The Greek equity market in European equity portfolios

Dimitrios Vortelinos ()

Economic Modelling, 2015, vol. 49, issue C, 144-153

Abstract: The present paper emphasizes on the importance of the Greek equity market to European equity portfolios. The portfolio performance is higher for portfolios for which the Greek equity market is included. This result is consistent across a variety of variance–covariance matrix estimators, portfolio types, and evaluation measures as well. Results are also robust to the 2008 financial crisis. In terms of the variance–covariance matrix estimation, the realized volatility estimators result in higher portfolio performance than the daily squared returns estimator does. The realized volatility estimator which is optimally sampled and bias corrected is the most accurate variance–covariance matrix estimator. The Capital Market Line portfolio type is the portfolio type with the best portfolio performance. Overall, the inclusion of the Greek equity market to the European equity portfolios results in higher European equity portfolio performance.

Keywords: Portfolio; Equity; Volatility-timing strategy; Europe; Greece (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:49:y:2015:i:c:p:144-153

DOI: 10.1016/j.econmod.2015.04.004

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