Innovations in return transmission and performance comparison between the five biggest Euro area stock markets

José Soares da Fonseca

International Economics and Economic Policy, 2013, vol. 10, issue 3, 393-404

Abstract: This article presents an empirical analysis of integration and performance of the five biggest stock markets of the Euro area: France, Germany, Holland, Italy and Spain. This empirical analysis begins with the estimation of an EMU market model with time-varying beta coefficients, which is the basis for the subsequent estimation of the transmission of innovations and volatility between those markets. The present article compares the performance of those stock markets measured by time-varying Treynor ratios. Those ratios support the creation of a portfolio which explores the performance differences between those markets. The capability of this portfolio to exploit those performance differences is subject to evaluation by comparison with a benchmark represented by an equally weighted portfolio. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: EMU market model; Time-varying beta coefficients; Treynor ratios; VAR systems; GARCH; Innovation in return; Innovation in volatility; F36; G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10368-013-0239-6

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