{"title":"Improving portfolio liquidity","authors":"Dujam Kovač, Doris Podrug","doi":"10.17535/crorr.2023.0003","DOIUrl":null,"url":null,"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.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":null,"pages":null},"PeriodicalIF":0.5000,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Croatian Operational Research Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17535/crorr.2023.0003","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
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.
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