[PDF] Top 20 Modelling Value at Risk: Evidence from the Saudi Stock Market

... to value at risk employed by companies and banks at ...stems from its simplicity, flexibility, and free from the complexity of normality ...conditional value at risk is supposed ... See full document

... in stock market ...changing stock market states. For instance, investors during a bull market have more opportunities to make successful investments and gain ...bull market, ... See full document

... Australian Stock Market also concluded that CCAPM could provide a better result for the relationship between expected return and beta as compared to the standard ...prices market risk in the ... See full document

... and stock market ...Qatari market during the bull and bear market, while foreign individual investors and Qatari institutions have a significant effect only in the bear ...the stock ... See full document

... the market interaction between two asset classes of gold and stock in a relatively emerging and under- researched market like Saudi ...chosen market is the largest in size in the ... See full document

... between Market risk premium, Market/Book Equity, Market/Total Assets and stock returns of 183 firms listed in Borsa Istanbul over the period 2003-2013/6 using panel data ...on ... See full document

... Tokyo stock exchange in the period from ...prices from reaching equilibrium price, and overnight returns may be positive or negative for the stocks that reach the maximum or the minimum limit and ... See full document

... document evidence of a positive relationship between average stock idiosyncratic volatility and market return, while finding no significant relationship between market volatility and ... See full document

... low! value,! low! turnover,! high! bidSask! spread! and! high! return! to! volume! stocks,! consistent! with! ...priced! risk.! A! twoSfactor! (market! and! liquidity)! model! clearly! explains! the! ... See full document

... franchise value, by using non-interest income share as a measure for revenue ...firms, stock market investors may anticipate that revenue diversification would be more beneficial for Japanese ... See full document

... and stock performance using Cross-section regression that depended on Fama & Macbath methodology ...Deriving evidence from NYSE AMEX (1926 – 2006) and NASDAQ (1983 – 2006), they concluded that ... See full document

... potential value premium can be attributed to additional risk ...a stock or a portfolio against the market ...the value portfolio, we use the 10 year Dutch bond yield as a proxy for the ... See full document

... linked stock markets leads to sharing of international risk, which advances the resource allocation and stimulate the pace of ...of stock market in acceleration of economic ...of stock ... See full document

... different risk component from volatility in Korean stock ...three risk measures. By grouping stocks based on past risk level, five portfolios are constructed and various statistics of ... See full document

... gotten from the first section of the questionnaire. It was deduced from the analysis on Table 1 that majority of the respondents who filled the questionnaire were in the top positions and were knowledgeable ... See full document

... on stock return of petrochemical companies in Tehran stock ...shocks from oil market to stock ...increase, stock return of petrochemical companies increases ...on stock ... See full document

... financial market variables, for example export and economic growth (Lim, 1976); commodity prices and inflation (Surrey, 1989); unemployment and interest rate (Bierens & Broersma,1993);budget deficit and ... See full document

... no evidence of volatility asymmetry in the A share index and index ...Chinese stock and stock index futures markets are insensitive to bad news arising in the past at very short time ...response ... See full document

... Abstract Value at Risk is one of the risk measure used in the financial markets to estimate market ...Extreme Value Theory models in measuring Value at Risk (VaR) using ... See full document

... new stock- specific information that is unrelated to the Brexit referendum will become available in the weeks and months after the event, making the interpretation of cumulative abnormal return patterns more ... See full document