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Evaluation of the performance and of the integration of the euro zone stock market: which are the "right moments"?

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  • Jean-Pierre BERDOT

    (Professor at the University of Poitiers, Professor of Honour of the "Al. I. Cuza" University of Iasi)

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    Abstract

    This study intends to verify if, on the stock markets of the Euro zone, the integration as a process that lead to their unification is applied, even if several disparities exist among the national characteristics of the return-risk. We verify the pertinence of the consideration of third and fourth order moments in the comprehension of the arbitration mechanisms. The first part focuses on establishing the situation of the integration of the stock markets from the Euro zone member countries on the basis of the main characteristics of the returns and the associated risk premiums. Starting with the apparent inadequacy in the traditional theory, the second part considers the usual responses to the main questions posed on the empirical plan: non-normality of the returns distributions and non-quadratic preferences of the investors. The third part solves the apparent contradiction among the risk’s characteristics and price, on one side, and the stronger and stronger correlations among the national markets and the European indexes, on the other side.

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    Bibliographic Info

    Article provided by Alexandru Ioan Cuza University, Faculty of Economics and Business Administration in its journal Review of Economic and Business Studies.

    Volume (Year): 1 (2008)
    Issue (Month): (December)
    Pages: 29-41

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    Handle: RePEc:aic:revebs:y:2008:v:1:p:29-41

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    Postal: Universitatea Al. I. Cuza; B-dul Carol I nr. 22; Iasi
    Phone: 004 0232 201070
    Fax: 004 0232 217000
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    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    2. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Scott, Robert C & Horvath, Philip A, 1980. " On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-19, September.
    5. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
    6. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(01), pages 61-69, January.
    7. Prakash, Arun J & Bear, Robert M, 1986. "A Simplifying Performance Measure Recognizing Skewness," The Financial Review, Eastern Finance Association, vol. 21(1), pages 135-44, February.
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