An investigation of the benefits of portfolio investment in Central and Eastern European stock markets

被引：16

作者：

Middleton, C. A. J. ^{[1
]}

Fifield, S. G. M. ^{[2
]}

Power, D. M. ^{[2
]}

机构：

[1] Univ St Andrews, Sch Management, St Andrews KY16 9SS, Fife, Scotland

[2] Univ Dundee, Sch Accounting & Finance, Perth Rd, Dundee DD1 4HN, Scotland

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2008年 / 22卷 / 02期

关键词：

Central and Eastern Europe; Emerging markets; Portfolio diversification; Country and industry factors;

D O I：

10.1016/j.ribaf.2007.04.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper: (i) examines the potential benefits from diversifying into eight stock markets of Central and Eastern Europe (CEE); and (ii) quantifies the importance of country, industry and time factors in CEE equity returns. The findings suggest that substantial benefits exist from investing in CEE stock markets and that they accrue more from the geographical spread than from the industrial mix of the equities included in the portfolio. However, the returns earned by CEE equities vary dramatically over time. This variability may hamper the efforts of investors attempting to exploit the diversification "free lunch". (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：162 / 174

页数：13

共 50 条

[1] The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets
Todea, Alexandru
Plesoianu, Anita
[J]. ECONOMIC MODELLING, 2013, 33 : 34 - 41
[2] An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits
Guidi, Francesco
Ugur, Mehmet
[J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2014, 30 : 119 - 136
[3] Nonlinearities in central and eastern European stock markets
Harrison, Barry
Moore, Winston
[J]. APPLIED ECONOMICS LETTERS, 2011, 18 (13-15) : 1363 - 1366
[4] INVESTIGATION OF STOCK ILLIQUIDITY ON CENTRAL AND SOUTH EAST EUROPEAN MARKETS IN NAIVE PORTFOLIO FRAMEWORK
Vidovic, Jelena
[J]. EKONOMSKA MISAO I PRAKSA-ECONOMIC THOUGHT AND PRACTICE, 2013, 22 (02): : 537 - 550
[5] CORRELATION AND VOLATILITY IN CENTRAL AND EASTERN EUROPEAN STOCK MARKETS
Horobet, Alexandra
Dumitrescu, Sorin
[J]. INDUSTRIAL REVOLUTIONS, FROM THE GLOBALIZATION AND POST-GLOBALIZATION PERSPECTIVE, VOL IV: BANKING, ACCOUNTING AND FINANCIAL SYSTEMS FROM THE 21ST CENTURY PERSPECTIVE, 2009, : 326 - 335
[6] An analysis of dependence between Central and Eastern European stock markets
Reboredo, Juan C.
Tiwari, Aviral Kumar
Albulescu, Claudiu Tiberiu
[J]. ECONOMIC SYSTEMS, 2015, 39 (03) : 474 - 490
[7] International Portfolio Diversification Benefits: An Empirical Investigation of the 28 European Stock Markets During the Period 2014-2024
Zaimovic, Azra
Arnaut-Berilo, Almira
Beslija, Rijad
[J]. SOUTH EAST EUROPEAN JOURNAL OF ECONOMICS AND BUSINESS, 2024, 19 (01) : 96 - 112
[8] Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis
Tilfani, Oussama
Ferreira, Paulo
El Boukfaoui, My Youssef
[J]. POST-COMMUNIST ECONOMIES, 2020, 32 (05) : 643 - 674
[9] A NONPARAMETRIC SERIAL CORRELATION TEST OF THE CENTRAL AND EASTERN EUROPEAN STOCK MARKETS
Bota, Gabor
Ormos, Mihaly
[J]. EUROPEAN FINANCIAL SYSTEMS 2012, 2012, : 18 - +
[10] Dilemma: Regional or international interdependencies in Central and Eastern European stock markets
Stoica, Ovidiu
Diaconasu, Delia-Elena
Socoliuc, Oana Ramona
[J]. GLOBALIZATION AND HIGHER EDUCATION IN ECONOMICS AND BUSINESS ADMINISTRATION - GEBA 2013, 2015, 20 : 601 - 609

← 1 2 3 4 5 →