- Tytuł:
- EASTERN EUROPEAN EQUITY MARKETS AND THE SUBPRIME CRISIS. DOES EMERGING EUROPE STILL OFFER DIVERSIFICATION BENEFITS?
- Autorzy:
- Niemczak, Kinga
- Powiązania:
- https://bibliotekanauki.pl/articles/599537.pdf
- Data publikacji:
- 2010
- Wydawca:
- Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
- Tematy:
-
DIVERSIFICATION
EASTERN EUROPE
INVESTMENTS
STOCK MARKETS - Opis:
- The stock markets in Eastern Europe went through a period of rapid growth. Those which joined the EU had to integrate with Western Europe on various levels, which had important implications for their equity price development during the subprime mortgage crisis. The aim of the paper is to analyze the developments in the stock markets of Eastern European countries before and during the subprime crisis and to evaluate the hypothesis of disappearing portfolio diversification opportunities in the region. Through the application of correlation analysis, Markowitz mean variance approach and portfolio optimisation strategy based on the Sharpe ratio, it is shown that diversification opportunities for a US investor in the Eastern European region have largely disappeared.
- Źródło:
-
Finansowy Kwartalnik Internetowy e-Finanse; 2010, 6, 3; 47-63
1734-039X - Pojawia się w:
- Finansowy Kwartalnik Internetowy e-Finanse
- Dostawca treści:
- Biblioteka Nauki
Artykuł