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Innovations in return transmission and performance comparison between the five biggest Euro area stock markets

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  • José Soares da Fonseca

Abstract

This article presents an empirical analysis of integration and performance of the five biggest stock markets of the Euro area: France, Germany, Holland, Italy and Spain. This empirical analysis begins with the estimation of an EMU market model with time-varying beta coefficients, which is the basis for the subsequent estimation of the transmission of innovations and volatility between those markets. The present article compares the performance of those stock markets measured by time-varying Treynor ratios. Those ratios support the creation of a portfolio which explores the performance differences between those markets. The capability of this portfolio to exploit those performance differences is subject to evaluation by comparison with a benchmark represented by an equally weighted portfolio. Copyright Springer-Verlag Berlin Heidelberg 2013

Suggested Citation

  • José Soares da Fonseca, 2013. "Innovations in return transmission and performance comparison between the five biggest Euro area stock markets," International Economics and Economic Policy, Springer, vol. 10(3), pages 393-404, September.
    • Handle: RePEc:kap:iecepo:v:10:y:2013:i:3:p:393-404
    DOI: 10.1007/s10368-013-0239-6
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    References listed on IDEAS

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    6. Harvey, Campbell R, 1991. "The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
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    Cited by:

    1. Kyriaki Begiazi & Dimitrios Asteriou & Keith Pilbeam, 2016. "A multivariate analysis of United States and global real estate investment trusts," International Economics and Economic Policy, Springer, vol. 13(3), pages 467-482, July.
    2. José Soares da Fonseca, 2014. "Linkages and Performance Comparison among Eastern Europe Stock Markets," Notas Económicas, Faculty of Economics, University of Coimbra, issue 39, pages 73-83, June.
    3. José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.

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    More about this item

    Keywords

    EMU market model; Time-varying beta coefficients; Treynor ratios; VAR systems; GARCH; Innovation in return; Innovation in volatility; F36; G15;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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