Zoekresultaten

Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2007"

AuteurS. Prokopova
TitelPredictability of equity returns in Old and New European Union Accession : case study of Poland, Czech Republic, Bulgaria and Romania.
BegeleiderI. Chaieb
Jaar2007
FaculteitFaculteit Economie en Bedrijfskunde
SamenvattingThis paper examines the predictability of the national equity market returns in transition economies. I analyze the Polish, the Czech, the Bulgarian and the Romanian stock markets by evaluating their stock returns characteristics. The analysis has shown that the global risk variables are more important for Poland and Czech Republic than for Bulgaria and Romania. Contrary to expectations, the stock returns were found not to follow a converging path to more stable and moderate returns. Although the volatility of stock returns in transition economies is decreasing, they are still more volatile than the stock returns in emerging economies. Moreover, stock returns in transition economies are non-normally distributed and more exposed to economic shocks than the world market portfolio. Further, the predictability of stock returns in the four European Union countries is investigated by using factor model regression. The degree of predictability is high and variant. The global risk information variables have higher predictive power for Bulgaria and Romania, while local information variables are more influential for Czech Republic and Poland. The world market factor is significant only for Poland and the Czech Republic. This indicates the low liberalization and integration with the world market for Bulgaria and Romania. The real G7 interest rate is the most powerful factor in explaining the variation of the fluctuations of national stock returns. However, the empirical base of this paper has its limitations and it is suggested to conduct further research including a larger data set and more explanatory variables. The conditional assetpricing model allowing for fluctuations in the betas might be employed instead of the factor model regression. It is also advisable to conduct further research by including full sample of CEE countries. What is more, countries from the same region, which are not members of the EU, might be included, to asses the difference implied by the EU membership in the development of the stock markets.
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