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Portfolio allocations and the emerging equity markets of Central Europe

  • Gilmore, Claire G.
  • McManus, Ginette M.
  • Tezel, Ahmet
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-4FN4VTH-1/2/73a2ccaeb8c8936a06f1b8d84a527f90
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    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 15 (2005)
    Issue (Month): 3 (July)
    Pages: 287-300

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    Handle: RePEc:eee:mulfin:v:15:y:2005:i:3:p:287-300
    Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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    1. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-26, March.
    2. Campbell, John Y & Hamao, Yasushi, 1992. " Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Journal of Finance, American Finance Association, vol. 47(1), pages 43-69, March.
    3. Angelos Kanas, . "Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests," Working Papers 9804, University of Crete, Department of Economics.
    4. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    5. Bachman, Daniel & Choi, Jongmoo Jay & Jeon, Bang Nan & Kopecky, Kenneth J., 1996. "Common factors in international stock prices: Evidence from a cointegration study," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 39-53.
    6. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    7. Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
    8. DeFusco, Richard A & Geppert, John M & Tsetsekos, George P, 1996. "Long-Run Diversification Potential in Emerging Stock Markets," The Financial Review, Eastern Finance Association, vol. 31(2), pages 343-63, May.
    9. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    10. Vijay K. Chopra & Chris R. Hensel & Andrew L. Turner, 1993. "Massaging Mean-Variance Inputs: Returns from Alternative Global Investment Strategies in the 1980s," Management Science, INFORMS, vol. 39(7), pages 845-855, July.
    11. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
    12. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
    13. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    14. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 279-292, September.
    15. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
    16. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
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