A New Index of Belgian Shares

Ronald Anderson, Davy Reinard and Olivier Scaillet
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Ronald Anderson: UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES)
Davy Reinard: UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES)

No 1997016, LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: A factor analysis of returns of shares traded on the Brussels Stock Exchange reveals that the first dominant factor is highly correlated with the popular Bel-20 index and that a distinctive alternative trend is represented by the market's second factor. We propose a new stock index consisting of 22 Belgian industrial and commercial shares which are particularly sensitive to this second market factor. The resulting index offers opportunities for diversification of a portfolio consisting of Bel-20 shares and could form the basis of derivative products which would be particular sensitive to Belgian industrial performance. A fundamental analysis shows that shares within the new index are less sensitive to BEF/$ exchange rate and the price of oil than are Bel-20 shares.

Keywords: Stock indices; factor analysis; liquidity (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 19
Date: 1997-07-01
New Economics Papers: this item is included in nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvir:1997016

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