Portfolio Risk Analysis: Evidence From International Stock Markets

Önder Büberkökü, Simge Tüzün Şahmaroğlu and Akın Akar
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Önder Büberkökü: Yuzuncu Yil University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2019, vol. 34, issue 112, 199-224

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.

Keywords: Portfolio risk; Stock markets; Filtered historical simulation; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C58 F30 G11 G15 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:34:y:2019:i:112:p:199-224

DOI: 10.33203/mfy.452336

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