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Market Risk of Developed and Emerging Countries During the Global Financial Crisis

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  • Bülent Köksal
  • Mehmet Orhan

Abstract

This study compares the performance of the widely used risk measure, value at risk (VaR), across a large sample of developed and emerging countries. The performance of VaR is assessed using both the unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the quadratic loss function. The results indicate that VaR performs much more poorly when measuring the risk of developed countries than of emerging ones. One possible reason might be the deeper initial impact of the global financial crisis on developed countries. The results also provide evidence of the decoupling of the market risk of emerging and developed countries during the global financial crisis.

Suggested Citation

  • Bülent Köksal & Mehmet Orhan, 2013. "Market Risk of Developed and Emerging Countries During the Global Financial Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(3), pages 20-34, May.
    • Handle: RePEc:mes:emfitr:v:49:y:2013:i:3:p:20-34
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    Citations

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    Cited by:

    1. Kutan, Ali M. & Muradoğlu, Yaz G., 2016. "Financial and real sector returns, IMF-related news, and the Asian crisis," Finance Research Letters, Elsevier, vol. 16(C), pages 28-37.
    2. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2014, January-A.
    3. Taner Sekmen, 2015. "Effect of the Subprime Crisis on Return and Volatility of the Turkish Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 7(3), pages 23-29.
    4. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 30, July-Dece.

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