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The performance of the European Stock Markets: a time-varying Sharpe ratio approach

Author

Listed:
  • José A. Soares da Fonseca

    (Faculdade de Economia/GEMF, Universidade de Coimbra)

Abstract

This article studies the performance of the national stock markets of sixteen European countries (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Holland, Ireland, Italy, Norway, Portugal, Spain, Sweden Switzerland and United Kingdom), using daily data covering the period between 2nd January 2001 and 30th 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.

Suggested Citation

  • José A. Soares da Fonseca, 2009. "The performance of the European Stock Markets: a time-varying Sharpe ratio approach," GEMF Working Papers 2009-16, GEMF, Faculty of Economics, University of Coimbra.
    • Handle: RePEc:gmf:wpaper:2009-16
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    References listed on IDEAS

    as
    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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    4. Chris Adcock, 2007. "Measuring portfolio performance using a modified measure of risk," Journal of Asset Management, Palgrave Macmillan, vol. 7(6), pages 388-403, March.
    5. Rangvid, Jesper, 2001. "Increasing convergence among European stock markets?: A recursive common stochastic trends analysis," Economics Letters, Elsevier, vol. 71(3), pages 383-389, June.
    Full references (including those not matched with items on IDEAS)

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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

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