Evaluating Performance of Nordic and Baltic Stock Exchanges

Baltic Journal of Management, Forthcoming

Posted: 20 May 2011

See all articles by Elias Bengtsson

Elias Bengtsson

Halmstad University; University of Gothenburg - School of Business, Economics and Law

Date Written: May 13, 2011


Purpose – The purpose of this paper is to evaluate and compare performances of three Nordic (Sweden, Denmark, Finland) and three Baltic (Lithuania, Latvia, Estonia) exchanges.

Design/methodology/approach – Portfolio performance is estimated using two different approaches: traditional measures – Sharpe, Sortino and Treynor ratios; and alternative measures – reward to value-at-risk and reward to expected tail loss (RETL).

Findings – The findings highlight the differences and similarities in Nordic and Baltic stock exchanges and their performance trends after creation of common marketplace OMX. Returns of Baltic, like Nordic, exchanges are normally distributed. During the period of 2000-2006, Baltic exchanges outperformed Nordic exchanges.

Research limitations/implications – The research is limited to six stock exchanges that are members of common marketplace OMX. Proposed alternative performance measures did not diverge from traditional approaches, because, apparently, Baltic exchanges offer normally distributed returns and should not be considered emerging markets. These measures should be further tested in developing and emerging markets.

Originality/value – The findings have both theoretical and practical implications. To the authors' best knowledge, it is the first public attempt to estimate performance of Baltic and Nordic exchanges in the context of modern portfolio theory and, alternatively, new science of risk management (value at risk and expected tail loss). The paper argues for the usage of an alternative measure for performance valuation – RETL. Furthermore, the paper discuses merits and limitations of different approaches to risk and performance measurement.

Suggested Citation

Bengtsson, Elias, Evaluating Performance of Nordic and Baltic Stock Exchanges (May 13, 2011). Baltic Journal of Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1840307

Elias Bengtsson (Contact Author)

Halmstad University ( email )

301 18 Halmstad

University of Gothenburg - School of Business, Economics and Law ( email )

Vasagatan 1
Goteborg, 40530

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