Measuring risk in the Greek bond market an alternative approach

Abstract

The capital asset pricing model, using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, has been applied extensively to measure the risk of the bond mutual funds operating in the Greek financial market. This article argues that the General Index of the Athens Stock Exchange cannot approximate the market portfolio and proposes an alternative index. In turn, the proposed Bond Index is tested using the daily returns of the bond mutual funds operating in the Greek financial market. The proposed index proved to be a very good approximation of the Greek bond market. Besides, this index approximates the market portfolio much better than General Index of the Athens Stock Exchange.

Citation

Artikis, P.G. (2003), "Measuring risk in the Greek bond market an alternative approach", Managerial Finance, Vol. 29 No. 9, pp. 9-20. https://doi.org/10.1108/03074350310768445