Empirical Research on Value-at-Risk Methods of Chinese Stock Indexes

نویسندگان

  • Xibei Chen
  • Birger Nilsson
چکیده

The Chinese stock market has been established for more than 20 years. Although it is not as mature as the highly developed western securities markets, it has a huge influence on the global economy. It is significant to study the risks of the Chinese stock market, especially the risk of stock indexes. Affected by the economic globalization today, more and more financial derivatives and financial instruments appear which may lead to the increase of related risk so that the demand of research on the risk of the financial market is also getting higher and higher. Risk measurement is a key in risk management, and its measurement methods are constantly evolving. Value at Risk (VaR) method is one of the effective methods to measure the financial risk, which is widely used in domestic and foreign financial institutions. Compared with traditional models, it has much more accuracy and reasonability and is much easier to implement. As the two main indexes in Chinese stock market, the Shanghai Composite stock index and the Shenzhen Component index are selected as the research objectives. And the loss series of the two indexes are tested through normality test, unit root test, autocorrelation test and ARCH effect test. The outcomes of these tests indicate these loss series are skewed and stationary with the effect of ARCH. Hereby, the GARCH-type models are suitable to be used to estimate VaR. The TGARCH model and the EGARCH model under the hypothesis of Student’s t-distribution and generalized error distribution are employed for the six test periods from 2011 to 2016. And it can be concluded with backtesting that all these four models (the VaR-TGARCH-t model, the VaR-TGARCH-GED model, the VaR-EGARCH-t model and the VaR-EGARCH-GED model) are appropriate for the two indexes despite the fact several models fail the Kupiec test for the period 2015-2016.For the Shenzhen Component index, the VaR-TGARCH-t model may fit it most because all numbers of violations for the six test periods fall in the confidence intervals.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures

This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very complex for a portfolio with high number of assets. For t...

متن کامل

Is There a ‘Mystery of Currency Exposure’? An Empirical Study of A-Share Listed Companies

 Given companies’ dynamic responses to expected exchange rate changes, this article improves on current methods of measuring exposure to foreign exchange rate changes by breaking down the spot exchange rate changes into expected changes and unexpected changes. The currency risk exposure coefficients resulting from an empirical analysis of Shanghai Stock Exchange A share listed companies on wh...

متن کامل

Market Risk Recognition by Different Models in Listed Banks of Tehran Stock Exchange and OTC

One of the most important methods employed to measure the market risk is value at risk calculation method. In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution. The sample includes all listed banks in Iran. The results sh...

متن کامل

GJR-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 کامل

Evaluation Approaches of Value at Risk for Tehran Stock Exchange

The purpose of this study is estimation of daily Value at Risk (VaR) for total index of Tehran Stock Exchange using parametric, nonparametric and semi-parametric approaches. Conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated VaR and also to compare the performance of mentioned approaches. In most cases, based on backtesting statistics Results, ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2017