Pub Date : 2020-08-01DOI: 10.1080/10800379.2020.12097363
H. Bouhali, M. Chiadmi, F. Ghaiti
The purpose of this article is to investigate the existence of volatility interdependence in different fixed-exchange-rates markets during non-crisis periods. Based on daily exchange rates from four Middle East and North African (MENA) countries (Saudi Arabia, Kuwait, Morocco, and Tunisia), we use an original approach, combining proper segmentation of our data sample with univariate and multivariate GARCH models. The main result is that fixed exchange rates do show different levels of volatility interdependence to the international market in both stable and crisis periods. Moreover, the type of exchange rate regime plays a significant role in maintaining the interdependence, while introducing flexibility reforms tend to reduce it and to increase the impacts of past shocks.
{"title":"Is there an Interdependence in Foreign Exchange Markets During Non-Crisis Periods? Empirical Evidence from Mena Countries","authors":"H. Bouhali, M. Chiadmi, F. Ghaiti","doi":"10.1080/10800379.2020.12097363","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097363","url":null,"abstract":"The purpose of this article is to investigate the existence of volatility interdependence in different fixed-exchange-rates markets during non-crisis periods. Based on daily exchange rates from four Middle East and North African (MENA) countries (Saudi Arabia, Kuwait, Morocco, and Tunisia), we use an original approach, combining proper segmentation of our data sample with univariate and multivariate GARCH models. The main result is that fixed exchange rates do show different levels of volatility interdependence to the international market in both stable and crisis periods. Moreover, the type of exchange rate regime plays a significant role in maintaining the interdependence, while introducing flexibility reforms tend to reduce it and to increase the impacts of past shocks.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":" ","pages":"73 - 107"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097363","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47141369","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-08-01DOI: 10.1080/10800379.2020.12097362
L. Theron, G. V. Van Vuuren
Maximising returns is often the goal of asset management, but in the current (2020) low-interest investment environment, plagued by political, trade and economic uncertainty, managing portfolio risk also plays a significant role. Maximally diversified (MD) portfolios are assembled with an emphasis on risk management, not return outperformance. This approach can yield considerable benefits for risk- averse investors. While some work has been done applying this technique to passive portfolios, little to none has been undertaken on active portfolios, restricted by tracking errors (TEs) and evaluated relative to a benchmark. For the first time, actively managed maximum diversification portfolios are scrutinised over time. In booming markets, actively managed MD portfolios generate significant outperformance, but during recessionary periods, no significant benefits emerge. Returns and Sharpe ratios are weak and volatilities high (albeit lower than other strategies). As TE increases, actively managed MD portfolio weights become less confined and adjust ever closer to the overall (unconstrained) MD portfolio weights. Fewer benefits are realised as TEs increase for actively managed MD portfolios compared with the unconstrained alternative.
{"title":"Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios","authors":"L. Theron, G. V. Van Vuuren","doi":"10.1080/10800379.2020.12097362","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097362","url":null,"abstract":"Maximising returns is often the goal of asset management, but in the current (2020) low-interest investment environment, plagued by political, trade and economic uncertainty, managing portfolio risk also plays a significant role. Maximally diversified (MD) portfolios are assembled with an emphasis on risk management, not return outperformance. This approach can yield considerable benefits for risk- averse investors. While some work has been done applying this technique to passive portfolios, little to none has been undertaken on active portfolios, restricted by tracking errors (TEs) and evaluated relative to a benchmark. For the first time, actively managed maximum diversification portfolios are scrutinised over time. In booming markets, actively managed MD portfolios generate significant outperformance, but during recessionary periods, no significant benefits emerge. Returns and Sharpe ratios are weak and volatilities high (albeit lower than other strategies). As TE increases, actively managed MD portfolio weights become less confined and adjust ever closer to the overall (unconstrained) MD portfolio weights. Fewer benefits are realised as TEs increase for actively managed MD portfolios compared with the unconstrained alternative.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"49 - 72"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097362","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46284241","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-08-01DOI: 10.1080/10800379.2020.12097361
W. Bandura
The study aims to determine the connection between trade openness, institutions and financial development for 26 countries in sub-Saharan Africa over the period 1982-2016. The analysis relies on system GMM estimation with 5-year (non-overlapping) averaged data. The results reveal no evidence of a significant impact of trade openness on financial development. There is, however, evidence of a positive (though statistically weakly significant) impact of institutional quality on the development of the financial sector. There is also no evidence of a significant joint impact of the trade openness and institution quality on financial sector development.
