Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/13321
Title: The performance of the European Stock Markets: a time-varying Sharpe ratio approach
Authors: Fonseca, José A. Soares da 
Keywords: Expected return; Sharpe ratio; Market model; Conditional volatility
Issue Date: 2009
Publisher: FEUC. Grupo de Estudos Monetários e Financeiros
Citation: Estudos do GEMF. 16 (2009)
Serial title, monograph or event: Estudos do GEMF
Issue: 16
Place of publication or event: Coimbra
Abstract: This article studies the performance of the national stock markets of sixteen European countries (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Holland, Ireland, Italy, Norway, Portugal, Spain, Sweden Switzerland and United Kingdom), using daily data covering the period between 2nd January 2001 and 30th May 2009. Daily expected returns, and the conditional volatility of each index, were calculated using a model combining the market model and an implicit long-term relation between the index prices. Finally, time-varying (conditional) Sharpe ratios were calculated for each index. These were used as the basis for a statistical comparison of the performance of the stock indexes of this group of countries, throughout different sub periods corresponding to different conditions (of expansion and depression) in the stock markets
URI: http://hdl.handle.net/10316/13321
Rights: openAccess
Appears in Collections:FEUC- Vários

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