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Interdependence and risk comparison of Slovak, Hungarian and Polish stock markets: Policy and managerial implications

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dc.title Interdependence and risk comparison of Slovak, Hungarian and Polish stock markets: Policy and managerial implications en
dc.contributor.author Aliu, Florin
dc.contributor.author Krasniqi, Besnik
dc.contributor.author Knápková, Adriana
dc.contributor.author Aliu, Fisnik
dc.relation.ispartof Acta Oeconomica
dc.identifier.issn 0001-6373 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2019
utb.relation.volume 69
utb.relation.issue 2
dc.citation.spage 273
dc.citation.epage 287
dc.type article
dc.language.iso en
dc.publisher Akademiai Kiado Zrt
dc.identifier.doi 10.1556/032.2019.69.2.6
dc.subject portfolio diversification en
dc.subject risk level en
dc.subject eastern stock markets en
dc.subject financial globalisation en
dc.subject international diversification en
dc.subject financial crisis en
dc.description.abstract Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide information on the diversification benefits generated when SAX, BUX and WIG20 join their stock markets. The study considers that each stock index represents an independent portfolio. Portfolios are built to stand on the available companies that are listed on each stock index from 2007 till 2017. The results of the study show that BUX generates the lowest risk and highest weighted average return. In contrast, SAX is the riskiest portfolio but generates the lowest weighted average return. The results find that the stock prices of BUX have larger positive correlation than the stock prices of SAX. Moreover, the highest diversification benefits are realized when Portfolio SAX joins Portfolio BUX and the lowest diversification benefits are achieved when SAX joins WIG20. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1009037
utb.identifier.obdid 43880568
utb.identifier.scopus 2-s2.0-85071226699
utb.identifier.wok 000479009100006
utb.source j-wok
dc.date.accessioned 2019-08-21T11:44:10Z
dc.date.available 2019-08-21T11:44:10Z
dc.description.sponsorship Internal Grant Agency of Tomas Bata University in Zlin [IGA/FaME/2016/018]
utb.contributor.internalauthor Aliu, Florin
utb.contributor.internalauthor Knápková, Adriana
utb.fulltext.affiliation Florin ALIU, Besnik KRASNIQI, Adriana KNAPKOVA, Fisnik ALIU corresponding author Candidate in the Department of Finance, Faculty of Management and Economics, Tomas Bata University in Zlin, Czech Republic. E-mail: aliu@fame.utb.cz Faculty of Economics, University of Prishtina, Republic of Kosovo. E-mail: b.krasniqi@staffs.ac.uk Department of Finance, Faculty of Management and Economics, Tomas Bata University in Zlin, Czech Republic. E-mail: knapkova@fame.utb.cz Faculty of Mathematics & Natural Science, University of Prishtina, Republic of Kosovo. E-mail: fisnik.a@hotmail.com
utb.fulltext.dates Received: 1 December 2017 revision received: 12 February 2018 accepted: 31 May 2018
utb.wos.affiliation [Aliu, Florin; Knapkova, Adriana] Tomas Bata Univ, Fac Management & Econ, Dept Finance, Zlin, Czech Republic; [Krasniqi, Besnik] Univ Prishtina, Fac Econ, Pristina, Kosovo; [Aliu, Fisnik] Univ Prishtina, Fac Math & Nat Sci, Prishtina, Kosovo
utb.scopus.affiliation Department of Finance, Faculty of Management and Economics, Tomas Bata University, Zlin, Czech Republic; Faculty of Economics, University of Prishtina, Serbia; Faculty of Mathematics and Natural Science, University of Prishtina, Serbia
utb.fulltext.projects IGA/FaME/2016/018
utb.fulltext.faculty Faculty of Management and Economics
utb.fulltext.faculty Faculty of Management and Economics
utb.fulltext.ou Department of Finance
utb.fulltext.ou Department of Finance
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