Risk analysis: a case study of the Greek bond mutual funds

Abstract

The present article aims to test the suitability of a newly developed bond index to measure and analyze the risk undertaken by the bond mutual funds operating in the Greek financial market. In doing so, the capital asset pricing model is applied using as an approximation of the market portfolio, first the General Index of the Athens Stock Exchange, secondly the new Bond Index, while, in turn, the results from these two applications are compared with each other. The research concludes that the proposed Bond Index approximates the market portfolio (Greek bond market) much better than the General Index of the Athens Stock Exchange.

Citation

Artikis, G.P. (2004), "Risk analysis: a case study of the Greek bond mutual funds", Managerial Finance, Vol. 30 No. 10, pp. 14-25. https://doi.org/10.1108/03074350410769290