There are numerous studies on the privatisation process in Central and Eastern Europe (CEE) but none of them evaluates the effect of privatisation on bidders' market value. The objective of this research is the determination of the market value changes of several European banks during the time...

Our study examines the presence of the day-of-the-week effect anomaly in the Central and Eastern European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovakian, Slovenian and Polish stock markets during the period September 22, 1997 to March 29, 2002. Our results...

Modern Portfolio Theory associates the stock market risk with volatility of the return. Volatility is measured by the variance of return but the investment community does not accepted this measure, since it weighs equally the deviations of the average return, while most investors determine the...

We investigate the nature of the Central European stock market volatility before, during and after major emerging market crises. We analyze the Central European Stock Index over the period April 30, 1996 - May 31, 2002. The data is divided into three sample periods - pre-crisis period, crisis...

We investigate the Central and Eastern European equity market co-movements before, during and after major emerging market crises. Our study is based on the concept of co-integration. We examine the impact caused by the crisis on the gains of international portfolio diversification in Central and...

We consider four Central European stock market indexes over the period April 30, 1996 - August 31, 2001. We have found that the influence of the Asian crisis over the Central European markets is more severe than this of the Russian crisis. During the crises the Central European markets exhibit...

We propose a model, which is a modification of the Salomon Smith Barney model for cost of capital determination. The model reflects the following characteristics: (1) the degree of diversification of the particular investor (imperfectly diversified); (2) the systematic country risk; (3) firm...

This paper is concentrated on those factors which have significant influence over stock returns on five South East Asia markets. Quantifying these factors and accounting for their influence leads to the specific stock return which we call “pure return”. This process is called return...