Diversification Perspectives of a Single Equity Market: Analysis on the Example of Selected CEE Countries

• Authors: Florin Aliu , Fisnik Aliu , Artor Nuhiu , Naim Preniqi

Title variants

PL

Perspektywy dywersyfikacji jednolitego rynku akcji: analiza na przykładzie wybranych krajów Europy Środkowo-Wschodniej

Abstracts

PL

Opracowanie przedstawia analizę korzyści płynących z istnienia jednolitego rynku akcji dla ośmiu rynków akcji z Europy Środkowo‑Wschodniej w kontekście ryzyka dywersyfikacji. Dla celów analizy każda giełda została potraktowana jako osobny portfel obejmujący spółki notowane w latach 2018–2019. Do identyfikacji ryzyka ośmiu rynków akcji z Europy Środkowo‑Wschodniej wykorzystano techniki dywersyfikacji portfela. Wyniki analizy wskazują, że rynkiem akcji o najniższym ryzyku dywersyfikacji była Giełda Bułgarska, następnie Giełda Papierów Wartościowych w Pradze, Giełda Papierów Wartościowych w Lublanie i Giełda Papierów Wartościowych w Zagrzebiu. Portfel zbudowany z akcji Giełdy Papierów Wartościowych w Zagrzebiu niósł ze sobą najwyższe ryzyko portfela, ale jednocześnie oferował również najwyższe tygodniowe średnie ważone zwroty. Rynki akcji, na których doszło do zmniejszenia ryzyka portfelowego w wyniku ujednolicenia, to Giełda Papierów Wartościowych w Bratysławie, Giełda Papierów Wartościowych w Budapeszcie, Giełda Papierów Wartościowych w Bukareszcie, Giełda Papierów Wartościowych w Warszawie i Giełda Papierów Wartościowych w Zagrzebiu. Indeksy, dla których wzrastało ryzyko portfela w momencie ujednolicenia, dotyczą Bułgarskiej Giełdy Papierów Wartościowych, Giełdy Papierów Wartościowych w Lublanie i Giełdy Papierów Wartościowych w Pradze. Z perspektywy zarządzania, inwestujący w instrumenty finansowe zyskują nowe spojrzenie na możliwości dywersyfikacji oferowane w ramach hipotetycznego jednolitego rynku akcji w Europie Środkowo-Wschodniej.

EN

The study addresses the benefits of a unified stock market in terms of diversification risk for the eight CEE stock markets. For this purpose, each stock market was treated as a separate portfolio based on the companies listed during 2018–2019. Portfolio diversification techniques were used to identify risk linked with the eight Central Eastern European stock markets. The results show that the stock market with the lowest diversification risk was the Bulgarian Stock Exchange, followed by the Prague Stock Exchange, the Ljubljana Stock Exchange, and at the end stands the Zagreb Stock Exchange. The portfolio constructed from the Zagreb Stock Exchange carries the highest portfolio risk, but it also offers the highest weekly weighted average returns. Stock markets that benefit in terms of portfolio risk from unification are the Bratislava Stock Exchange, the Budapest Stock Exchange, the Bucharest Stock Exchange, the Warsaw Stock Exchange, and the Zagreb Stock Exchange. The indexes where the portfolio risk increases at the time of unification are the Bulgarian Stock Exchange, the Ljubljana Stock Exchange, and the Prague Stock Exchange. From a managerial perspective, financial investors get a novel outlook on the diversification possibilities offered within a hypothetical unified CEE stock market.

Keywords

PL

możliwości dywersyfikacji; rynek giełdowy Europy Środkowo-Wschodniej; korzyści z ujednolicenia; bilans korzyści i ryzyka

EN

diversification opportunities; CEE stock market; unification benefits; risk-reward tradeoff

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2021
• Volume: 24
• Issue: 4
• Pages: 85-104

Dates

published

2021

Contributors

author

Florin Aliu

• Assistant Professor, University for Business and Technology (UBT), Faculty of Management, Business, and Economics, Prishtina, Kosovo

• https://orcid.org/0000000247828820

author

Fisnik Aliu

• Computer Engineer, University for Business and Technology (UBT), Faculty of Computer Science and Engineering, Prishtina, Kosovo

• https://orcid.org/0000000188866738

author

Artor Nuhiu

• Assistant Professor, corresponding author, University of Prishtina, Faculty of Law, Prishtina, Kosovo

• https://orcid.org/0000000182391604

author

Naim Preniqi

• Professor, University for Business and Technology (UBT), Faculty of Management, Business, and Economics, Prishtina, Kosovo

• https://orcid.org/0000000169478043

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Identifiers

DOI

10.18778/1508-2008.24.32

Biblioteka Nauki

2033920