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.

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