Complete time series for Inflation rate and daily returns of share of the company of real sector in Vojvodina (Serbia)

Taking into account the current trends in the domestic financial market, the research subject is the analysis, testing and quantification of the inflation rate impact on the daily share returns of the real sector companies in AP Vojvodina. The aim of the research is a concrete, practically tested and quantified knowledge about the possibilities and efficiency of the GARCH models application to quantify the inflation rate impact on the share returns of the observed companies. The period covered by the survey is from 2006 to 2016 and it includes the real sector companies of AP Vojvodina whose shares are quoted within the stock exchange index BELEXline. The result show exact correlation between the daily rates of the returns of observed companies and the financial risk factor - the inflation rate. The results also show a positive impact of the variable inflation rate on the rates of returns of companies NIS a.d (0.013876), Sojaprotein a.d (0.019167) and Vital a.d (0.051056), while it also shows that the inflation rate has a negative impact on the rates of returns of shares of the company Veterinary Institute a.d (-0.000183). The research results confirm the role and significance of the application of econometric models in order to quantify financial risk factors of returns from investment activities in the real sector companies of AP Vojvodina.

结合当前区域金融市场发展趋势，本研究的核心内容为分析、检验并量化通胀率对伏伊伏丁那自治省（AP Vojvodina）实体行业上市公司每日股票收益率的影响。本研究的目标在于，通过应用GARCH模型（Generalized Autoregressive Conditional Heteroskedasticity）量化通胀率对样本上市公司股票收益率的影响，获取具备实践验证基础的具象化量化研究结论，明确该模型的应用可行性与实际效能。本次研究的样本区间为2006年至2016年，样本涵盖伏伊伏丁那自治省（AP Vojvodina）的实体行业上市公司，其股票均纳入BELEXline证券交易所指数成分股。研究结果证实，样本上市公司的每日收益率与通胀率这一金融风险因子之间存在确切的相关关系。此外，研究结果还表明，通胀率的波动对NIS a.d、Sojaprotein a.d及Vital a.d三家公司的股票收益率存在正向影响，其影响系数分别为0.013876、0.019167与0.051056；而通胀率对Veterinary Institute a.d公司的股票收益率则存在负向影响，影响系数为-0.000183。本研究结果证实，计量经济学模型在量化伏伊伏丁那自治省实体行业上市公司投资活动收益率相关金融风险因子方面，具备不可或缺的作用与重要应用价值。