 Value at Risk of the main stock market indexes in the European Union (2000–2012)Journal of Policy Modeling, 2015, vol. 37, issue 1, 1-13 Abstract: We analyze extreme movements of the main stocks market indexes in the European Union. We find that the Sweden and UK markets are the preferred ones for risk averse investors since they present the best risk-return performance. Moreover, the UK market is found to have a very low dependence with the rest of the European financial cycles, being the best one (in terms of risk-return) available for investors among the ones studied in this paper. Greece and Holland have the worst performance in terms of risk-return. Austria has the highest average return although the VaR is also high. Moreover, all markets are found to be linked: Austria, Belgium, Germany, Ireland and UK are the markets that are less dependent; while France, Greece, Holland, Italy, Spain and Sweden are more dependent on the rest of the European financial cycles. We find a very strong dependence of France from Belgium. Our results have very important policy implications with respect to the appropriate monetary policy that countries should adopt. In special, countries that experience unstable financial markets should consider similar macroeconomic policies to the UK and Sweden. Keywords: Value-at-Risk; Extreme value theory; Heavy tails; Stock market indexes; Eurozone (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:37:y:2015:i:1:p:1-13 DOI: 10.1016/j.jpolmod.2015.01.006 Access Statistics for this article Journal of Policy Modeling is currently edited by A. M. Costa More articles in Journal of Policy Modeling from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.