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| Author: | Fonseca, J.S. da |
| Title: | The performance of the European stock markets: a time-varying the Sharpe ratio approach |
| Journal: | European Journal of Finance
2010 : OCT/DEC, VOL. 16:7-8, p. 727-741 |
| Index terms: | stock markets volatility Europe models |
| Language: | eng |
| Abstract: | Using daily data from 2 Jan. 2001 to 30 May 2009, this study deals with the performance of the national stock markets of 16 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Holland, Ireland, Italy, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom (U.K.). 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 btw. the index prices. Finally, time-varying conditional Sharpe ratios were calculated for each index which were used as the basis for a statistical comparison of the performance of the stock indexes of this country group. |
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