Acta Univ. Agric. Silvic. Mendelianae Brun. 2005, 53, 189-200
Published online 2014-12-20

Analysis of stock market returns of American and European stock market from the view of an American and a European investor

Oldřich Šoba

Ústav financí, Mendelova zemědělská a lesnická univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republika

The paper is focused on the analysis of stock market returns of American and European stock market for different investment horizon from the view of an American and European investor. The paper also partly resumes, in the part of analysis of USD/EUR exchange rate influence on market returns of mentioned stock market, research paper REJNUŠ, O., ŠOBA, O.: Changes in the USD/EUR exchange rate and their impact on the return of stock indexes from the viewpoint of a European and of an American investor. ACTA UNIVERSITATIS AGRICULTURAE ET SILVICULTURAE MENDELIANAE BRU- NENSIS, Vol. LII, No. 6, 2004, pg. 145–159, ISSN 1211-8516.
The development of both American and European stock market is put on the development of two, structure-similar Standard & Poor’s exchange indexes, particularly S&P 500 and S&P Europe 350. According to the USD/EUR exchange rate, there were used the values published by FED, with the oldest data there were accepted the count ECU to EUR. The data were taken both from the weekly closing values of mentioned stock indexes and weekly closing values of USD/EUR exchange rate.
The analysis was done with using the methods of quantification of „running market returns“ (recount to the average annual values) of indexes from the view of both investors within the set investment horizon. The elemental statistical level characteristic – simple average, median and statistical characteristic of variability – standard deviation and variation coefficient were quantified from this time series of annual running market returns.
The analysis, which was purposely oriented to six basic different long investment horizon (1 year, 2 years, 3 years, 5 years, 7 years, 10 years), has approved that in focused term of 1980–2004 the market returns of picked stock market from the view of both investors (American and European) was generally higher in longer investment horizon than in the shorter investment horizon. The values of variation coefficient in particular investment horizon indicated the decreasing riskiness of investments in analyzed markets with elongating length of investment horizon, from view of both investors on both stock markets. The influence of the exchange rates changes on the values of quantified characteristic of indexes market returns (stock markets) was relatively insignificant, so the conclusions of the mentioned research paper, which resumes partly this paper, where in practice verified.


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