Investment Opportunities in Central and Eastern European Equity Markets - An Econometric Examination of the Risk-Return Relationships for Western Investors -


Schröder, Michael


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URL: http://ub-madoc.bib.uni-mannheim.de/542
URN: urn:nbn:de:bsz:180-madoc-5422
Document Type: Working paper
Year of publication: 2000
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: G12 G15 O16 ,
Subject headings (SWD): Europäische Wirtschaftsgemeinschaft , Investor , Investition
Abstract: This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments (GMM). Spanning tests investigate whether the returns of test assets (in our case the returns of CEE equity markets) can be mimicked by the returns of some benchmark assets. If this is possible adding the test assets to the set of the benchmark assets does not improve the mean-variance efficient frontier. In recent studies as for example DeSantis (1994), Harvey (1995) or Bekaert/Urias (1996) spanning tests have been successfully applied to emerging equity markets but these studies do not cover the emerging equity markets of Central and Eastern Europe. In addition our study addresses the diversification benefits not only for U.S. investors, as is the usual case in these empirical studies, but extends the analysis on British and German investors, too. A third feature that distinguishes our investigation from most other studies on this topic is the analysis of the effects of currency hedging on diversification benefits.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Schröder, Michael (2000) Investment Opportunities in Central and Eastern European Equity Markets - An Econometric Examination of the Risk-Return Relationships for Western Investors -. Open Access [Working paper]
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