Regulation of the Warsaw Stock Exchange: The portfolio allocation problem

Journal of Banking and Finance

Volumn 24, Issue 4, 2000, Pages 555-576

  Charemza, Wojciech W ^a   Majerowska, Ewa ^b  

^a UNIVERSITY OF LEICESTER   (United Kingdom)

^b UNIVERSITY OF GDA SK   (Poland)

Author keywords

CAPM; Emerging markets; G12; Price constraints; Regulation

Indexed keywords

EID: 0008262529     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00080-1     Document Type: Article

References (34)

1. Black F. Capital market equilibrium with restricted borrowing. Journal of Business. 45:1972;444-455.
2. Bolt, T.W., Milobȩdzki, P., 1994a. An empirical analysis of the Warsaw Stock Exchange, 1991-1993. Study Material No. 2. The Gdansk Institute for Market Economics, Gdansk.
3. Bolt T.W., Milobȩdzki P. The Warsaw Stock Exchange in the period 1991-1993: Qualitative problems of its modelling. Economics of Planning. 27:1994b;211-226.
4. 2 Biometrika. 62:1975;243-250.
5. Brennan, M.J., 1992. Capital asset pricing model. In: Newman, P., Milgate, M., Eatwell, J. (Eds.), The New Palgrave Dictionary of Money and Finance. Macmillan, London.
6. Brown D.P., Jennings R.H. On technical analysis. Review of Financial Studies. 2:1989;527-552.
7. Buckberg E. Emerging stock markets and international asset pricing. World Bank Economic Review. 9:1995;51-74.
8. Campbell J.Y., Lo A.W., MacKinlay A.C. The Econometrics of Financial Markets. 1997;Princeton University Press, Princeton, NJ.
9. Charemza, W.W., Majerowska, E., 1998. Regulation of the Warsaw Stock Exchange: The portfolio allocation problem. Discussion Paper in European Economic Studies No. 98/1, University of Leicester.
10. Charemza, W.W., Shields, K., Zalewska-Mitura, A., 1997. Predictability of stock markets with disequilibrium trading. Discussion Paper in European Economic Studies No. 97/5, University of Leicester.
11. Claessens S., Dasgupta S., Glen J. Return behaviour in emerging stock markets. World Bank Economic Review. 9:1995;131-151.
12. Cuthberston K. Quantitative Financial Economics. 1996;Wiley, New York.
13. Davidson R., MacKinnon J.G. Estimation and Inference in Econometrics. 1993;Oxford University Press, Oxford.
14. Doornik, J.A., Hansen, H., 1994. A practical test for univariate and multivariate normality. Discussion paper, Nuffield College, Oxford University.
15. Elton E.J., Gruber M.J. Modern Portfolio Theory and Investment Analysis. 1991;Wiley, New York.
16. Emerson R., Hall S.G., Zalewska-Mitura A. Evolving market efficiency with an application to some Bulgarian shares. Economics of Planning. 30:1997;75-90.
17. Gordon B., Rittenberg L. The Warsaw Stock Exchange: A test of market efficiency. Comparative Economic Studies. 37:1995;1-27.
18. Harvey C.R. Predictable risk and returns in emerging markets. Review of Financial Studies. 8:1995a;773-816.
19. Harvey C.R. The risk exposure of emerging equity markets. World Bank Economic Review. 9:1995b;19-50.
20. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics. 47:1965;13-37.
21. Maddala G.S. Limited-dependent and Qualitative Variables in Econometrics. 1983;Cambridge University Press, Cambridge.
22. Madhavan A. Trading mechanisms in securities markets. Journal of Finance. 47:1992;607-642.
23. Markovitz H. Portfolio selection. Journal of Finance. 7:1952;77-91.
24. Markovitz, H., 1958. Portfolio Selection: Efficient Diversification of Investments. Yale University Press, New Haven, CT. (reprinted, Wiley, New York, 1970).
25. Merton R. An intertemporal capital asset pricing model. Econometrica. 41:1973;867-887.
26. O'Hara M. Market Microstructure Theory. 1995;Blackwell, Oxford.
27. Reingaum, M.R., 1992. Stock market anomalies. In: Newman, P., Milgate, M., Eatwell, J. (Eds.), The New Palgrave Dictionary of Money and Finance. Macmillan, London.
28. Richards A.J. Volatility and predictability in national stock markets: How do emerging and mature markets differ? IMF Staff Papers. 43:1996;461-501.
29. Rosett R.N., Nelson F.D. Estimation of the two-limit Probit regression model. Econometrica. 43:1975;141-146.
30. Sharpe W.F. Capital asset price: A theory of market equilibrium under conditions of risk. Journal of Finance. 29:1964;425-442.
31. Shields, K.K., 1997a. Stock return volatility on emerging Eastern European markets. The Manchester School Supplement, 118-138.
32. Shields K.K. Threshold modelling of stock return volatility on Eastern European markets. Economics of Planning. 30:1997b;107-125.
33. Slade, M.E., Thille, H., 1994. Hotelling confronts CAPM: A test of the theory of exhaustible resources. Working Paper No. 73. Center for Economic Studies, University of Munich.
34. Thomas, S., Wickens, M., 1992. An international CAPM for bonds and equities. Discussion paper No.14-92. Centre for Economic Forecasting, London Business School.