Value at Risk at Asian Emerging Stock Markets

Syed Muhammad Waqar Azeem Naqvi, Syed Kumail Abbas Rizvi, Orangzab and Muhammad Ali

EconStor Open Access Articles and Book Chapters, 2016, vol. 28, issue 3, 311-319

Abstract: This study tries to calculate value at risk at Asian emerging stock markets of daily, weekly and monthly stock returns by calculating its log returns. This study also ranks equity markets on the basis on Sharpe ratio and risk adjusted returns. This process helps investors to gauge these stock markets on various risk levels present in these market to make a good decision of investment for wealth maximization. This study uses 10 year financial data from 2004 to 2014 of daily weekly and monthly data frequency. Value at risk is calculate of all data frequencies at 1 and 5 percent level of significance. Results are different in short, medium and relatively long run cases of each stock market. However, collectively, Pakistan, Indian and Malaysian markets perform better at a given level of risk and return.

Keywords: Risk; Return; Value at Risk; Emerging Markets (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/205365/1/Value%20at%20Risk%20Waqar-.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:espost:205365

Access Statistics for this article

More articles in EconStor Open Access Articles and Book Chapters from ZBW - Leibniz Information Centre for Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().