Awards for Excellence

Citation

(2008), "Awards for Excellence", Baltic Journal of Management, Vol. 3 No. 3. https://doi.org/10.1108/bjm.2008.29503caa.003

Awards for Excellence

Article Type: Awards for Excellence From: Baltic Journal of Management, Volume 3, Issue 3

Outstanding Paper Award Baltic Journal of Management

‘‘Evaluating performance of Nordic and Baltic stock exchanges’’

Nerijus Maciulis and Vaiva LazauskaiteISM University of Management and Economics, Kaunas, Lithuania

Elias BengtssonSchool of Business, Stockholm University, Stockholm, Sweden

Purpose – The purpose of this paper is to evaluate and compare performances of three Nordic (Sweden, Denmark and Finland) and three Baltic (Lithuania, Latvia and Estonia) exchanges.Design/methodology/approach – Portfolio performance is estimated using two different approaches: traditional measures – Sharpe, Sortino and Treynor ratios; and alternative measures – reward to value-at-risk and reward to expected tail loss (RETL).Findings – The findings highlight the differences and similarities in Nordic and Baltic stock exchanges and their performance trends after creation of common marketplace OMX. Returns of Baltic, like Nordic, exchanges are normally distributed. During the period of 2000-2006, Baltic exchanges outperformed Nordic exchanges.Research limitations/implications – The research is limited to six stock exchanges that are members of common marketplace OMX. Proposed alternative performance measures did not diverge from traditional approaches, because, apparently, Baltic exchanges offer normally distributed returns and should not be considered emerging markets. These measures should be further tested in developing and emerging markets.Originality/value – The findings have both theoretical and practical implications. To the authors’ best knowledge, it is the first public attempt to estimate performance of Baltic and Nordic exchanges in the context of modern portfolio theory and, alternatively, new science of risk management (value at risk and expected tail loss). The paper argues for the usage of an alternative measure for performance valuation – RETL. Furthermore, the paper discuses merits and limitations of different approaches to risk and performance measurement.

Keywords: Baltic states, Denmark, Financial risk, Finland, Stock exchanges, Sweden

www.emeraldinsight.com/10.1108/17465260710750964This article originally appeared in Volume 2 Number 2, 2007, pp. 140-53, of Baltic Journal of Management, Editor: Asta Pundziene

Highly Commended Papers

Baltic Journal of Management

‘‘Valuation of private companies by Estonian private equity and venture capitalists’’Priit Sander, Margus Ko˜oma¨giVol. 2 No. 1, 2007

‘‘Action research as culture change tool’’ Romualda Marcinkoniene, Tauno Keka¨leVol. 2 No. 1, 2007

‘‘Leadership in different kinds of regional development networks’’ Vesa Harmaakorpi, Harri NiukkanenVol. 2 No. 1, 2007

Outstanding reviewer:

Baltic Journal of Management Tauno Kekale, University of Vaasa, Finland