Portfolio management under capital market frictions:a grey clustering approach  

作　　者：Elena Valentina Tilică Victor Dragotă Camelia Delcea Răzvan Ioan Tătaru 

机构地区：[1]Department of Finance and CEFIMO,Bucharest University of Economic Studies,010552,Bucharest,Romania [2]Department of Economic Informatics and Cybernetics,Bucharest University of Economic Studies,010552,Bucharest,Romania [3]Doctoral School of Finance,Bucharest University of Economic Studies,010552,Bucharest,Romania

出　　处：《Financial Innovation》2024年第1期903-938,共36页金融创新(英文)

基　　金：partially financed by CEFIMO.

摘　　要：International portfolio management is influenced by the existence of“frictions”,factors or events that interfere with trade,which are linked in financial literature to market-specific factors,such as available information,restrictions,investor protection,or market liquidity.Given the wide variety of factors that can be included in these categories,scientific studies typically focus on a reduced number of indicators at a time in order to offer an in depth analysis of their impact.We offer a consolidated view of the perspectives observed in financial literature by proposing a novel index for market frictions that includes all these four components and rank fifteen post-communist East European capital markets based on their index values.We then constructed various scenarios by assuming different levels of importance for the criteria used in index construction.By employing grey clustering analysis,we cluster these capital markets into three categories—strongly recommended,recommended with some reserve,and not recommended—based on the importance given by the decision maker to these factors.The results show that some of the studied markets are in the same cluster,irrespective of the chosen scenario.The only market always included in the“strongly recommended”category is Hungary,indicating that it is a good investment option for international participants.Bulgaria and Slovakia are always regarded as“recommended with reserve”markets,whereas the Republic of Moldova is part of the“not recommended”category.The other markets show a degree of variability that can be explained by different investor perspectives.This study contributes to the existing literature by combining the advantages of grey clustering and portfolio analysis.Investors can use this approach during the decision-making process related to their investments.

关 键 词：Grey clustering Market frictions index Information REGULATION Investor protection LIQUIDITY Portfolio management Post-communist East European capital markets Efficient market hypothesis 

分 类 号：F41[经济管理—产业经济]