Diversification Perspectives of a Single Equity Market: Analysis on the Example of Selected CEE Countries

Florin Aliu; Fisnik Aliu; Artor Nuhiu; Naim Preniqi

doi:10.18778/1508-2008.24.32

Autor

Florin Aliu Assistant Professor, University for Business and Technology (UBT), Faculty of Management, Business, and Economics, Prishtina, Kosovo https://orcid.org/0000-0002-4782-8820
Fisnik Aliu Computer Engineer, University for Business and Technology (UBT), Faculty of Computer Science and Engineering, Prishtina, Kosovo https://orcid.org/0000-0001-8886-6738
Artor Nuhiu Assistant Professor, corresponding author, University of Prishtina, Faculty of Law, Prishtina, Kosovo https://orcid.org/0000-0001-8239-1604
Naim Preniqi Professor, University for Business and Technology (UBT), Faculty of Management, Business, and Economics, Prishtina, Kosovo https://orcid.org/0000-0001-6947-8043

DOI:

https://doi.org/10.18778/1508-2008.24.32

Słowa kluczowe:

możliwości dywersyfikacji, rynek giełdowy Europy Środkowo-Wschodniej, korzyści z ujednolicenia, bilans korzyści i ryzyka

Abstrakt

Opracowanie przedstawia analizę korzyści płynących z istnienia jednolitego rynku akcji dla ośmiu rynków akcji z Europy Środkowo‑Wschodniej w kontekście ryzyka dywersyfikacji. Dla celów analizy każda giełda została potraktowana jako osobny portfel obejmujący spółki notowane w latach 2018–2019. Do identyfikacji ryzyka ośmiu rynków akcji z Europy Środkowo‑Wschodniej wykorzystano techniki dywersyfikacji portfela. Wyniki analizy wskazują, że rynkiem akcji o najniższym ryzyku dywersyfikacji była Giełda Bułgarska, następnie Giełda Papierów Wartościowych w Pradze, Giełda Papierów Wartościowych w Lublanie i Giełda Papierów Wartościowych w Zagrzebiu. Portfel zbudowany z akcji Giełdy Papierów Wartościowych w Zagrzebiu niósł ze sobą najwyższe ryzyko portfela, ale jednocześnie oferował również najwyższe tygodniowe średnie ważone zwroty. Rynki akcji, na których doszło do zmniejszenia ryzyka portfelowego w wyniku ujednolicenia, to Giełda Papierów Wartościowych w Bratysławie, Giełda Papierów Wartościowych w Budapeszcie, Giełda Papierów Wartościowych w Bukareszcie, Giełda Papierów Wartościowych w Warszawie i Giełda Papierów Wartościowych w Zagrzebiu. Indeksy, dla których wzrastało ryzyko portfela w momencie ujednolicenia, dotyczą Bułgarskiej Giełdy Papierów Wartościowych, Giełdy Papierów Wartościowych w Lublanie i Giełdy Papierów Wartościowych w Pradze. Z perspektywy zarządzania, inwestujący w instrumenty finansowe zyskują nowe spojrzenie na możliwości dywersyfikacji oferowane w ramach hipotetycznego jednolitego rynku akcji w Europie Środkowo-Wschodniej.

Pobrania

Brak dostępnych danych do wyświetlenia.

Bibliografia

Abreu, M., Mendes, V. (2010), Financial literacy and portfolio diversification, “Quantitative Finance”, 10 (5), pp. 515–528, https://doi.org/10.1080/14697680902878105
Google Scholar DOI: https://doi.org/10.1080/14697680902878105

Ajayi, R.A., Mehdian, S., Perry, M.J. (2004), The day-of-the-week effect in stock returns: further evidence from Eastern European emerging markets, “Emerging Markets Finance and Trade”, 40 (4), pp. 53–62, https://doi.org/10.1080/1540496X.2004.11052582
Google Scholar DOI: https://doi.org/10.1080/1540496X.2004.11052582

Aliu, F., Krasniqi, B., Knapkova, A., Aliu, F. (2019), Interdependence and risk comparison of Slovak, Hungarian, and Polish stock markets: Policy and managerial implications, “Acta Oeconomica”, 69 (2), pp. 273–287, https://doi.org/10.1556/032.2019 .69.2.6
Google Scholar DOI: https://doi.org/10.1556/032.2019.69.2.6

