دانلود مقاله ISI انگلیسی شماره 45031
عنوان فارسی مقاله

ارزش در معرض ریسک شاخص های اصلی بازار سهام در اتحادیه اروپا (2000-2012)

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45031 2015 13 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Value at Risk of the main stock market indexes in the European Union (2000–2012) ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Policy Modeling, Volume 37, Issue 1, January–February 2015, Pages 1–13

کلمات کلیدی
ارزش در معرض خطر - نظریه ارزش افراطی - دم سنگین - شاخص بازار سهام - منطقه یورو
پیش نمایش مقاله
پیش نمایش مقاله ارزش در معرض ریسک شاخص های اصلی بازار سهام در اتحادیه اروپا (2000-2012)

چکیده انگلیسی

We analyze extreme movements of the main stocks market indexes in the European Union. We find that the Sweden and UK markets are the preferred ones for risk averse investors since they present the best risk-return performance. Moreover, the UK market is found to have a very low dependence with the rest of the European financial cycles, being the best one (in terms of risk-return) available for investors among the ones studied in this paper. Greece and Holland have the worst performance in terms of risk-return. Austria has the highest average return although the VaR is also high. Moreover, all markets are found to be linked: Austria, Belgium, Germany, Ireland and UK are the markets that are less dependent; while France, Greece, Holland, Italy, Spain and Sweden are more dependent on the rest of the European financial cycles. We find a very strong dependence of France from Belgium. Our results have very important policy implications with respect to the appropriate monetary policy that countries should adopt. In special, countries that experience unstable financial markets should consider similar macroeconomic policies to the UK and Sweden.

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