English, Article, Journal or magazine article edition: A New Index of Belgian Shares Anderson, Ronald; Reinard, Davy; Scaillet, Olivier

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Bookmark: http://trove.nla.gov.au/version/3979
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A New Index of Belgian Shares
Author
  • Anderson, Ronald
  • Reinard, Davy
  • Scaillet, Olivier
Physical Description
  • preprint
Notes
  • A factor analysis of returns of shares traded on the Brussels Stock Exchange reveals that the first dominant factor is highly correlated with the popular Bel-20 index and that a distinctive alternative trend is represented by the market's second factor. We propose a new stock index consisting of 22 Belgian industrial and commercial shares which are particularly sensitive to this second market factor. The resulting index offers opportunities for diversification of a portfolio consisting of Bel-20 shares and could form the basis of derivative products which would be particular sensitive to Belgian industrial performance. A fundamental analysis shows that shares within the new index are less sensitive to BEF/​$ exchange rate and the price of oil than are Bel-20 shares.
  • Stock indices; factor analysis; liquidity
  • RePEc:ctl:louvir:1997016
Language
  • English
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