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THE FEDERATION OF EURO-ASIAN STOCK EXCHANGES: Returns Distribution, Volatilities and Performance 1

Author

Listed:
  • Francisca M Beer
  • Mo Vaziri
  • Genevieve Nouyrigat

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

Abstract

This study investigates the returns distribution, volatility and performance of eleven of the twelve (12) founding members of the Federation of Euro-Asian Stock Exchange (FEAS). The performance of the FEAS exchanges is captured using the traditional measures of performance of Treynor (1965), Sharpe (1996, 1994) and Jensen (1968). Using monthly data from January 1995 until December 200, results show only one of the FEAS exchange, Teheran outperformed the S&P500. Results, however, also show than when domestic securities are combined with FEAS securities, the combined portfolios significantly outperformed a portfolio including solely domestic securities.

Suggested Citation

  • Francisca M Beer & Mo Vaziri & Genevieve Nouyrigat, 2006. "THE FEDERATION OF EURO-ASIAN STOCK EXCHANGES: Returns Distribution, Volatilities and Performance 1," Post-Print hal-04537931, HAL.
    • Handle: RePEc:hal:journl:hal-04537931
    Note: View the original document on HAL open archive server: https://hal.science/hal-04537931
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