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Eastern European Equity Markets and the Subprime Crisis Does Emerging Europe Still Offer Diversification Benefits?

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  • Kinga Niemczak

    (University of Applied Sciences Wiener Neustadt)

Abstract

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.

Suggested Citation

  • Kinga Niemczak, 2010. "Eastern European Equity Markets and the Subprime Crisis Does Emerging Europe Still Offer Diversification Benefits?," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 6(3), pages 47-63, October.
    • Handle: RePEc:rze:efinan:v:6:y:2010:i:3:p:47-63
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    References listed on IDEAS

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    1. World Bank, 2008. "World Development Indicators 2008," World Bank Publications - Books, The World Bank Group, number 11855, December.
    2. World Bank, 2009. "World Development Indicators 2009," World Bank Publications - Books, The World Bank Group, number 4367, December.
    3. World Bank, 2008. "World Development Indicators 2008," World Bank Publications - Books, The World Bank Group, number 28241, December.
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    Cited by:

    1. Rados³aw Kurach, 2012. "Seeking The Diversification Benefits With Foreign Equities And Commodities – The Case Of Polish Investor," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(3), pages 26-36, October.
    2. Selim Yildirim & Bilge Kagan zdemir & Burhan Dogan, 2013. "Financial Development and Economic Growth Nexus in Emerging European Economies: New Evidence from Asymmetric Causality," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 710-722.

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