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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Acta Oeconomica

ISSN

0001-6373

e-ISSN

—

Svazek periodika

69

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

HU - Maďarsko

Počet stran výsledku

15

Strana od-do

273-287

Kód UT WoS článku

000479009100006

EID výsledku v databázi Scopus

2-s2.0-85071226699