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

• Authors: Niemczak Kinga
• 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.

Keywords

EN

DIVERSIFICATION; EASTERN EUROPE; INVESTMENTS; STOCK MARKETS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
• Journal: Finansowy Kwartalnik Internetowy e-Finanse
• Year: 2010
• Volume: 6
• Issue: 3
• Pages: 47-63
• Document type: ARTICLE

Contributors

author

Niemczak Kinga

• Kinga Niemczak, University of Applied Sciences Wiener Neustadt, Department of International Finance, Johannes Gutenberg Strasse 3, 2700 Wiener Neustadt, Austria

Identifiers

CEJSH db identifier

10PLAAAA087519