Aliu, F., Nuhiu, A., Krasniqi, B., Aliu, F. (2020), Modeling the Optimal Portfolio: The Case of the Largest European Stock Exchanges, “Comparative Economic Research. Central and Eastern Europe”, 23 (2), pp. 41–51, https://doi.org/10.18778/1508-2008.23.11
Google Scholar DOI: https://doi.org/10.18778/1508-2008.23.11

Beckmann, E. (2013), Financial literacy and household savings in Romania, “Numeracy”, 6 (2), https://doi.org/10.5038/1936-4660.6.2.9
Google Scholar DOI: https://doi.org/10.5038/1936-4660.6.2.9

Berrill, J., Kearney, C., O’Hagan-Luff, M. (2019), Measuring the diversification benefits of investing in highly internationalized firms, “International Business Review”, 28 (4), pp. 672–684, https://doi.org/10.1016/j.ibusrev.2019.01.005
Google Scholar DOI: https://doi.org/10.1016/j.ibusrev.2019.01.005

Boţoc, C., Anton, S.G. (2020), New empirical evidence on CEE’s stock markets integration, “The World Economy”, 42 (10), pp. 2785–2802, https://doi.org/10.1111/twec.12961
Google Scholar DOI: https://doi.org/10.1111/twec.12961

Central Bank of Slovakia (2019), The financial literacy support strategy of Narodna Banka Slovensko, https://www.nbs.sk/_img/Documents/_TS/191107/final_nbs_strategiaFinGram_en.pdf (accessed: 25.11.2020).
Google Scholar

Çera, G., Khan, K.A., Mlouk, A., Brabenec, T. (2020), Improving financial capability: the mediating role of financial behavior, “Economic Research-Ekonomska Istraživanja”, 34 (1), pp. 1265–1282, https://doi.org/10.1080/1331677X.2020.1820362
Google Scholar DOI: https://doi.org/10.1080/1331677X.2020.1820362

Dorn, D., Huberman, G. (2005), Talk and action: What individual investors say and what they do, “Review of Finance”, 9 (4), pp. 437–481, https://doi.org/10.1007/s10679-005-4997-z
Google Scholar DOI: https://doi.org/10.1007/s10679-005-4997-z

Driessen, J., Laeven, L. (2007), International portfolio diversification benefits: Cross-country evidence from a local perspective, “Journal of Banking and Finance”, 31 (6), pp. 1693–1712, https://doi.org/10.1016/j.jbankfin.2006.11.006
Google Scholar DOI: https://doi.org/10.1016/j.jbankfin.2006.11.006

Elton, E.J., Gruber, M.J. (1977), Risk reduction and portfolio size: An analytical solution, “The Journal of Business”, 50 (4), pp. 415–437, https://doi.org/10.1086/295964
Google Scholar DOI: https://doi.org/10.1086/295964

Errunza, V., Hogan, K., Hung, M.W. (1999), Can the gains from international diversification be achieved without trading abroad?, “The Journal of Finance”, 54 (6), pp. 2075–2107, https://doi.org/10.1111/0022-1082.00182
Google Scholar DOI: https://doi.org/10.1111/0022-1082.00182

Euronext (2020), Regulated markets (Securities and derivatives) operated by Euronext, https://www.euronext.com/en/regulation (accessed: 21.11.2020).
Google Scholar

European Commission (2014), Markets in Financial Instruments (MiFID II) – Directive 2014/65/EU, https://ec.europa.eu/info/law/markets-financial-instruments-mifid-ii-directive-2014-65-eu_en (accessed: 25.11.2020).
Google Scholar

Evans, J.L., Archer, S.H. (1968), Diversification and the reduction of dispersion: An empirical analysis, “The Journal of Finance”, 23 (5), pp. 761–767, https://doi.org/10.1111/j.1540-6261.1968.tb00315.x
Google Scholar DOI: https://doi.org/10.1111/j.1540-6261.1968.tb00315.x

