scholarly journals Can Stock Analysts Predict Market Risk? New Evidence from Copula Theory

2019 ◽  
Vol 23 (1) ◽  
pp. 38-48
Author(s):  
I. S. Medovikov
Keyword(s):  
Asset Management ◽  
Value At Risk ◽  
Realized Volatility ◽  
Market Risk ◽  
Stock Selection ◽  
Copula Theory ◽  
Trading Simulation ◽  
New Evidence ◽  
The Relationship ◽  
Stock Analysts

We assess investment value of stock recommendations from the standpoint of market risk. We match I/B/E/S (Institutional Brokers’ Estimates System) consensus recommendations issued in January 2015 for a cross-section of u.S. public equities with realized volatility of these papers, showing that these recommendations signifcantly correlate with subsequent changes in market risk. Thus, the results indicate that to some extent the analysts can predict an increase or decrease in risk, which can beneft asset management. However, the relationship between the recommendations and the risk is not linear and depends on the specifc recommendation. using a semi-parametric copula model, we fnd recommendation levels to be associated with future changes in volatility. We further fnd this relationship to be asymmetric and most pronounced among the best-rated stocks which experience largest volatility declines. We conduct a trading simulation showing how stock selection based on such ratings can lead to a reduction in portfolio-level value-at-risk.

Impact of non-normal return and market capitalization on estimation of VaR

2015 ◽  
Vol 7 (3) ◽  
pp. 222-242
Author(s):  
Pankaj Sinha ◽  
Shalini Agnihotri
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Empirical Distribution ◽  
Parametric Method ◽  
Market Risk ◽  
Content Type ◽  
Market Capitalization ◽  
Stock Indices ◽  
Relationship Of ◽  
The Relationship

Purpose – This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed, as Indian financial markets are more prone to shocks caused by regulatory changes, exchange rate fluctuations, financial instability, political uncertainty and inadequate economic reforms. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. Design/methodology/approach – In this paper, VaR is estimated by fitting empirical distribution of returns, parametric method and by using GARCH(1,1) with Student’s t innovation method. Findings – It is observed that both the stocks, stock indices and their residuals exhibit non-normality; therefore, conventional methods of VaR calculation are not accurate in real word situation. It is observed that parametric method of VaR calculation is underestimating VaR and CVaR but, VaR estimated by fitting empirical distribution of return and finding out 1-a percentile is giving better results as non-normality in returns is considered. The distributions fitted by the return series are following Logistic, Weibull and Laplace. It is also observed that VaR violations are increasing with decreasing market capitalization. Therefore, we can say that market capitalization also affects accurate VaR calculation. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. It is observed that the decrease in liquidity increases the value at risk of the firms. Research limitations/implications – This methodology can further be extended to other assets’ VaR calculation like foreign exchange rates, commodities and bank loan portfolios, etc. Practical implications – This finding can help risk managers and mutual fund managers (as they have portfolios of different assets size) in estimating VaR of portfolios with non-normal returns and different market capitalization with precision. VaR is used as tool in setting trading limits at trading desks. Therefore, if VaR is calculated which takes into account non-normality of underlying distribution of return then trading limits can be set with precision. Hence, both risk management and risk measurement through VaR can be enhanced if VaR is calculated with accuracy. Originality/value – This paper is considering the joint issue of non-normality in returns and effect of market capitalization in VaR estimation.

EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS

2018 ◽  
Vol 13 (01) ◽  
pp. 1850003 ◽  
Author(s):  
KHALED MOKNI
Keyword(s):  
Crude Oil ◽  
Value At Risk ◽  
Precious Metals ◽  
Market Risk ◽  
Dependence Structure ◽  
Empirical Results ◽  
Dependence Modeling ◽  
Market Risks ◽  
Risk Managers ◽  
The Relationship

