Performance of Risk Measures in China’s Stock Markets
نویسنده
چکیده
This article examines the efficiency of five risk measures in the framework of portfolio optimization for the stocks of four China’s stock markets and investigates which risk measure has the best performance in making asset allocation decisions. The data used are the historical monthly stock returns from 1998 to 2002. Although the downside risk measures are thought to be consistent with investors’ actual perception of risk, our finding shows that the traditional Mean-Variance model is much more efficient and has the best performance in forming global minimum risk portfolios among all five risk measures.
منابع مشابه
Effect of Firm Life Cycle Theory on the relevance of Risk Measures
Risk phenomenon is one of the key characteristics of decision making in the fields of investment, issues associated with financial markets, and various economic activities. The present study was an attempt to evaluate the impact of different periods of life cycle of companies on the relevance of risk measures of companies. In this study, the collected data have been analyzed in three stages. Fi...
متن کاملGJR-Copula-CVaR Model for Portfolio Optimization: Evidence for Emerging Stock Markets
Abstract T his paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to determine the structure of dependence. Finally, the impact of the dep...
متن کاملDoes Gold Act as a Hedge and a Safe Haven for China’s Stock Market?
Abstract: This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China’s stock markets for analysis. Our main objective was to examine the time-varying correlations between gold and stock and to c...
متن کاملThe impact of China’s stock market reforms on its international stock market linkages
This paper investigates how China’s stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China’s regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The res...
متن کاملSimultaneous Effect of Liquidity Risk and Credit Risk on the Stability of Banks that Accepted in Tehran Stock Exchange
Banks are an essential elements of the financial discipline in many countries, and as financial intermediaries, they play a crucial role in achieving the growth and financial development of each state. Banking industry development and its efficiency can also lead to long-term economic growth and on the contrary, lack of banking network development may cause a decline in economic growth. Regar...
متن کامل