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The performance of the European stock markets: a time-varying Sharpe ratio approach

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  • Jose Soares da Fonseca

Abstract

This article studies the performance of the national stock markets of 16 European countries (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Holland, Ireland, Italy, Norway, Portugal, Spain, Sweden, Switzerland and the UK), using daily data covering the period between 2 January 2001 and 30 May 2009. Daily expected returns, and the conditional volatility of each index, were calculated using a model combining the market model and an implicit long-term relation between the index prices. Finally, time-varying (conditional) Sharpe ratios were calculated for each index. These were used as the basis for a statistical comparison of the performance of the stock indexes of this group of countries, throughout different sub-periods corresponding to different conditions (of expansion and depression) in the stock markets.

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  • Jose Soares da Fonseca, 2010. "The performance of the European stock markets: a time-varying Sharpe ratio approach," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 727-741.
    • Handle: RePEc:taf:eurjfi:v:16:y:2010:i:7:p:727-741
    DOI: 10.1080/1351847X.2010.495479
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    References listed on IDEAS

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    1. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
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    More about this item

    Keywords

    expected return; Sharpe ratio; market model; conditional volatility;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

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