Portfolio allocations and the emerging equity markets of Central Europe

Gilmore, Claire G.; McManus, Ginette M.; Tezel, Ahmet

doi:10.1016/j.mulfin.2004.12.001

Cited by 32 publications

(18 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…According to results from Tables 1 to 7, MV, LPMM and LMP0 portfolios have similar composition and similar stock weights and consequentially they have similar results in the out-of-sample period. These conclusions are compatible with [6]. MAD portfolios from all 7 markets share common characteristic; MAD portfolios are composed from smaller number of assets than other portfolios.…”

Section: Resultssupporting

confidence: 81%

“…According to [3] who examined the use of downside risk measures in construction of an optimal portfolio, the use of downside risk measures results in significant improvement in the out-of-sample performance of those portfolios. [6] examined benefits of diversification into three leading Central European equity markets using lower partial moment in the presence of nonnormality of returns on those markets. Their study shows that investors could benefit diversifying into Central European equity markets.…”

Section: Previous Researchesmentioning

confidence: 99%

See 1 more Smart Citation

Performance of Risk Measures in Portfolio Construction on Central and South-East European Emerging Markets

Vidović¹

2011

AJOR

View full text Add to dashboard Cite

Aim of this paper is to characterize different risk measures in portfolio construction on seven Central and South-East European stock markets; Slovenia, Croatia, Hungary, Poland, Chez Republic, Romania and Turkey. Selected countries are members of EU, except Croatia and Turkey which have candidate status. Empirical part of this paper consists of three stages; at first descriptive statistics on stock returns was performed, afterwards different risk measures were employed in portfolio construction and in the last part, portfolios were tested in the out-of-sample period. Results indicate presence of extreme kurtosis and skewness in stock return series. Resulting portfolios incorporate stocks with extremely high kurtosis and stocks with negative skewness. Portfolio construction based only on risk and return results in major exposure to extreme returns and unsatisfactory portfolio out-of-sample results.

show abstract

Section: Resultssupporting

confidence: 81%

Section: Previous Researchesmentioning

confidence: 99%

Performance of Risk Measures in Portfolio Construction on Central and South-East European Emerging Markets

Vidović¹

2011

AJOR

View full text Add to dashboard Cite

show abstract

“…This suggest that the portfolio construction strategy matters more than the risk measure when it comes to profitability. This finding seems to corroborate Gilmore et.al (2005). Turning to local currency portfolios, the analysis reveals the same pattern.…”

Section: Insert Table 7 About Here Insert Table 8 About Heresupporting

confidence: 75%

International portfolio diversification: Is there a role for the Middle East and North Africa?

Lagoarde‐Segot

Lucey

2007

Journal of Multinational Financial Management

View full text Add to dashboard Cite

bstractWe examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We take the standpoint of the world investor and we construct portfolios in international and local currencies based on five optimization models and two risk measures. We then compare the portfolio out-of-sample performance based on Sharpe and Sortino ratios through the Jobson-Korkie statistic. Our results highlight outstanding diversification benefits in the MENA region, both in dollar and local currencies. Portfolios based on local currencies seem to exhibit a higher degree of diversification, while the measure of risk seems to affect profitability less than the optimization model employed. Overall, we show that these under-estimated, under-investigated markets could attract more portfolio flows in the future.JEL classification: G11;G12;G15

show abstract

“…Using the Gregory-Hansen cointegration test that allow for structural change in the cointegration relation, results reveal long-run linkages between the Czech and Hungarian markets with the developed markets. Long-run relationships among CEE countries and developed markets is not always confirmed since Gilmore et al (2005) show that for German and US investors willing to diversify their portfolios can benefit from investing into Czech Republic, Hungary and Poland equity markets due the absence of any long run relationship among these stock markets and western stock markets. This mixed results suggest the hypothesis of time-varying nature of the long run relationship among equity markets indexes which may occurs over long periods.…”

Section: Literature Reviewmentioning

confidence: 99%

Are South East Europe Stock Markets Integrated with Regional and Global Stock Markets?

Guidi

Uğur

2013

SSRN Journal

View full text Add to dashboard Cite

This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co-integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This means that SEE markets might be immunized to external shocks. We also model time varying correlations among these markets by using Multivariate Generalised Autoregressive Conditional Heteroschedastic (MGARCH) models as well as the Exponential Weighted Moving Average (EWMA) methodology. Results show that the correlations of UK and US equity markets with South East Europe market change over time. These changes in correlations between our benchmark markets and individual SEE market pairs are not uniform although evidence of increasing convergence among South East Europe and developed stock market is evident. Also examined in this paper whether the structure of correlations between returns of indices in different markets changed in different phases of the 2007-2009 global financial crisis. Overall our results show that diversification benefits are still possible for investors wishing to diversify their portfolio between developed and emerging SEE stock markets.

show abstract

Portfolio allocations and the emerging equity markets of Central Europe

Cited by 32 publications

References 27 publications

Performance of Risk Measures in Portfolio Construction on Central and South-East European Emerging Markets

Performance of Risk Measures in Portfolio Construction on Central and South-East European Emerging Markets

International portfolio diversification: Is there a role for the Middle East and North Africa?

Are South East Europe Stock Markets Integrated with Regional and Global Stock Markets?

Contact Info

Product

Resources

About