RISK MEASUREMENT OF THE BOND MUTUAL FUNDS OPERATING IN GREECE

Dr John N. Sorros

European Research Studies Journal, 2003, vol. VI, issue 3-4, 27-38

Abstract: The present article aims to measure and analyze the systematic risk undertaken by the Greek bond mutual funds. The capital asset pricing model is applied using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, and a specific Bond Index. The performance of twenty-eight mutual funds is affected, and can be explained to a satisfactory level by the movements in the Bond Index. On the contrary, in only fifteen mutual funds the performance is affected, and can be explained to a satisfactory level by the movements in the General Index of the ASE. The empirical evidence suggests that the Bond Index approximates the market portfolio much closer than the General Index of the Athens Stock Exchange.

Keywords: Mutual funds; bond; bond index; capital asset pricing model (search for similar items in EconPapers)
JEL-codes: G20 G23 (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:vi:y:2003:i:3-4:p:27-38

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