Guidi, F., Gupta, R., Maheshwari, S. (2011), Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets, “Journal of Emerging Market Finance”, 10 (3), pp. 337–389, https://doi.org/10.1177/097265271101000304
Google Scholar DOI: https://doi.org/10.1177/097265271101000304

Juncker, J.C. (2014), A new start for Europe: My agenda for jobs, growth, fairness, and democratic change, Political guidelines for the next European Commission. Opening Statement in the European Parliament Plenary Session, 36, https://ec.europa.eu/commission/presscorner/detail/en/SPEECH_14_546 (accessed: 18.11.2020).
Google Scholar

Klapper, L., Lusardi, A., Panos, G.A. (2013), Financial literacy and its consequences: Evidence from Russia during the financial crisis, “Journal of Banking and Finance”, 37 (10), pp. 3904–3923, https://doi.org/10.1016/j.jbankfin.2013.07.014
Google Scholar DOI: https://doi.org/10.1016/j.jbankfin.2013.07.014

Markowitz, H. (1952), Portfolio selection, “The Journal of Finance”, 7 (1), pp. 77–91, https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Google Scholar DOI: https://doi.org/10.1111/j.1540-6261.1952.tb01525.x

Miloş, M.C., Barna, F.M., Boțoc, C. (2020), Multifractal Detrended Fluctuation Analysis (MF DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets, “Sustainability”, 12 (2), https://doi.org/10.3390/su12020535
Google Scholar DOI: https://doi.org/10.3390/su12020535

Moskowitz, T.J., Vissing-Jørgensen, A. (2002), The returns to entrepreneurial investment: A private equity premium puzzle?, “American Economic Review”, 92 (4), pp. 745–778, https://doi.org/10.1257/00028280260344452
Google Scholar DOI: https://doi.org/10.1257/00028280260344452

Nasdaq Baltic Equity Index (2020), Baltic Market Index Statistics, https://nasdaqbaltic.com/statistics/en/charts (accessed: 10.11.2020).
Google Scholar

Nielsson, U. (2009), Stock market merger and liquidity: The case of Euronext, “Journal of Financial Markets”, 12 (2), pp. 229–267, https://doi.org/10.1016/j.finmar.2008.07.002
Google Scholar DOI: https://doi.org/10.1016/j.finmar.2008.07.002

Nivet, J.F. (1997), Stock markets in transition: the Warsaw experiment, “Economics of Transition”, 5 (1), pp. 171–183, https://doi.org/10.1111/j.1468-0351.1997.tb00009.x
Google Scholar DOI: https://doi.org/10.1111/j.1468-0351.1997.tb00009.x

Quaglia, L., Howarth, D., Liebe, M. (2016), The political economy of European capital markets union, “Journal of Common Market Studies”, 54 (51), pp. 185–203, https://doi.org/10.1111/jcms.12429
Google Scholar DOI: https://doi.org/10.1111/jcms.12429

SEE link (2020), About us, http://www.see-link.net/about-us/15 (accessed: 15.11.2020).
Google Scholar

Statman, M. (1987), How many stocks make a diversified portfolio?, “Journal of Financial and Quantitative Analysis”, 22 (3), pp. 353–363, https://doi.org/10.2307/2330969
Google Scholar DOI: https://doi.org/10.2307/2330969

Tilfani, O., Ferreira, P., El Boukfaoui, M.Y. (2020), Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis, “Post-Communist Economies”, 32 (5), pp. 643–674, https://doi.org/10.1080/14631377.2019.1678099
Google Scholar DOI: https://doi.org/10.1080/14631377.2019.1678099

Thomson Reuter Eikon Database (2020), Stock price and trade volume data, https://eikon.thomsonreuters.com/index.html (accessed: 15.11.2020).
Google Scholar

Véron, N., Wolff, G.B. (2016), Capital Markets Union: a vision for the long term, “Journal of Financial Regulation”, 2 (1), pp. 130–153, https://doi.org/10.1093/jfr/fjw006
Google Scholar DOI: https://doi.org/10.1093/jfr/fjw006

Worthington, A., Higgs, H. (2004), Random walks and market efficiency in European equity markets, “The Global Journal of Finance and Economics”, 1 (1), pp. 59–78, https://eprints.qut.edu.au/2319/ (accessed: 15.11.2020).
Google Scholar