engleski

Stock market performance analysis for three European emerging stock markets

The paper provides a stock market performance analysis for three European emerging stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. We show that in 2005 the overall level of South-East stock market performance exhibited extraordinary results. Additionally, using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The risk/return measures of funds are assessed using the Sharpe ratio, Treynor ratio, Information ratio, Jensen’ s alpha, and Appraisal ratio. Funds are ranked according to their risk-adjusted performance. Furthermore, we analyze the timing ability of the funds using the quadratic regression of Treynor and Mazuy. Over the last few years, the mutual fund industry in transition economies has exploded. In the process of promotion mutual funds industry Slovenia and Croatia are in the forefront among transition economies, while on the other hand, the Bosnian market is still in its infancy.

stock markets

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