Table 5.8 continued.
  Panel A   Panel B
Selection criterion Mean return   Sharpe ratio
costs per trade 0% 0.25%   0% 0.25%
Data set pn pW pH pn pW pH   pn pW pH pn pW pH
Sri Lanka CSE All Share 0 0 0 0 0.05 0   0 0 0 0 0.05 0
Thailand SET 0 1 0.1 0 1 0.47   0 0 0 0 0.02 0
Taiwan TSE Composite 0 1 0.62 0 1 0.88   0 0.27 0.03 0 0.86 0.26
Austria ATX 0 0.98 0.86 0 1 0.95   0 0.42 0.03 0 0.91 0.13
Belgium Bel20 0 1 0.91 0 1 0.92   0 1 0.56 0 1 0.57
Czech Republic PX50 0 0.24 0.24 0 0.93 0.83   0 0.05 0 0 0.65 0.25
Denmark KFX 0 0.95 0.1 0 1 0.9   0 0.91 0.04 0 1 0.54
Finland HEX General 0 1 0.94 0 1 0.96   0 1 0.48 0 1 0.4
France CAC40 0 1 0.43 0 1 1   0 1 0.18 0 1 0.97
Germany DAX30 0 1 0.96 0 1 1   0 1 0.72 0 1 0.91
Greece ASE General 0 0.89 0.06 0 0.96 0.64   0 0 0 0 0.5 0.02
Italy MIB30 0 0.99 0.73 0 1 0.8   0 0.98 0.14 0 1 0.1
Netherlands AEX 0 1 1 0 1 0.96   0 1 0.45 0 1 0.48
Norway OSE All Share 0 0.12 0 0 0.65 0.07   0 0.08 0.01 0 0.41 0.1
Portugal PSI General 0 0.98 0.1 0 1 0.37   0 0.28 0.02 0 0.27 0.02
Russia Moscow Times 0 1 0.12 0 1 0.24   0 0.18 0 0 0.53 0.01
Slovakia SAX16 0 1 0.56 0 1 0.53   0 0.51 0.22 0 0.51 0.18
Spain IGBM 0 1 0.3 0 1 0.36   0 1 0.24 0 1 0.29
Sweden OMX 0 1 0.6 0 1 0.85   0 1 0.24 0 1 0.2
Switzerland SMI 0 1 0.39 0 1 0.27   0 1 0.28 0 1 0.32
Turkey ISE100 0 1 0.13 0 1 0.62   0 0.02 0 0 0.1 0.01
UK FTSE100 0 1 0.64 0 1 0.91   0 1 0.55 0 1 0.47
Ireland ISEQ 0 0.77 0.45 0 0.94 0.67   0 0.7 0.21 0 0.89 0.25
Egypt CMA 0 0.02 0 0 0.51 0   0 0.05 0 0 0.34 0
Israel TA100 0 1 0.83 0 1 0.96   0 0.99 0.29 0 1 0.55
225