Downside risk, portfolio diversification and the financial crisis in the euro-zone
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/10400.15/2974 |
Resumo: | This paper evaluates the value at risk for individual sovereign bond and national equity markets for 10 member countries in the euro-zone, using four estimation models and three accuracy criteria in addition to the daily capital requirements, for the full sample period and a subperiod that marks the beginning of the recent global financial crisis. The results show that the conditional extreme value theory model under both the normal and Student-t distributions satisfies the four accuracy criteria the best and gives the least capital charges for both periods, while the RiskMetrics gives the worst results. These euro-zone bond and equity markets are also classified into two groups: the PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Germany, France, Austria, The Netherlands and Finland), and optimal portfolios are constructed for these two groups as well as for the ten euro area as a whole. Given the sample periods, the results show no strong diversification for any of the two groups or for the whole area in any of the bond and equity asset classes or both. The bond and equity portfolios are augmented with commodities and the best grand portfolio is the one that is diversified with the commodities gold, silver and oil, particularly for the subperiod. |
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Downside risk, portfolio diversification and the financial crisis in the euro-zoneBond benchmarksCommoditiesStock indicesValue at risk (VaR) euro-zoneThis paper evaluates the value at risk for individual sovereign bond and national equity markets for 10 member countries in the euro-zone, using four estimation models and three accuracy criteria in addition to the daily capital requirements, for the full sample period and a subperiod that marks the beginning of the recent global financial crisis. The results show that the conditional extreme value theory model under both the normal and Student-t distributions satisfies the four accuracy criteria the best and gives the least capital charges for both periods, while the RiskMetrics gives the worst results. These euro-zone bond and equity markets are also classified into two groups: the PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Germany, France, Austria, The Netherlands and Finland), and optimal portfolios are constructed for these two groups as well as for the ten euro area as a whole. Given the sample periods, the results show no strong diversification for any of the two groups or for the whole area in any of the bond and equity asset classes or both. The bond and equity portfolios are augmented with commodities and the best grand portfolio is the one that is diversified with the commodities gold, silver and oil, particularly for the subperiod.ElsevierRepositório Científico do Instituto Politécnico de SantarémSarafrazi, SoodabehHammoudeh, ShawkatSantos, Paulo Araújo2020-07-10T09:11:10Z20142014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.15/2974engSarafrazi, S., Hammoudeh, S., & Santos, P. A. (2014). Downside risk, portfolio diversification and the financial crisis in the euro-zone. Journal of International Financial Markets, Institutions & Money, 32, 368–396. doi: 10.1016/j.intfin.2014.06.0081042-443110.1016/j.intfin.2014.06.008metadata 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:10400.15/2974Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:54:50.757592Repositório 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, portfolio diversification and the financial crisis in the euro-zone |
title |
Downside risk, portfolio diversification and the financial crisis in the euro-zone |
spellingShingle |
Downside risk, portfolio diversification and the financial crisis in the euro-zone Sarafrazi, Soodabeh Bond benchmarks Commodities Stock indices Value at risk (VaR) euro-zone |
title_short |
Downside risk, portfolio diversification and the financial crisis in the euro-zone |
title_full |
Downside risk, portfolio diversification and the financial crisis in the euro-zone |
title_fullStr |
Downside risk, portfolio diversification and the financial crisis in the euro-zone |
title_full_unstemmed |
Downside risk, portfolio diversification and the financial crisis in the euro-zone |
title_sort |
Downside risk, portfolio diversification and the financial crisis in the euro-zone |
author |
Sarafrazi, Soodabeh |
author_facet |
Sarafrazi, Soodabeh 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 |
Sarafrazi, Soodabeh Hammoudeh, Shawkat Santos, Paulo Araújo |
dc.subject.por.fl_str_mv |
Bond benchmarks Commodities Stock indices Value at risk (VaR) euro-zone |
topic |
Bond benchmarks Commodities Stock indices Value at risk (VaR) euro-zone |
description |
This paper evaluates the value at risk for individual sovereign bond and national equity markets for 10 member countries in the euro-zone, using four estimation models and three accuracy criteria in addition to the daily capital requirements, for the full sample period and a subperiod that marks the beginning of the recent global financial crisis. The results show that the conditional extreme value theory model under both the normal and Student-t distributions satisfies the four accuracy criteria the best and gives the least capital charges for both periods, while the RiskMetrics gives the worst results. These euro-zone bond and equity markets are also classified into two groups: the PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Germany, France, Austria, The Netherlands and Finland), and optimal portfolios are constructed for these two groups as well as for the ten euro area as a whole. Given the sample periods, the results show no strong diversification for any of the two groups or for the whole area in any of the bond and equity asset classes or both. The bond and equity portfolios are augmented with commodities and the best grand portfolio is the one that is diversified with the commodities gold, silver and oil, particularly for the subperiod. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014 2014-01-01T00:00:00Z 2020-07-10T09:11:10Z |
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/10400.15/2974 |
url |
http://hdl.handle.net/10400.15/2974 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Sarafrazi, S., Hammoudeh, S., & Santos, P. A. (2014). Downside risk, portfolio diversification and the financial crisis in the euro-zone. Journal of International Financial Markets, Institutions & Money, 32, 368–396. doi: 10.1016/j.intfin.2014.06.008 1042-4431 10.1016/j.intfin.2014.06.008 |
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 |
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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 |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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 |
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1799137038273871872 |