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Regulation of the Warsaw Stock Exchange: The portfolio allocation problem

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  • Charemza, Wojciech W.
  • Majerowska, Ewa

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  • Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
  • Handle: RePEc:eee:jbfina:v:24:y:2000:i:4:p:555-576
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    1. Shields, Kalvinder K, 1997. "Stock Return Volatility on Emerging Eastern European Markets," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 118-138, Supplemen.
    2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    3. Anthony J. Richards, 1996. "Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?," IMF Staff Papers, Palgrave Macmillan, vol. 43(3), pages 461-501, September.
    4. Kalvinder Shields, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2), pages 107-125, May.
    5. Rosett, Richard N & Nelson, Forrest D, 1975. "Estimation of the Two-Limit Probit Regression Model," Econometrica, Econometric Society, vol. 43(1), pages 141-146, January.
    6. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    7. Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2), pages 75-90, May.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 329-344.
    10. Buckberg, Elaine, 1995. "Emerging Stock Markets and International Asset Pricing," World Bank Economic Review, World Bank Group, vol. 9(1), pages 51-74, January.
    11. Margaret E. Slade & Henry Thille, 1994. "Hotelling Confronts CAPM: A Test of the Theory of Exhaustible Resources," CESifo Working Paper Series 73, CESifo.
    12. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "Return Behavior in Emerging Stock Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 131-151, January.
    13. Harvey, Campbell R, 1995. "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 19-50, January.
    14. Barry Gordon & Libby Rittenberg, 1995. "The Warsaw Stock Exchange: A Test of Market Efficiency," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 37(2), pages 1-27, July.
    15. Madhavan, Ananth, 1992. "Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
    16. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
    17. Margaret E. Slade & Henry Thille, 1997. "Hotelling Confronts CAPM: A Test of the Theory of Exhaustible Resources," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 685-708, August.
    18. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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    Citations

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    Cited by:

    1. Zbigniew Kominek, 2002. "Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 729-744.
    2. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
    3. Randall K. Filer & Jan Hanousek, 2002. "Data Watch: Research Data from Transition Economies," Journal of Economic Perspectives, American Economic Association, vol. 16(1), pages 225-240, Winter.
    4. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis : evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition.
    5. Waldenström, Daniel, 2010. "Why does sovereign risk differ for domestic and external debt? Evidence from Scandinavia, 1938-1948," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 387-402, April.
    6. Omori, Yasuhiro & Miyawaki, Koji, 2010. "Tobit model with covariate dependent thresholds," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2736-2752, November.
    7. Tse, Yiuman & Wu, Chunchi & Young, Allan, 2003. "Asymmetric information transmission between a transition economy and the U.S. market: evidence from the Warsaw Stock Exchange," Global Finance Journal, Elsevier, vol. 14(3), pages 319-332, December.
    8. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
    9. Cumming, Douglas & Johan, Sofia, 2007. "Regulatory harmonization and the development of private equity markets," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3218-3250, October.
    10. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
    11. Waldenström, Daniel, 2005. "Does Sovereign Risk Differ for Domestic and Foreign Investors? Historical Evidence from Scandinavian Bond Markets," SSE/EFI Working Paper Series in Economics and Finance 585, Stockholm School of Economics, revised 18 Feb 2005.
    12. Waldenström, Daniel, 2006. "Why Does Sovereign Risk Differ for Domestic and Foreign Investors? Evidence from Scandinavia, 1938­­–1948," Working Paper Series 677, Research Institute of Industrial Economics.
    13. Ewa Majerowska, "undated". "Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange," Discussion Papers in European Economics 99/5, Division of Economics, School of Business, University of Leicester.

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