Interdependence and risk comparison of Slovak, Hungarian and Polish stock markets: Policy and managerial implications

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F19%3A63523594" target="_blank" >RIV/70883521:28120/19:63523594 - isvavai.cz</a>

Result on the web

<a href="https://akademiai.com/doi/abs/10.1556/032.2019.69.2.6" target="_blank" >https://akademiai.com/doi/abs/10.1556/032.2019.69.2.6</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1556/032.2019.69.2.6" target="_blank" >10.1556/032.2019.69.2.6</a>

Result language

angličtina

Original language name

Interdependence and risk comparison of Slovak, Hungarian and Polish stock markets: Policy and managerial implications

Original language description

Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide information on the diversification benefits generated when SAX, BUX and WIG20 join their stock markets. The study considers that each stock index represents an independent portfolio. Portfolios are built to stand on the available companies that are listed on each stock index from 2007 till 2017. The results of the study show that BUX generates the lowest risk and highest weighted average return. In contrast, SAX is the riskiest portfolio but generates the lowest weighted average return. The results find that the stock prices of BUX have larger positive correlation than the stock prices of SAX. Moreover, the highest diversification benefits are realized when Portfolio SAX joins Portfolio BUX and the lowest diversification benefits are achieved when SAX joins WIG20.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

50206 - Finance

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Oeconomica

ISSN

0001-6373

e-ISSN

—

Volume of the periodical

69

Issue of the periodical within the volume

2

Country of publishing house

HU - HUNGARY

Number of pages

15

Pages from-to

273-287

UT code for WoS article

000479009100006

EID of the result in the Scopus database

2-s2.0-85071226699