Returns and Volatility of the European Frontier Markets

被引：0

作者：

Kulhanek, Lumir ^{[1
]}

机构：

[1] VSB Tech Univ Ostrava, Dept Finance, Fac Econ, Sokolska Trida 33, Ostrava 70121 1, Czech Republic

来源：

MANAGING AND MODELLING OF FINANCIAL RISKS: 7TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III | 2014年

关键词：

Frontier markets; Stock market returns; Risk; Portfolio diversification;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：440 / +

页数：2

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