• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Baltic Journal of Management >Evaluating performance of Nordic and Baltic stock exchanges
【24h】

Evaluating performance of Nordic and Baltic stock exchanges

机译：评估北欧和波罗的海证券交易所的表现

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Purpose – The purpose of this paper is to evaluate and compare performances of three Nordic (Sweden, Denmark, Finland) and three Baltic (Lithuania, Latvia, Estonia) exchanges. Design/methodology/approach – Portfolio performance is estimated using two different approaches: traditional measures – Sharpe, Sortino and Treynor ratios; and alternative measures – reward to value-at-risk and reward to expected tail loss (RETL). Findings – The findings highlight the differences and similarities in Nordic and Baltic stock exchanges and their performance trends after creation of common marketplace OMX. Returns of Baltic, like Nordic, exchanges are normally distributed. During the period of 2000-2006, Baltic exchanges outperformed Nordic exchanges. Research limitations/implications – The research is limited to six stock exchanges that are members of common marketplace OMX. Proposed alternative performance measures did not diverge from traditional approaches, because, apparently, Baltic exchanges offer normally distributed returns and should not be considered emerging markets. These measures should be further tested in developing and emerging markets. Originality/value – The findings have both theoretical and practical implications. To the authors' best knowledge, it is the first public attempt to estimate performance of Baltic and Nordic exchanges in the context of modern portfolio theory and, alternatively, new science of risk management (value at risk and expected tail loss). The paper argues for the usage of an alternative measure for performance valuation – RETL. Furthermore, the paper discuses merits and limitations of different approaches to risk and performance measurement.
机译：目的–本文的目的是评估和比较三个北欧（瑞典，丹麦，芬兰）和三个波罗的海（立陶宛，拉脱维亚，爱沙尼亚）交易所的表现。设计/方法/方法–使用两种不同的方法估算投资组合的绩效：传统方法– Sharpe，Sortino和Treynor比率；以及其他措施–奖励风险价值并奖励预期的尾翼损失（RETL）。调查结果–研究结果突出了创建共同市场OMX之后北欧和波罗的海证券交易所的异同和表现趋势。与北欧的交易所一样，波罗的海的收益也呈正态分布。在2000年至2006年期间，波罗的海交易所的交易表现优于北欧交易所。研究的局限性/意义–研究仅限于作为普通市场OMX成员的六个证券交易所。拟议的替代绩效衡量标准与传统方法没有区别，因为波罗的海交易所显然提供正态分布的回报，因此不应被视为新兴市场。这些措施应在发展中国家和新兴市场中进一步测试。原创性/价值–研究结果具有理论和实践意义。据作者所知，这是在现代投资组合理论以及新的风险管理科学（风险价值和预期尾损失）背景下估计波罗的海和北欧交易所的表现的首次公开尝试。该论文主张使用替代方法进行绩效评估-RETL。此外，本文讨论了风险和绩效衡量的不同方法的优缺点。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号