The performance of the European Stock Markets: a time-varying Sharpe ratio approach
This article studies the performance of the national stock markets of sixteen European countries (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Holland, Ireland, Italy, Norway, Portugal, Spain, Sweden Switzerland and United Kingdom), using daily data covering the period between 2nd January 2001 and 30th May 2009. Daily expected returns, and the conditional volatility of each index, were calculated using a model combining the market model and an implicit long-term relation between the index prices. Finally, time-varying (conditional) Sharpe ratios were calculated for each index. These were used as the basis for a statistical comparison of the performance of the stock indexes of this group of countries, throughout different sub periods corresponding to different conditions (of expansion and depression) in the stock markets.
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|Date of creation:||Nov 2009|
|Date of revision:|
|Publication status:||Published in European Journal of Finance 16(7): 727-741, 2010.|
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- Anthony J. Richards, 1996.
"Comovements in National Stock Market Returns; Evidence of Predictability But Not Cointegration,"
IMF Working Papers
96/28, International Monetary Fund.
- Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure," Management Science, INFORMS, vol. 43(3), pages 371-385, March.
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