{"title":"Trade Openness, Institutions and Financial Development in Sub-Saharan Africa","authors":"W. Bandura","doi":"10.1080/10800379.2020.12097361","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097361","url":null,"abstract":"The study aims to determine the connection between trade openness, institutions and financial development for 26 countries in sub-Saharan Africa over the period 1982-2016. The analysis relies on system GMM estimation with 5-year (non-overlapping) averaged data. The results reveal no evidence of a significant impact of trade openness on financial development. There is, however, evidence of a positive (though statistically weakly significant) impact of institutional quality on the development of the financial sector. There is also no evidence of a significant joint impact of the trade openness and institution quality on financial sector development.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"29 - 48"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097361","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41490959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-07-28DOI: 10.1080/03796205.2022.2043769
Sameh Hallaq
Abstract This paper attempts to estimate the intergenerational transmission of human capital in Palestine. The main question is whether formal parental education improves their offspring’s cognitive skills and school achievements. I use the instrumental variable method in the estimations to overcome the potential endogeneity of parental education. The main source of variation in parental educational attainment is parents’ exposure to the First Palestinian Intifada (1988–1993) during their middle and high school ages. During the First Palestinian Intifada, many school days were lost due to frequent school closures and other restrictions. Furthermore, many young people preferred to search for low-skill employment in Israel, since it provided them with better wages than the local labour market and hardly required any level of educational attainment. This study employs two outcomes, namely the standardised cognitive test scores and school achievements during the academic year 2012/2013 for students between grade 5 and grade 9 in West Bank schools. Overall, the results support the hypothesis of a human capital spill-over but more so for girls than for boys, where the instrumental variables results are often insignificant because of their large standard errors.
{"title":"First Palestinian intifada and intergenerational transmission of human capital","authors":"Sameh Hallaq","doi":"10.1080/03796205.2022.2043769","DOIUrl":"https://doi.org/10.1080/03796205.2022.2043769","url":null,"abstract":"Abstract This paper attempts to estimate the intergenerational transmission of human capital in Palestine. The main question is whether formal parental education improves their offspring’s cognitive skills and school achievements. I use the instrumental variable method in the estimations to overcome the potential endogeneity of parental education. The main source of variation in parental educational attainment is parents’ exposure to the First Palestinian Intifada (1988–1993) during their middle and high school ages. During the First Palestinian Intifada, many school days were lost due to frequent school closures and other restrictions. Furthermore, many young people preferred to search for low-skill employment in Israel, since it provided them with better wages than the local labour market and hardly required any level of educational attainment. This study employs two outcomes, namely the standardised cognitive test scores and school achievements during the academic year 2012/2013 for students between grade 5 and grade 9 in West Bank schools. Overall, the results support the hypothesis of a human capital spill-over but more so for girls than for boys, where the instrumental variables results are often insignificant because of their large standard errors.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"45 1","pages":"209 - 242"},"PeriodicalIF":0.0,"publicationDate":"2020-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45913188","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-10DOI: 10.1080/03796205.2020.1919424
Ruan Erasmus, H. Hollander
Abstract The expansion of central bank communications and the increased use thereof as a policy tool to manage expectations have led to an area of research, semantic modelling, that analyses the words and phrases used by central banks. We use text-mining and text-analysis techniques on South African Reserve Bank monetary policy committee statements to construct an index measuring the stance of monetary policy: a forward guidance indicator (FGI). We show that, after controlling for market expectations, FGIs provide significant explanatory power for future changes in the repurchase interest rate (the primary monetary policy instrument). Their out-of-sample predictive power is, however, weak. Furthermore, we show that FGIs are primarily driven by inflation expectations, which highlights the strong link between the SARB’s communication strategy and its inflation targeting mandate. In fact, we observe a systematic anti-inflation bias in the communicated stance of monetary policy—both absolutely and asymmetrically. Overall, Monetary Policy Committee (MPC) statements reflect relevant information on the inflationary stance and policy decisions of the South African Reserve Bank (SARB), but, since forecasts are conditional on current information, they provide unreliable forward guidance. Given this finding, MPC statements should emphasize the conditional nature of the SARB’s stance, and what that implies for the future path of the policy rate.
