The audience includes both researchers and practitioners from the area of operations research, applied mathematics, statistics, econometrics, intelligent methods, simulation, and other areas included in the above list of topics. The journal has an international board of editors, consisting of more than 30 editors – university professors from Croatia, Slovenia, USA, Italy, Germany, Austria and other coutries.