Unitized Risk and Real Rates of Return: A Historical Evolution of the Leading International Stock Exchanges

29 Pages Posted: 27 Feb 2015

See all articles by Alojzy Z. Nowak

Alojzy Z. Nowak

University of Warsaw

Tadeusz Winkler-Drews

Kozminski University

Yochanan Shachmurove

City University of New York, CUNY City College of New York - Department of Economics; The University of Pennsylvania - Department of Economics

Date Written: January 1, 2015

Abstract

Financial markets have experienced unprecedented transformations, signs of which have emerged since the late 1970s. In recent years substantial consolidation occurred. In response to changes in macroeconomic variables, such as GDP, industrial production, inflation and the political business cycle, the institutional structure of stock exchanges has evolved in terms of economic performance. This paper compares the performances of financial markets and presents comparisons of the leading five stock exchanges by studying the evolution of the unitized risk values for real rates of return during the 1950-2012 time-period.

Keywords: New York Stock Exchange, London Stock Exchange, Euronext, Deutsche Börse, Tokyo Stock Exchange, unitized risk values, holding period horizons

JEL Classification: E00, E3, E4, E5, E6, F3, F4, G1, G2, N1, N2

Suggested Citation

Nowak, Alojzy Z. and Winkler-Drews, Tadeusz and Shachmurove, Yochanan, Unitized Risk and Real Rates of Return: A Historical Evolution of the Leading International Stock Exchanges (January 1, 2015). Available at SSRN: https://ssrn.com/abstract=2570591 or http://dx.doi.org/10.2139/ssrn.2570591

Alojzy Z. Nowak

University of Warsaw ( email )

Krakowskie Przedmiescie 26/28
Warszawa, Pl-00681
Poland

Tadeusz Winkler-Drews

Kozminski University ( email )

ul. JagielloDska 57/59
Warsaw, 03-303
Poland

Yochanan Shachmurove (Contact Author)

City University of New York, CUNY City College of New York - Department of Economics ( email )

160 Convent Avenue
New York, NY 10031
United States
212-650-6202 (Phone)

The University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1090 (Phone)
215-573-2057 (Fax)

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