Risk analysis of bond mutial funds: a case study in the Greek financial market
Abstract
Argues that the Greek secondary bond market (opened in March 1999) needs a specific index to approximate its market portfolio for measuring systematic risk (beta) since the Athens Stock Exchange (ASE) index may be misleading. Puts forward a weighted index and explains the five steps involved in its construction. Tests the index, using data fro the first six months of the bond market’s operation, finds it a good approximation; and shows that in conjunction with the ASE index it improves the explanatory power of the capital asset pricing model.
Keywords
Citation
Artikis, P.G. (2001), "Risk analysis of bond mutial funds: a case study in the Greek financial market", Managerial Finance, Vol. 27 No. 6, pp. 42-59. https://doi.org/10.1108/03074350110767222
Publisher
:MCB UP Ltd
Copyright © 2001, MCB UP Limited