The performance of the European Stock Markets: a time-varying Sharpe ratio approach
AbstractThis article studies the performance of the national stock markets of sixteen European countries (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Holland, Ireland, Italy, Norway, Portugal, Spain, Sweden Switzerland and United Kingdom), using daily data covering the period between 2nd January 2001 and 30th May 2009. Daily expected returns, and the conditional volatility of each index, were calculated using a model combining the market model and an implicit long-term relation between the index prices. Finally, time-varying (conditional) Sharpe ratios were calculated for each index. These were used as the basis for a statistical comparison of the performance of the stock indexes of this group of countries, throughout different sub periods corresponding to different conditions (of expansion and depression) in the stock markets.
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Bibliographic InfoPaper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2009-16.
Length: 46 pages
Date of creation: Nov 2009
Date of revision:
Publication status: Published in European Journal of Finance 16(7): 727-741, 2010.
expected return; Sharpe ratio; market model; conditional volatility;
Other versions of this item:
- Jose Soares da Fonseca, 2010. "The performance of the European stock markets: a time-varying Sharpe ratio approach," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 727-741.
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure," Management Science, INFORMS, vol. 43(3), pages 371-385, March.
- Anthony J. Richards, 1996. "Comovements in National Stock Market Returns," IMF Working Papers 96/28, International Monetary Fund.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
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