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Portfolio Risk Analysis: Evidence From International Stock Markets

Author

Listed:
  • Önder Büberkökü

    (Yuzuncu Yil University)

  • Simge Tüzün Şahmaroğlu
  • Akın Akar

Abstract

Portfolio theory assumes investors are risk-averse, so accuratelymeasuring the level of financial risk in the stock markets is essentialto making correct portfolio decisions. Using both filtered historicaland monte carlo simulations, this study measures the market risk offive developed and eight emerging stock markets. The results show thatthe riskiest stock indices are the ise100, bovespa, sse compositeand dax30, respectively, whereas the s&p tsx, tsec weighted andjakarta composite indices are found to be the least risky. Findings alsoindicate that it is important to use models that take into account thestylized facts of financial variables such as stock indices to obtain moreaccurate results when measuring portfolio risk.

Suggested Citation

  • Önder Büberkökü & Simge Tüzün Şahmaroğlu & Akın Akar, 2019. "Portfolio Risk Analysis: Evidence From International Stock Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 34(112), pages 199-224, October.
    • Handle: RePEc:acc:malfin:v:34:y:2019:i:112:p:199-224
    DOI: https://doi.org/10.33203/mfy.452336
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    More about this item

    Keywords

    Portfolio risk; Stock markets; Filtered historical simulation; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F30 - International Economics - - International Finance - - - General

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