RISK EVALUATION IN THE BALTIC STOCK MARKET
Journal Title: Jaunųjų mokslininkų darbai - Year 2014, Vol 42, Issue 2
Abstract
Investment into the stocks is concurrent with risk. When investing, it is necessary to know the type of risk and its level. The problem of risk evaluation is relevant among Lithuanian and foreign researchers. H. Markowitz presented the definition of the efficient portfolio, where the aspects of profitability and risk management are considered. H. Markowitz, as well as the other researchers, uses standard deviation to evaluate risk. W. Sharpe in addition offered to assess market risk, which is evaluated by the beta coefficient. The researchers in the different markets and situations studied the beta coefficient relation with profitability; however, they did not arrive at one particular answer. During the last decade the risk value method was taken up and investigated by many foreign researchers. Other authors used different methods to evaluate risk: CVR (Conditional Value at Risk), GMD (Gini’s Mean Difference), MAD (Mean Absolute Deviation), etc. The empirical risk evaluation research in the NASDAQ OMX Baltic stock exchange in period from 2013 01 01 – 2013 12 31 showed that historical data used to evaluate risk provides similar results independent from the applied method. When the interval of reliance increases, the risk value also increases. Portfolio formation reduced systematic and unsystematic risk, but the correlation of the portfolio profitability with the index remained high. Due to the market uncertainty the past data does not always reflect present and forecast risk; therefore, the methods of risk evaluation, which require the historical data to be used, is better applied in combination with other risk evaluation methods and indexes. Key words: value at risk, historical simulation, standard deviation, beta coefficient.
Authors and Affiliations
Martynas Brazauskas
Keywords
Related Articles
- EP ID EP123076
- DOI -
- Views 116
- Downloads 0
Kūrybinės visuomenės formavimas: prielaidų tyrimas
Straipsnio tikslas – nustatyti kultūros skatinimo lygį įvairiose šalyse. Tyrimo metodas – statistinių duomenų analizė. Nustatyta, kad vidutinis kultūros skatinimo lygis Europos Sąjungos šalyse yra 0,4 proc. nuo BVP, Liet...
ŠV. BAZILIJAUS DIDŽIOJO ORDINAS XVIII A. PABAIGOJE–1830 METAIS
Straipsnyje apžvelgiamas Šv. Bazilijaus Didžiojo ordino (OSBM) struktūrinis pertvarkymas XVIII a. paskutiniame trečdalyje. Struktūriniai pokyčiai tapo pagrindu, kuriantis naujoms Šv. Bazilijaus Didžiojo ordino provincijo...
INVESTICIJŲ Į ĮMONĖS VEIKLOS RIZIKOS VALDYMĄ VERTINIMAS
Rinkos ekonomikos sąlygomis veikiančių įmonių veikla yra dinamiška, o tai lemia prognozuojamų rezultatų neužtikrintumą, todėl neišvengiamai susiduriama su veiklos rizika. Siekiant užtikrinti įmonės veiklos plėtrą, sėkmę...
University Governance Models: the Case of Lapland University
It also presents the results of “International Comparative Research on University Governance Models” carried out by the paper authors emphasizing the context of Finland’s higher education and university governance and th...
Concept of Reconstruction of Square at Intersection of P. Višinskio and Stoties Streets (in Šiauliai City) as an Alternative Way of City Image Formation
Landscape architecture can help to create and shape the view of a city. Therefore it is proposed to draw attention to formation of image of Šiauliai city. As an example, the conceptual proposal for reconstruction of the...