The present study represents a model of risk at the Central European Stock Exchange, measured as the yield dispersion of the CESI index. The period under analysis – 30 June 1995 – 31 May 2002 is divided into three subperiods – precrisis, crisis and postcrisis. The main characteristics of...

Modern Portfolio Theory associates the stock market risk with the volatility of return. Volatility is measured by the variance of the returns' distribution. However, the investment community does not accept this measure, since it weights equally deviations of the average returns, whereas most...

Purpose – To investigate the Central and Eastern European (CEE) equity market co-movements before, during and after major emerging market crises. To examine the impact of the crisis on the gains of international portfolio diversification in CEE. Design/methodology/approach - The study is based...

Purpose – To investigate the Central and Eastern European (CEE) equity market co‐movements before, during and after major emerging market crises. To examine the impact of the crisis on the gains of international portfolio diversification in CEE. Design/methodology/approach – The study is...