IDEAS home Printed from https://ideas.repec.org/a/pfq/journl/v71y2025i3p65-93.html
   My bibliography  Save this article

Performance Evaluation and Portfolio Optimization in Emerging European Stock Markets: Evidence from Hungary and Romania

Author

Listed:
  • Kulcsár, Edina
  • Veres, Edit
  • Fogarasi, József

Abstract

The objective of this study is to conduct a comparative risk and performance analysis of two leading stock indices from Central and Eastern Europe: Hungary's BUX and Romania's BET. Specifically, the research addresses whether applying different risk and performance measures affects the assessment of investment attractiveness and examines how altering stock weights within portfolios can optimise returns and risk. Given increasing global financial uncertainties and the distinct characteristics of emerging markets, the research holds significant scientific and practical relevance for investors and policymakers alike. The analysis employed daily closing prices of BUX and BET indices, along with their component stocks' weights, spanning from December 2022 to June 2023. Advanced statistical methods, including traditional performance ratios (Sharpe, Treynor, Jensen) and advanced risk measures (VaR, CVaR, semivariance), were implemented using R statistical software for robust portfolio optimisation. Results indicate that Hungarian portfolios exhibit higher overall risk, while Romanian portfolios present better diversification and closer alignment with normal distribution characteristics. Portfolio optimisation revealed that strategic weight adjustments significantly enhance portfolio performance, demonstrating the effectiveness of modern statistical methods in portfolio management for emerging markets.

Suggested Citation

  • Kulcsár, Edina & Veres, Edit & Fogarasi, József, 2025. "Performance Evaluation and Portfolio Optimization in Emerging European Stock Markets: Evidence from Hungary and Romania," Public Finance Quarterly, Corvinus University of Budapest, vol. 71(3), pages 65-93.
    • Handle: RePEc:pfq:journl:v:71:y:2025:i:3:p:65-93
    DOI: https://doi.org/10.35551/PFQ_2025_3_3
    as

    Download full text from publisher

    File URL: https://unipub.lib.uni-corvinus.hu/11878/
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.35551/PFQ_2025_3_3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pfq:journl:v:71:y:2025:i:3:p:65-93. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Adam Hoffmann (email available below). General contact details of provider: https://edirc.repec.org/data/bkeeehu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.