{"title":"A FORWARD GUIDANCE INDICATOR FOR THE SOUTH AFRICAN RESERVE BANK: IMPLEMENTING A TEXT ANALYSIS ALGORITHM","authors":"Ruan Erasmus, H. Hollander","doi":"10.1080/03796205.2020.1919424","DOIUrl":"https://doi.org/10.1080/03796205.2020.1919424","url":null,"abstract":"Abstract The expansion of central bank communications and the increased use thereof as a policy tool to manage expectations have led to an area of research, semantic modelling, that analyses the words and phrases used by central banks. We use text-mining and text-analysis techniques on South African Reserve Bank monetary policy committee statements to construct an index measuring the stance of monetary policy: a forward guidance indicator (FGI). We show that, after controlling for market expectations, FGIs provide significant explanatory power for future changes in the repurchase interest rate (the primary monetary policy instrument). Their out-of-sample predictive power is, however, weak. Furthermore, we show that FGIs are primarily driven by inflation expectations, which highlights the strong link between the SARB’s communication strategy and its inflation targeting mandate. In fact, we observe a systematic anti-inflation bias in the communicated stance of monetary policy—both absolutely and asymmetrically. Overall, Monetary Policy Committee (MPC) statements reflect relevant information on the inflationary stance and policy decisions of the South African Reserve Bank (SARB), but, since forecasts are conditional on current information, they provide unreliable forward guidance. Given this finding, MPC statements should emphasize the conditional nature of the SARB’s stance, and what that implies for the future path of the policy rate.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"41 - 72"},"PeriodicalIF":0.0,"publicationDate":"2020-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/03796205.2020.1919424","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45868555","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-01DOI: 10.1080/10800379.2020.12097355
A. Alsayed, A. Malik
The growth of the African economy is increasing rapidly since the last decades, but those economic activities affect environmental quality. Researches have shown that an increase in economic activities would lead to environmental degradation which may eventually cause environmental collapse. In this study we intend to examine the relationship between CO2 emission as a proxy of the environmental quality and gross domestic product (GDP) as a proxy of economic growth in Africa, then to detect and compare the Environmental Kuznets Curve (EKC) between African economic groups. An annual data of forty-eight (48) African countries classified into four economic levels according to World-Bank classification: lower income, lower middle income, lower upper income, and higher income countries for the period between 1960 to 2014, using panel data regression technique. The main findings show that there is a significant positive relationship between CO2 emission and GDP in Africa, as one unit of GDP increase, CO2 emission will increase by 0.37 metric ton in the African continent. Moreover, the analysis shows the existence of the EKC hypothesis of an inverted U-shape curve for all African economic levels with a higher turning point in higher income countries.
