Evaluation of stocks from Zagreb stock exchange

In this paper we are dealing with evaluation of stocks from Zagreb stock exchange in order identify predictability of particular stocks in relation to others. Zagreb stock market is relatively young and unstable. Changes of stocks prices are dependent on different social factors and, generally speaking, they do not satisfy conditions on the normality of distribution. Twenty stocks are chosen on the basis of their solvency (through longer period of time) and completeness of corresponding data. Total period of half a year in 2007 and 2008 is monitored. Half of these stocks are included in official index of Zagreb stock exchange CROBEX and others are not included at the end of period in which stocks are monitored. Nevertheless, is appears that prices of almost all chosen stocks are highly correlated to each other and to CROBEX. Analysis of stock prices by principal components reveals that there is only one relevant component highly correlated to CROBEX. Stocks are compared to CROBEX and they are compared mutually. For comparison of means and medians of changes of stocks prices we use chosen parametric and nonparametric statistical methods.