| Abstract [eng] |
The final paper presents an analysis of the price sensitivity of the stocks of different sectors of the economy to economic fluctuations with the goal of offering an investment portfolio formation model during different business cycles, i.e. the periods of expansion and recession. Such methods as analysis of scientific literature, systemization, grouping, detailing of information and graphic representation are employed to review the concepts of financial markets, investment portfolio formation and management, cyclical pattern of the economy and indicators describing the cycle phase. The economic sectors are categorized as sensitive or resistant to the economic changes, and the business cycle phase indicators are ascertained. It is also determined that using the cycle indicators of the USA as the leading country in the world of economy is purposeful in the estimations of economic changes. The methods of analysis of statistical data, systemization, grouping, graphic representation and regression analysis are used to analyze the empirical relationship between the Lithuanian and USA GDP and to determine that the USA business cycle indicators can be applied to assess the cyclicality of the Lithuanian economy. The empirical relationships between the business cycle indicators and the changes in Lithuanian GDP during 2005-2014 are summarized. Not all of the indicators are found to coincide with the conclusions of the theoretical analysis: the same indictor may be leading at the time of economic expansion or transform into coincident indicator at the moment of recession. It is also determined that the coincident indicators can be used as leading indicators in the estimates of the Lithuanian economic changes. An investment portfolio formation model is suggested after an assessment of the correlation between macroeconomic indicators and economic sectors. This model grants the possibility to carry out sector selection when forming the optimum portfolio from the stocks of companies from different economic sectors during the periods of economic expansion and recession. |
