PL EN


2010 | 6 | 3 | 47-63
Article title

EASTERN EUROPEAN EQUITY MARKETS AND THE SUBPRIME CRISIS. DOES EMERGING EUROPE STILL OFFER DIVERSIFICATION BENEFITS?

Authors
Title variants
Languages of publication
EN
Abstracts
EN
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.
Year
Volume
6
Issue
3
Pages
47-63
Physical description
Document type
ARTICLE
Contributors
  • Kinga Niemczak, University of Applied Sciences Wiener Neustadt, Department of International Finance, Johannes Gutenberg Strasse 3, 2700 Wiener Neustadt, Austria
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
10PLAAAA087519
YADDA identifier
bwmeta1.element.053af035-5441-3038-a98e-c1ce427621db
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