Risk Decomposition in BRICS-T Stock Markets
نویسندگان
چکیده
In this study, the measurement and decomposition of risk were examined risks national stock market indices BRICS-T countries (Brazil, Russia, India, China, South Africa Turkey) measured using monthly closing data for 2009-2018 period, based on US market. S&P 500 index was chosen as index. Accordingly, total are calculated separated into systematic non-systematic risks. addition, beta coefficients that measure sensitivity to movements 120-month data. The study findings show exchanges in community generally quite low, most is factor.
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ژورنال
عنوان ژورنال: Gaziantep University Journal of Social Sciences
سال: 2022
ISSN: ['1303-0094']
DOI: https://doi.org/10.21547/jss.1066195