{"title":"Detecting the Environmental Kuznets Curve in African Countries","authors":"A. Alsayed, A. Malik","doi":"10.1080/10800379.2020.12097355","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097355","url":null,"abstract":"The growth of the African economy is increasing rapidly since the last decades, but those economic activities affect environmental quality. Researches have shown that an increase in economic activities would lead to environmental degradation which may eventually cause environmental collapse. In this study we intend to examine the relationship between CO2 emission as a proxy of the environmental quality and gross domestic product (GDP) as a proxy of economic growth in Africa, then to detect and compare the Environmental Kuznets Curve (EKC) between African economic groups. An annual data of forty-eight (48) African countries classified into four economic levels according to World-Bank classification: lower income, lower middle income, lower upper income, and higher income countries for the period between 1960 to 2014, using panel data regression technique. The main findings show that there is a significant positive relationship between CO2 emission and GDP in Africa, as one unit of GDP increase, CO2 emission will increase by 0.37 metric ton in the African continent. Moreover, the analysis shows the existence of the EKC hypothesis of an inverted U-shape curve for all African economic levels with a higher turning point in higher income countries.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"35 - 44"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097355","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"60291146","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-01DOI: 10.1080/10800379.2020.12097359
D. Yuni, N. Urama, U. Ugwuegbe, T. Agbanike
There has been increased interest in promoting export diversification as a means of ensuring sustainable growth in most developing countries. Yet, the arguments on the relationships between export diversity and economic growth is not settled in literature, with mixed findings concerning the sign and size of the correlation. This study assesses the relationship between export diversification and economic growth in selected Sub-Saharan African countries. Employing fixed effect and generalised least square regression models, with data from the World Bank, the findings show that a U-shaped relationship between export concentration and economic growth: the study finds a positive non-significant relationship for low-income countries, a positive and significant relationship for lower-middle-income countries and negative though not significant relationship for upper-middle-income countries.
{"title":"When Does Export Diversification Improve Economic Growth? A Comparative Analysis of Sub-Saharan African Countries","authors":"D. Yuni, N. Urama, U. Ugwuegbe, T. Agbanike","doi":"10.1080/10800379.2020.12097359","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097359","url":null,"abstract":"There has been increased interest in promoting export diversification as a means of ensuring sustainable growth in most developing countries. Yet, the arguments on the relationships between export diversity and economic growth is not settled in literature, with mixed findings concerning the sign and size of the correlation. This study assesses the relationship between export diversification and economic growth in selected Sub-Saharan African countries. Employing fixed effect and generalised least square regression models, with data from the World Bank, the findings show that a U-shaped relationship between export concentration and economic growth: the study finds a positive non-significant relationship for low-income countries, a positive and significant relationship for lower-middle-income countries and negative though not significant relationship for upper-middle-income countries.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"129 - 141"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097359","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45802148","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-01DOI: 10.1080/10800379.2020.12097358
R.T. Nokuthula, M.B. Tavonga
Infrastructure is widely considered an important determinant of firm performance but evidence on its importance on technical efficiency of hairdressers is very limited. Against this background, this study sought to compute and compare the technical efficiency levels of female hairdressers operating by the road side with those operating within formalised and designated salons. Primary cross-sectional data were collected using questionnaires and analysed within a quantitative research design. Technical efficiency was measured using a stochastic frontier technique which, in computing efficiency scores, separates the effect of random factors that are exogenous to the hairdressers. Based on a Cobb Douglas functional form chosen by relevant statistical tests, results from the stochastic frontier model estimated by the maximum likelihood confirm that hairdressers operating in designated saloons are more efficient when compared with hairdressers operating by the road side. A policy implication arising from this finding is that the provision of proper infrastructure is necessary to improve technical efficiency of hairdressers currently operating by the road side.