The relationship between crude oil and precious metals has been a major issue in economic and financial literature. In this paper, the FIEGARCH-copula framework was used to investigate the co-movements not only between returns, but also between volatilities and market risks among crude oil and precious metals markets. Based on daily crude oil and the major precious metals prices from January 2, 2000 to December 31, 2016, our empirical results are as follows: First, a significant positive and asymmetric relationship between oil and precious metals returns, volatilities and market risk was detected. Second, the dependence structure between oil-silver and oil-gold for returns and volatilities are time varying, while the other pairs are characterized by constant dependence. Third, based on the dependence modeling between daily Value-at-Risk (VaR) for the long and short trading position, empirical results show that the market risk relationship between crude oil and precious metals change over time and increase with VaR’s confidence level. Our findings are of interest for investors and risk managers in portfolio’s design and allow for a reliable framework for returns and risk prediction.

scholarly journals Risiko Pasar Saham Perbankan Syariah dengan Metode Standar Deviasi Markowitz dan Value At Risk (Var)

2021 ◽  
Vol 12 (1) ◽  
pp. 113
Author(s):  
Permana Sari Anita ◽  
Prasetyowati Aishah Riris
Keyword(s):  
At Risk ◽  
Standard Deviation ◽  
Value At Risk ◽  
Market Risk ◽  
Stock Index ◽  
Risk Level ◽  
Stock Selection ◽  
Daily Return ◽  
Portfolio Return ◽  
Risk Loss

<p>This study describes the measurement of market risk in Islamic banking by calculating the Markowitz standard deviation and the market risk Value at Risk (VaR). The data used in this study are Islamic bank stocks in the Indonesia Stock Exchange, namely in JII or ISSI. Data obtained from reference sources and using secondary data. The observation period carried out is for 108 days from January 2 to June 11, 2020, with a daily period. The research methodology used to measure the greatest potential risk (loss) incurred in investing in the telecommunications stock index is the Markowitz standard deviation approach and the Value at Risk (VaR) using the Historical and Modeling (Analytical) methods. The results showed that the recommendations for efficient stock selection from the three banks were BRIS banks with an E (R) of 8.5% and a risk level of 1.33%. The lowest portfolio return of -0.1109% occurs on the 60th day and the highest portfolio return of 0.0769% occurs on the 47th day. Then On the daily 95% VAR, the lowest 5% return on a daily basis for BRIS is 5% from 108 days, occurs on the 85th day of -0.248% and the highest return occurs on the 47th day of 0.1444%. At the daily 95% VAR, the lowest 5% daily return of BTPN SYARIAH is 5% from 108 days, occurs on the 67th day of -0.247% and the highest return occurs on the 47th day of 0.758%.  At the daily 95%, VAR with 5% lowest daily return of PANIN SYARIAH is 5% from 108 days. It does not happen, likewise, the highest return does not occur until the 108th day (the day of this research observation). If we have PANIN SYARIAH shares of Rp. 1 billion then there is no market risk (loss rate) at 95% daily. For a 5% possibility of tomorrow's portfolio loss on BRIS shares.</p>

The Medium and the Message

1999 ◽  
Vol 2 (2) ◽  
pp. 187-215 ◽  
Author(s):  
Wendy Sandler
Keyword(s):  
Facial Expression ◽  
Sign Language ◽  
Spoken Language ◽  
Sign Languages ◽  
Prosodic Word ◽  
Special Stress ◽  
New Perspective ◽  
New Evidence ◽  
Phonological Phrase ◽  
The Relationship

In natural communication, the medium through which language is transmitted plays an important and systematic role. Sentences are broken up rhythmically into chunks; certain elements receive special stress; and, in spoken language, intonational tunes are superimposed onto these chunks in particular ways — all resulting in an intricate system of prosody. Investigations of prosody in Israeli Sign Language demonstrate that sign languages have comparable prosodic systems to those of spoken languages, although the phonetic medium is completely different. Evidence for the prosodic word and for the phonological phrase in ISL is examined here within the context of the relationship between the medium and the message. New evidence is offered to support the claim that facial expression in sign languages corresponds to intonation in spoken languages, and the term “superarticulation” is coined to describe this system in sign languages. Interesting formaldiffer ences between the intonationaltunes of spoken language and the “superarticulatory arrays” of sign language are shown to offer a new perspective on the relation between the phonetic basis of language, its phonological organization, and its communicative content.

