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Regulation of the Warsaw Stock Exchange: The Portfolio Allocation Problem

  • Wojciech W. Charemza


  • Ewa Majerowska

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Paper provided by Department of Economics, University of Leicester in its series Discussion Papers in European Economics with number 98/1.

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Handle: RePEc:lec:lecees:98/1
Contact details of provider: Postal: Department of Economics University of Leicester, University Road. Leicester. LE1 7RH. UK
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  1. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "Return Behavior in Emerging Stock Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 131-51, January.
  2. 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.
  3. Barry Gordon & Libby Rittenberg, 1995. "The Warsaw Stock Exchange: A Test of Market Efficiency," Comparative Economic Studies, Palgrave Macmillan, vol. 37(2), pages 1-27, July.
  4. 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.
  5. 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.
  6. 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, 09.
  7. 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.
  8. Buckberg, Elaine, 1995. "Emerging Stock Markets and International Asset Pricing," World Bank Economic Review, World Bank Group, vol. 9(1), pages 51-74, January.
  9. Ananth N. Madhavan, . "Trading Mechanisms in Securities Markets," Rodney L. White Center for Financial Research Working Papers 16-90, Wharton School Rodney L. White Center for Financial Research.
  10. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
  11. Wojciech W. Charemza & Ewa Majerowska, . "Regulation of the Warsaw Stock Exchange: The Portfolio Allocation Problem," Discussion Papers in European Economics 98/1, Department of Economics, University of Leicester.
  12. 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.
  13. 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.
  14. 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 118-38, Supplemen.
  15. 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.
  16. Rosett, Richard N & Nelson, Forrest D, 1975. "Estimation of the Two-Limit Probit Regression Model," Econometrica, Econometric Society, vol. 43(1), pages 141-46, January.
  17. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
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