An investigation of the benefits of portfolio investment in Central and Eastern European stock markets

Research in International Business and Finance

Volumn 22, Issue 2, 2008, Pages 162-174

  Middleton, C A J ^a   Fifield, S G M ^b   Power, D M ^b  

^a UNIVERSITY OF ST ANDREWS   (United Kingdom)

^b UNIVERSITY OF DUNDEE   (United Kingdom)

Author keywords

Central and Eastern Europe; Country and industry factors; Emerging markets; Portfolio diversification

Indexed keywords

EID: 42649117516     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2007.04.001     Document Type: Article

References (33)

1. Anatolyev, S., 2007. A 10-year retrospective on the determinants of Russian stock returns. Res. Int. Bus. Finance, in press.
2. Bailey W., and Stulz R.M. Benefits of international diversification: the case of pacific basin stock markets. J. Portfol. Manage. 16 Summer (4) (1990) 57-61
3. Bekaert G., and Harvey C.R. Emerging equity market volatility. J. Finan. Econ. 43 1 (1997) 29-77
4. Bruner, R., Conroy, R., Li, W., 2004. The relative importance of country and industry factors in emerging markets. Unpublished working paper. Darden Graduate School of Business, University of Virginia.
5. Chen J., Zhang Y., and Marshall B.R. Country and sector effects in Asia pacific markets. Contemporary Stud. Econ. Finan. Anal. 86 (2005) 179-197
6. Claessens S. The emergence of equity investment in developing countries: overview. World Bank Econ. Rev. 9 January (1) (1995) 1-17
7. Claessens S., Dasgupta S., and Glen J. Return behavior in emerging stock markets. World Bank Econ. Rev. 9 January (1) (1995) 131-151
8. Divecha A.B., Drach J., and Stefek D. Emerging markets: a quantitative perspective. J. Portfol. Manage. 18 Fall (1) (1992) 41-50
9. Eaker M., Grant D.M., and Woodard N. Realized rates of returns in emerging markets. J. Portfol. Manage. 26 3 (2000) 41-49
10. Errunza V.R., and Padmanabhan P. Further evidence on the benefits of portfolio investments in emerging markets. Finan. Analysts J. 44 July/August (4) (1988) 76-78
11. Evans J.L., and Archer S.H. Diversification and the reduction of dispersion: an empirical analysis. J. Finance 23 December (1968) 761-767
12. Financial Times, 16th November 2003. Valuing Eastern European Equities.
13. Fifield S.G.M., Lonie A.A., and Power D.M. Emerging stock markets: a more realistic assessment of the gains from diversification. Appl. Finan. Econ. 12 (2002) 213-219
14. Fifield S.G.M., Lonie A.A., Power D.M., and Sinclair C.D. Emerging markets: a disaggregated perspective on the gains from investing internationally. R. Pacific Basin Finan. Markets Pol. 2 March (1) (1999) 99-124
15. Fifield S.G.M., Power D.M., Sinclair C.D., and Lonie A.A. An analysis of country, industry and company influences on returns of equities from emerging stock markets. In: Meric E., and Meric G. (Eds). Global Financial Markets at the Turn of the Century (2001), Elsevier Science, London 197-212
16. Ge{ogonek}bka B., and Serwa D. Intra- and inter-regional spillovers between emerging capital markets around the world. Res. Int. Bus. Finance 21 June (2) (2007) 203-221
17. Gilmore C.G., and McManus G.M. International portfolio diversification: US and Central Eastern European equity markets. Emerg. Markets Rev. 3 (2002) 69-83
18. Grubel H.G. Internationally diversified portfolios: welfare gains and capital flows. Am. Econ. Rev. 58 December (5) (1968) 1299-1314
19. Harvey, C. R., 1994. Conditional asset allocation in emerging markets. NBER Working Paper No. 4623, January.
20. Institute of International Finance, 2005. Capital Flows to Emerging Market Economies. January 19th, IIF, Washington.
21. Kalotay K. The European flying geese: new FDI patterns for the old continent?. Res. Int. Bus. Finance 18 April (1) (2004) 27-49
22. Lessard D.R. World, national and industry factors in equity returns. J. Finance 29 2 (1974) 379-391
23. Markowitz H. Portfolio selection. J. Finance 7 1 (1952) 77-91
24. Middleton C.A.J., Fifield S.G.M., and Power D.M. Investment in Central and Eastern European equities: an investigation of the practices and viewpoints of practitioners. Stud. Econ. Finance 24 1 (2007) 13-31
25. Mockaitis A.I. The race to EU integration: how many and how high are the hurdles?. Res. Int. Bus. Finance 19 June (2) (2005) 195-199
26. Patev, P., Kanaryan, N., 2003, Stock market crises and portfolio diversification in Central and Eastern Europe. Unpublished working paper 03-02. Tsenor Academy of Economics.
27. Schobert F. Linking financial soundness and independence of central banks-Central and Eastern Europe, Turkey and CIS countries. Res. Int. Bus. Finance 20 June (2) (2006) 239-255
28. Serra A.P. Country and industry factors in returns: evidence from emerging markets' stocks. Emerg. Markets Rev. 1 (2000) 127-151
29. Shapiro A. Multinational Financial Management. seventh ed. (2003), John Wiley & Sons, New York
30. Solnik B.H. Why not diversify internationally rather than domestically?. Finan. Analysts J. 30 4 (1974) 48-54 July/August
31. Speidell L.S., and Sappenfield R. Global diversification in a shrinking world. J. Portfol. Manage. 18 Fall (1) (1992) 57-67
32. Syriopoulos T. International portfolio diversification to Central European stock markets. Appl. Finan. Econ. 14 (2004) 1253-1268
33. Tesar L.T., and Werner I.M. Home bias and high turnover. J. Int. Money Finance 14 4 (1995) 467-492