FACTOR INVESTING: A STOCK SELECTION METHODOLOGY FOR THE EUROPEAN EQUITY MARKET

The Dynamics of Central European Equity Market Integration

SSRN Electronic Journal ◽

10.2139/ssrn.686113 ◽

2005 ◽

Cited By ~ 3

Author(s):

Claire G. Gilmore ◽

Brian M. Lucey ◽

Ginette M. McManus

Keyword(s):

Market Integration ◽

Equity Market ◽

Central European ◽

European Equity

Download Full-text

Investment Styles in the European Equity Market

Advances in Quantitative Asset Management - Studies in Computational Finance ◽

10.1007/978-1-4615-4389-3_4 ◽

2000 ◽

pp. 61-88

Author(s):

Monica Billio ◽

Roberto Casarin ◽

Claire Méhu ◽

Domenico Sartore

Keyword(s):

Equity Market ◽

Investment Styles ◽

European Equity

Download Full-text

The MiFID: Competition in a New European Equity Market Regulatory Structure

Investor Protection in Europe ◽

10.1093/acprof:oso/9780199202911.003.0006 ◽

2006 ◽

pp. 163-198 ◽

Cited By ~ 8

Author(s):

Ryan Davies ◽

Alfonso Dufour ◽

Brian Scott-Quinn

Keyword(s):

Equity Market ◽

Regulatory Structure ◽

European Equity

Download Full-text

Volatility Spillover Effects in European Equity Markets

Journal of Financial and Quantitative Analysis ◽

10.1017/s0022109000002350 ◽

2005 ◽

Vol 40 (2) ◽

pp. 373-401 ◽

Cited By ~ 324

Author(s):

Lieven Baele

Keyword(s):

Regional Integration ◽

Regime Switching ◽

Western Europe ◽

Equity Markets ◽

Spillover Effects ◽

Equity Market ◽

Monetary Integration ◽

Time Varying ◽

Trade Integration ◽

European Equity

AbstractThis paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration. More specifically, I quantify the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and U.S. market to 13 local European equity markets. To account for time-varying integration, I use a regime-switching model to allow the shock sensitivities to change over time. I find regime switches to be both statistically and economically important. Both the EU and U.S. shock spillover intensity increased substantially over the 1980s and 1990s, though the rise is more pronounced for EU spillovers. Shock spillover intensities increased most strongly in the second half of the 1980s and the first half of the 1990s. I show that increased trade integration, equity market development, and low inflation contribute to the increase in EU shock spillover intensity. I also find evidence for contagion from the U.S. market to a number of local European equity markets during periods of high world market volatility.

Download Full-text

The Greek equity market in European equity portfolios

Economic Modelling ◽

10.1016/j.econmod.2015.04.004 ◽

2015 ◽

Vol 49 ◽

pp. 144-153 ◽

Cited By ~ 1

Author(s):

Dimitrios I. Vortelinos

Keyword(s):

Equity Market ◽

Equity Portfolios ◽

European Equity

Download Full-text

Optimal Returns in Indian Stock Market during Global Pandemic: A Comparative Study

Journal of Risk and Financial Management ◽

10.3390/jrfm14120592 ◽

2021 ◽

Vol 14 (12) ◽

pp. 592

Author(s):

Pradip Debnath ◽

Hari Mohan Srivastava

Keyword(s):

Stock Exchange ◽

Real Life ◽

Stock Selection ◽

Data Set ◽

Global Pandemic ◽

Proposed Model ◽

Real Life Situation ◽

The Difference ◽

And Performance ◽

Selection Methodology

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was examined during 1 January 2021 to 21 May 2021 assuming investments were made according to the proposed model. We observed that our proposed portfolio was efficient enough in that period to beat the performance of most of the in-demand mutual funds. It was also conjectured that this portfolio would be sustainable post the second wave of COVID-19 in India. In the present paper, our aim is to validate this conjecture. Here, we examine the performance of this portfolio during the period 1 January 2021 to 18 October 2021 using the same previous data set. We also investigate the performance of this portfolio if it was blindly adopted without applying the stock selection methodology during 1 January 2019 to 31 December 2019. Using paired t-test between the difference of means of the performances in the year 2019 and the year 2021, we show that the performance in 2021 was significantly enhanced because of selecting the stocks applying our proposed model.

Download Full-text