Returns and Volatility of the European Frontier Markets

In this paper, first, we will take notice of the development of seven European frontier markets in examined period from 2003:03 to 2014:08. Subsequently, a comparison of volatility will be made with the development of the stock markets in three European emerging markets (Czech Republic, Hungary, Poland) and in three developed markets (Germany, the United Kingdom USA). Both main quantitative characteristics of the stock market indexes will be analyzed as well as the correlation of monthly returns. The comparison of monthly returns and risks on stock markets in Bulgaria, Croatia, Estonia, Lithuania, Romania, Serbia and Slovenia has confirmed both return-risk characteristics as well low correlation of returns which are typical for the frontier markets.