Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.15/2975 |
Resumo: | This study examines the Value-at-Risk for ten euro-zone equity markets individually and also divided into two groups: PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Austria, Finland, France, Germany and the Netherlands), employing four VaR estimation and evaluation methods considered over the full period and the pre- and post-global crisis subperiods 1 and 2. The backtesting results are also evaluated according to the Basel capital requirements. The results demonstrate that the CEVT methods meet all the statistical criteria the best for most individual equity indices over the full period, but these results over the two subperiods for those two methods are mixed, compared to those the DPOT methods. Moreover, the two optimal group portfolios of the PIIGS and the Core as well as the grand portfolio that combines the ten indices do not show much diversification benefits. The PIIGS portfolio selects Spain's IBEX only, while that of the Core opts for Austria's ATX only in the full period and subperiod 1. However, Germany's DAX overwhelmingly dominates both the Core and the Grand portfolios in subperiod 2. |
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Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis periodAugmented portfoliosEuro-zone equity marketsSubperiodsThis study examines the Value-at-Risk for ten euro-zone equity markets individually and also divided into two groups: PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Austria, Finland, France, Germany and the Netherlands), employing four VaR estimation and evaluation methods considered over the full period and the pre- and post-global crisis subperiods 1 and 2. The backtesting results are also evaluated according to the Basel capital requirements. The results demonstrate that the CEVT methods meet all the statistical criteria the best for most individual equity indices over the full period, but these results over the two subperiods for those two methods are mixed, compared to those the DPOT methods. Moreover, the two optimal group portfolios of the PIIGS and the Core as well as the grand portfolio that combines the ten indices do not show much diversification benefits. The PIIGS portfolio selects Spain's IBEX only, while that of the Core opts for Austria's ATX only in the full period and subperiod 1. However, Germany's DAX overwhelmingly dominates both the Core and the Grand portfolios in subperiod 2.ElsevierRepositório Científico do Instituto Politécnico de SantarémLiu, TengdongHammoudeh, ShawkatSantos, Paulo Araújo2020-07-10T10:44:09Z20142014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.15/2975engLiu, T., Hammoudeh, S., & Santos, P. A. (2014). Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period. Journal of International Money & Finance, 44, 47–68. doi: 10.1016/j.jimonfin.2014.01.0060261-560610.1016/j.jimonfin.2014.01.006metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-21T07:34:24Zoai:repositorio.ipsantarem.pt:10400.15/2975Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:54:50.802040Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period |
title |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period |
spellingShingle |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period Liu, Tengdong Augmented portfolios Euro-zone equity markets Subperiods |
title_short |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period |
title_full |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period |
title_fullStr |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period |
title_full_unstemmed |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period |
title_sort |
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period |
author |
Liu, Tengdong |
author_facet |
Liu, Tengdong Hammoudeh, Shawkat Santos, Paulo Araújo |
author_role |
author |
author2 |
Hammoudeh, Shawkat Santos, Paulo Araújo |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório Científico do Instituto Politécnico de Santarém |
dc.contributor.author.fl_str_mv |
Liu, Tengdong Hammoudeh, Shawkat Santos, Paulo Araújo |
dc.subject.por.fl_str_mv |
Augmented portfolios Euro-zone equity markets Subperiods |
topic |
Augmented portfolios Euro-zone equity markets Subperiods |
description |
This study examines the Value-at-Risk for ten euro-zone equity markets individually and also divided into two groups: PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Austria, Finland, France, Germany and the Netherlands), employing four VaR estimation and evaluation methods considered over the full period and the pre- and post-global crisis subperiods 1 and 2. The backtesting results are also evaluated according to the Basel capital requirements. The results demonstrate that the CEVT methods meet all the statistical criteria the best for most individual equity indices over the full period, but these results over the two subperiods for those two methods are mixed, compared to those the DPOT methods. Moreover, the two optimal group portfolios of the PIIGS and the Core as well as the grand portfolio that combines the ten indices do not show much diversification benefits. The PIIGS portfolio selects Spain's IBEX only, while that of the Core opts for Austria's ATX only in the full period and subperiod 1. However, Germany's DAX overwhelmingly dominates both the Core and the Grand portfolios in subperiod 2. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014 2014-01-01T00:00:00Z 2020-07-10T10:44:09Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.15/2975 |
url |
http://hdl.handle.net/10400.15/2975 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Liu, T., Hammoudeh, S., & Santos, P. A. (2014). Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period. Journal of International Money & Finance, 44, 47–68. doi: 10.1016/j.jimonfin.2014.01.006 0261-5606 10.1016/j.jimonfin.2014.01.006 |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799137038275969024 |