Empirical Economics

, Volume 56, Issue 4, pp 1325–1339 | Cite as

Evaluating Croatian stock index forecasts

  • Silvija Vlah JerićEmail author
  • Mihovil Anđelinović


This paper reports findings from a study that has collected data on the expectations of Croatian stock market participants regarding the future level of the Croatian equity index CROBEX. The data are described and analyzed as a three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The results suggest that the panel under study has not been rational in predicting the index values. Forecasters tend to be biased, with a general tendency to overpredict the real index values in the sampled period. Some forecasters fail the test of efficiency by having a correlation between the forecast error and the past CROBEX value or Croatia’s industrial production which was known to the forecaster at the time the forecast was made. Also, there is considerable individual heterogeneity. The framework used for analyzing the panel data also provided the means to distinguish between shocks and anticipated changes and to calculate them, as well as to calculate the implied volatility measures.


Forecast surveys Three-dimensional panel Stock index expectations Forecast bias Forecast efficiency 

JEL Classification

C23 C53 C83 G02 


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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Faculty of Economics and Business ZagrebZagrebCroatia

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