{"title":"An Efficiency Analysis of Female Hair Dressers in Empangeni, South Africa: The Role of Infrastructure","authors":"R.T. Nokuthula, M.B. Tavonga","doi":"10.1080/10800379.2020.12097358","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097358","url":null,"abstract":"Infrastructure is widely considered an important determinant of firm performance but evidence on its importance on technical efficiency of hairdressers is very limited. Against this background, this study sought to compute and compare the technical efficiency levels of female hairdressers operating by the road side with those operating within formalised and designated salons. Primary cross-sectional data were collected using questionnaires and analysed within a quantitative research design. Technical efficiency was measured using a stochastic frontier technique which, in computing efficiency scores, separates the effect of random factors that are exogenous to the hairdressers. Based on a Cobb Douglas functional form chosen by relevant statistical tests, results from the stochastic frontier model estimated by the maximum likelihood confirm that hairdressers operating in designated saloons are more efficient when compared with hairdressers operating by the road side. A policy implication arising from this finding is that the provision of proper infrastructure is necessary to improve technical efficiency of hairdressers currently operating by the road side.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"113 - 128"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097358","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47985644","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-01DOI: 10.1080/10800379.2020.12097357
G. Marozva, D. Makina
Using a panel of South African banks covering the period from 2005 t o 2015, we further develop, validate and test the liability mismatch index (LMI) developed by Bai, Krishnamurthy and Weymuller (2018). Deviating from their approach, we develop measures of liquidity that integrate both market liquidity and funding liquidity. Two liquidity measures developed are the bank liquidity mismatch index (BLMI) and the aggregate liquidity mismatch index (ALMI) whose performances are compared and contrasted with the Basel III liquidity measures and traditional liquidity measures. Overall, the two constructed liquidity indices perform better than other liquidity measures. Unlike the LMI, the BLMI and ALMI can be used to evaluate the liquidity of a given bank under liquidity stress events. Our empirical results, though not significant, also show that banks increase their liquidity buffers during times of turmoil as both BLMI and ALMI improved during the period 2007-2009.
{"title":"Liquidity Risk and Asset Liability Mismatches: Evidence From South Africa","authors":"G. Marozva, D. Makina","doi":"10.1080/10800379.2020.12097357","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097357","url":null,"abstract":"Using a panel of South African banks covering the period from 2005 t o 2015, we further develop, validate and test the liability mismatch index (LMI) developed by Bai, Krishnamurthy and Weymuller (2018). Deviating from their approach, we develop measures of liquidity that integrate both market liquidity and funding liquidity. Two liquidity measures developed are the bank liquidity mismatch index (BLMI) and the aggregate liquidity mismatch index (ALMI) whose performances are compared and contrasted with the Basel III liquidity measures and traditional liquidity measures. Overall, the two constructed liquidity indices perform better than other liquidity measures. Unlike the LMI, the BLMI and ALMI can be used to evaluate the liquidity of a given bank under liquidity stress events. Our empirical results, though not significant, also show that banks increase their liquidity buffers during times of turmoil as both BLMI and ALMI improved during the period 2007-2009.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"73 - 112"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097357","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46967172","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-01DOI: 10.1080/10800379.2020.12097356
Q. Mashalaba, C-K. Huang
The accurate estimation of Value-at-Risk (VaR) has become central to the measurement and management of financial risk - in particular, the financial risk inherent in investing in stock markets. While the Gaussian distribution is known to provide an unsuitable depiction of daily asset returns, it is a well-established fact that returns taken weekly, monthly or quarterly exhibits (progressively) more Gaussian behaviour. This paper examines such aggregational effect in using two popular families of distributions, namely extreme value models and generalized hyperbolic models, for VaR estimation and contrasts their behaviours against the corresponding Gaussian estimates. The data sets used are returns of indices extracted from the NYSE, FTSE, KRX and TWSE.
{"title":"Aggregational Effects in Extreme Value and Generalized Hyperbolic Models for Value-At-Risk Estimation: Evidence From the NYSE, FTSE, KRX and TWSE","authors":"Q. Mashalaba, C-K. Huang","doi":"10.1080/10800379.2020.12097356","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097356","url":null,"abstract":"The accurate estimation of Value-at-Risk (VaR) has become central to the measurement and management of financial risk - in particular, the financial risk inherent in investing in stock markets. While the Gaussian distribution is known to provide an unsuitable depiction of daily asset returns, it is a well-established fact that returns taken weekly, monthly or quarterly exhibits (progressively) more Gaussian behaviour. This paper examines such aggregational effect in using two popular families of distributions, namely extreme value models and generalized hyperbolic models, for VaR estimation and contrasts their behaviours against the corresponding Gaussian estimates. The data sets used are returns of indices extracted from the NYSE, FTSE, KRX and TWSE.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"45 - 72"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097356","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46851804","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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