Article

 

COMPARISON OF THE EUROPEAN AND THE U.S. UNREGULATED STOCK MARKETS DESIGNED FOR SMEs (p.61-87)

by

Imanou Akala, Sakarya University

Keywords : Small and Medium Enterprises, Stock markets, Initial Public offering, Index prices, Financial risk and return

JEL classification : M130, G1, C120, C220

Abstract

This paper compares the performances of the European and the U.S. unregulated stock markets using the weekly adjusted closing index prices of Euronext all share index, NYSE AMEX Composite Index, and the OTCM ADR Index for the 2013-2017 period or 261 observations each. ADF, EGARCH, and ARCH tests have been applied on the collected time series data to measure and forecast index prices volatility, risk and return. The results obtained from the tests and analysis show a high levels of price volatility in some periods; but a permanent effect of shocks has not been observed in the long term for all the analysed indexes. It is also seen that negative shocks cause more volatility than positive shocks. However, an overall result has shown that the Euronext all share index despite slight declines displays an upward trend and relatively higher returns with less risk than the NYSE AMEX Composite Index and the OTCM ADR Index; reflecting the better performance of the European unregulated market compare to its U.S. counterparts.