Value at Risk Analysis and Investment Portfolio Optimization of Asian Stocks

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Nuntawut Habkhonglek


This study investigated the Value at Risk (VaR) and the Component Expected Shortfall (CES) to find an optimal portfolio investment for 15 Asian stock markets. The data is collected from 2006 to 2019, and 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%) after the crisis. Obviously, the crisis influenced the risk of Asia stock markets. According to the portfolio analysis, the result revealed that Malaysian stock was suggested as the highest investment proportion for pre-crisis, and crisis period. After the crisis, Indonesian stocks are suggested as the highest investment proportion, whereas the investment in stock markets of Singapore, Turkey, and Russian is not suggested.

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