วิเคราะห์มูลค่าความเสี่ยงและการจัดพอร์ตการลงทุนที่เหมาะสมของตลาดหลักทรัพย์ในเอเชีย

Abstract

This study investigated the Value at Risk (VaR) and the Component Expected Shortfall (CES) applying copula model to find an optimal portfolio investment for 15 Asian stock markets. The data is collected from 4 January 2006 to 30 December 2019, and it is then categorized into three pre-crisis periods, crisis, and post-crisis of the global financial crisis in 2008. Empirical results showed that the VaR had increased from 0.0034 to 0.0062 (82.35%) during the crisis period, but it had decreased from 0.0062 to 0.0035 (43.55%) post-crisis. Obviously, the crisis in 2008 influenced the risk of Asia stock markets. According to the portfolio analysis, the result revealed that the Malaysia Stock with the highest proportion pre-crisis, whereas there was zero in investment proportion in Singapore, India, Pakistan, and Turkey Stocks. Malaysian stock was suggested as the highest investment proportion during the crisis period, while there is no investment proportion for Singapore, India, and Pakistan Stocks. Post-crisis, Indonesian Stock was suggested for investment with the highest proportion, whiles Singapore, Turkey, and Russian Stocks is not suggested.