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An investigation of the benefits of portfolio investment in Central and Eastern European stock markets

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Author Info
Middleton, C.A.J.
Fifield, S.G.M.
Power, D.M.
Abstract

This paper: (i) examines the potential benefits from diversifying into eight stock markets of Central and Eastern Europe (CEE); and (ii) quantifies the importance of country, industry and time factors in CEE equity returns. The findings suggest that substantial benefits exist from investing in CEE stock markets and that they accrue more from the geographical spread than from the industrial mix of the equities included in the portfolio. However, the returns earned by CEE equities vary dramatically over time. This variability may hamper the efforts of investors attempting to exploit the diversification "free lunch".

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File URL: http://www.sciencedirect.com/science/article/B7CPK-4NNYJDJ-1/1/c20def871a7510e5e0caaea87bbd3946
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Publisher Info
Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 22 (2008)
Issue (Month): 2 (June)
Pages: 162-174
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Handle: RePEc:eee:riibaf:v:22:y:2008:i:2:p:162-174

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