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A New Index of Belgian Shares

Author

Listed:
  • Anderson, Ronald

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

  • Reinard, Davy

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

  • Scaillet, Olivier

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

Abstract

A factor analysis of returns of shares traded on the Brussels Stock Exchange reveals that the first dominant factor is highly correlated with the popular Bel-20 index and that a distinctive alternative trend is represented by the market's second factor. We propose a new stock index consisting of 22 Belgian industrial and commercial shares which are particularly sensitive to this second market factor. The resulting index offers opportunities for diversification of a portfolio consisting of Bel-20 shares and could form the basis of derivative products which would be particular sensitive to Belgian industrial performance. A fundamental analysis shows that shares within the new index are less sensitive to BEF/$ exchange rate and the price of oil than are Bel-20 shares.

Suggested Citation

  • Anderson, Ronald & Reinard, Davy & Scaillet, Olivier, 1997. "A New Index of Belgian Shares," LIDAM Discussion Papers IRES 1997016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvir:1997016
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    File URL: http://sites.uclouvain.be/econ/DP/IRES/9716.pdf
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    References listed on IDEAS

    as
    1. Roll, Richard & Ross, Stephen A, 1980. "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
    2. Anderson, Ronald W. & Tychon, Pierre, 1993. "Competition Among European Financial Markets : The Case of Cross-Listed Belgian Equities," LIDAM Discussion Papers IRES 1993014, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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    More about this item

    Keywords

    Stock indices; factor analysis; liquidity;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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