Assessing the diversification risk of a single equity market: evidence from the largest European stock indexes

• Autorzy: Artor Nuhiu , Florin Aliu , Bedri Peci
• Języki publikacji: EN

Abstrakty

EN

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs linked to the stock indexes of Germany, Spain, Italy, France, and England. First, the stock indexes are analyzed as individual portfolios and later compared to the hypothetical common equity index. The results show diversification benefits gained from a hypothetical common European stock market. Individual stock prices and trade volumes are collected weekly from January 1, 2008 to December 31, 2018. The results indicate that, on average, the most well-diversified equity indexes are IBEX35, FTSE MIB, and FTSE100. In contrast, DAX, MDAX, and CAC40 on average tend to be less diversified. The diversification risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and IBEX it increases.(original abstract)

Słowa kluczowe

EN

Diversification; Financial crisis; Single market for securities; Stock market indexes; Risk

PL

Dywersyfikacja; Kryzys finansowy; Jednolity rynek papierów wartościowych; Indeks giełdowy; Ryzyko

• Czasopismo: International Journal of Management and Economics
• Rocznik: 2022
• Tom: 58
• Numer: nr 1
• Strony: 3--16

Twórcy

autor

Artor Nuhiu

• University of Prishtina, Prishtina, Kosovo

autor

Florin Aliu

• University for Business and Technology (UBT), Prishtina, Kosovo

autor

Bedri Peci

• University of Pristhina, Kosovo

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Identyfikatory

DOI

https://doi.org/10.2478/ijme-2022-0001