The aim of this paper was to compare the yield and risk ratio of the two different capital markets using Markowitz's model. In the analyzes were used two countries, Croatia with a cross- border capital market, and Hungary with an emerging capital market. This paper is actually trying to determine whether investors in Croatia could earn higher returns, accepting a higher level of risk because it is a smaller and underdeveloped market compared to the Hungarian capital market. After the introduction, Markowitz's portfolio optimization model is explained in the theoretical part, both capital markets are presented individually, with their major securities exchanges and their history. The empirical part of the paper analyzes stock according to modern portfolio theory in order to reach a concluded about accepting or rejecting hypotheses. After analyzing for each capital market individually, it is concluded that the Hungarian capital market can generate higher yields, but at a higher risk, than is possible on the Croatian capital market. The efficient frontier for the Hungarian capital market is much longer and is largely above the efficient frontier for the Croatian capital market. Only for small values of the accepted level of risk is it possible to make a higher yield on the Croatian capital market than on the Hungarian capital market. The risk as measured by variance, beta and VaR, shows that the Hungarian capital market is riskier, although it is more developed than the Croatian capital market. The yields of stock on the Croatian capital market are not normally distributed, while in Hungary there are stock whose daily yields are normally distributed. The research conducted shows that it is still best to invest in both markets together, as it is a way to achieve the best returns with the same level of risk.