Volatility Forecast by Volatility Index and Its Use as a Risk Management Tool Under a Value-at-Risk Approach

2018 ◽  
Vol 21 (02) ◽  
pp. 1850010 ◽  
Author(s):  
Yam Wing Siu
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Risk Premium ◽  
Value At Risk ◽  
Realized Volatility ◽  
Management Tool ◽  
Spot Price ◽  
Pricing Options ◽  
Significance Levels ◽  
Risk Approach

This paper examines the predicting power of the volatility indexes of VIX and VHSI on the future volatilities (or called realized volatility, [Formula: see text] of their respective underlying indexes of S&P500 Index, SPX and Hang Seng Index, HSI. It is found that volatilities indexes of VIX and VHSI, on average, are numerically greater than the realized volatilities of SPX and HSI, respectively. Further analysis indicates that realized volatility, if used for pricing options, would, on some occasions, result in greatest losses of 2.21% and 1.91% of the spot price of SPX and HSI, respectively while the greatest profits are 2.56% and 2.93% of the spot price of SPX and HSI, respectively, making it not an ideal benchmark for validating volatility forecasting techniques in relation to option pricing. Hence, a new benchmark (fair volatility, [Formula: see text] that considers the premium of option and the cost of dynamic hedging the position is proposed accordingly. It reveals that, on average, options priced by volatility indexes contain a risk premium demanded by the option sellers. However, the options could, on some occasions, result in greatest losses of 4.85% and 3.60% of the spot price of SPX and HSI, respectively while the greatest profits are 4.60% and 5.49% of the spot price of SPX and HSI, respectively. Nevertheless, it can still be a valuable tool for risk management. [Formula: see text]-values of various significance levels for value-at-risk and conditional value-at-value have been statistically determined for US, Hong Kong, Australia, India, Japan and Korea markets.

Hitherto Unprinted Manuscripts of the Middle English Ipotis

PMLA ◽  
1916 ◽  
Vol 31 (1) ◽  
pp. 114-160
Author(s):  
Josephine D. Sutton
Keyword(s):  
Middle English ◽  
Fourteenth Century ◽  
English Poem ◽  
Relationship Of ◽  
First Time ◽  
New Evidence ◽  
The Relationship

The relationship of the manuscripts of the Middle-English poem Ipotis has been studied in detail by Dr. Hugo Gruber on the basis of the nine mss. known to him. In addition to these there are five others, four of which are printed for the first time below. One of these, unfortunately a fragment, is of the greatest importance, since it carries back the date of the poem at least fifty years. On the basis of the earliest manuscript known to him—ms. Vernon, written about 1385—Gruber assigned the Ipotis to the second half of the fourteenth century. But in the light of the new evidence, the composition of the poem is pushed back to the very beginning of the century.

Tapping the Power of Social Media on Innovation Performance

2021 ◽  
Vol 9 (2) ◽  
pp. 143-151
Author(s):  
Shan Shan Teh ◽  
Daisy Mui Hung Kee ◽  
Munazza Zahra ◽  
Gadi Dung Paul
Keyword(s):  
Social Media ◽  
Data Collection ◽  
Open Innovation ◽  
Underlying Mechanism ◽  
Jel Classification ◽  
Innovation Performance ◽  
Great Idea ◽  
New Evidence ◽  
The Relationship ◽  
Innovation Impact

Objective - This study investigates the relationship between social media and innovation performance among SMEs in Malaysia. This study also extends social media literature by investigating the underlying mechanism of open innovation in the relationship between social media and innovation performance. Methodology/Technique - A questionnaire was used to collect data from the respondents. A total of 173 samples from data collection were then used to test the hypotheses by using the SPSS and SmartPLS software. Finding - The result has revealed that social media has a significant effect on innovation performance. Besides, outbound innovation is also found to mediate the relationship between social media and innovation performance. Novelty - This study contributes to the literature on social media and innovation by providing new evidence regarding outbound innovation impact on performance among SMEs. It also provides a great idea of social media's importance to SME managers in improving innovation performance in an organization. Type of Paper - Empirical. Keywords: Social Media, Innovation Performance, Open Innovation, Smes, Malaysia JEL Classification: URI: http://gatrenterprise.com/GATRJournals/GJBSSR/vol9.2_4.html DOI: https://doi.org/10.35609/gjbssr.2021.9.2(4) Pages 143 – 151

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