THE FEDERATION OF EURO-ASIAN STOCK EXCHANGES: Returns Distribution, Volatilities and Performance 1

Francisca Beer (), Mo Vaziri () and Genevieve Nouyrigat ()
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Genevieve Nouyrigat: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique

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Abstract: This study investigates the returns distribution, volatility and performance of eleven of the twelve (12) founding members of the Federation of Euro-Asian Stock Exchange (FEAS). The performance of the FEAS exchanges is captured using the traditional measures of performance of Treynor (1965), Sharpe (1996, 1994) and Jensen (1968). Using monthly data from January 1995 until December 200, results show only one of the FEAS exchange, Teheran outperformed the S&P500. Results, however, also show than when domestic securities are combined with FEAS securities, the combined portfolios significantly outperformed a portfolio including solely domestic securities.

Keywords: Emerging Market Portfolios returns volatility performance RESUME Marché émergents Portefeuille boursier Rendement Risque Performance; Emerging Market; Portfolios; returns; volatility; performance RESUME Marché émergents; Portefeuille boursier; Return On Equity; Risk & probability analysis; Performance (search for similar items in EconPapers)
Date: 2006
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Published in The Euro-Mediterranean Economics and Finance Review, 2006, 1 (4), pp.208-222

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04537931

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