The performance of the European Stock Markets: a time-varying Sharpe ratio approach

José Soares da Fonseca

No 2009-16, GEMF Working Papers from GEMF, Faculty of Economics, University of 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.

Keywords: expected return; Sharpe ratio; market model; conditional volatility (search for similar items in EconPapers)
JEL-codes: F36 G15 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2009-11
New Economics Papers: this item is included in nep-eec
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Published in European Journal of Finance 16(7): 727-741, 2010.

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Journal Article: The performance of the European stock markets: a time-varying Sharpe ratio approach (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:gmf:wpaper:2009-16

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