Thumbs up to parametric measures of relative VaR and CVaR in Indonesian sectors

David E. Allen, Raymond R. Boffey, Akhmad Kramadibrata, Robert Powell, Abhay Singh

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We examine relative share market risk between Indonesian sectors and how this changes during extreme market fluctuations. Ten sectors comprising the IDX Composite Index are examined over an eight-year period spanning the pre-GFC, GFC and post-GFC. Risk is measured using parametric and nonparametric Value at Risk (VaR) and Conditional Value at Risk (CVaR), which measures risk beyond VaR. In contrast to studies on most global markets, and due to relative stability in the Indonesian market, no significant differences are found in relative portfolio risk between the conditional and non-conditional measures, or between parametric and nonparametric measures. The insights are important to investors in choosing the sectoral mix of their portfolio.

LanguageEnglish
Pages27-42
Number of pages16
JournalInternational Journal of Business Studies
Volume20
Issue number1
Publication statusPublished - Dec 2012
Externally publishedYes

Fingerprint

Conditional value at risk
Value at risk
Investors
Fluctuations
Risk measures
Portfolio risk
Global market
Composite index
Market risk

Keywords

  • Indonesia stock exchange
  • value at risk
  • conditional value at risk
  • parametric
  • nonparametric

Cite this

Allen, David E. ; Boffey, Raymond R. ; Kramadibrata, Akhmad ; Powell, Robert ; Singh, Abhay. / Thumbs up to parametric measures of relative VaR and CVaR in Indonesian sectors. In: International Journal of Business Studies. 2012 ; Vol. 20, No. 1. pp. 27-42.
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Allen, DE, Boffey, RR, Kramadibrata, A, Powell, R & Singh, A 2012, 'Thumbs up to parametric measures of relative VaR and CVaR in Indonesian sectors', International Journal of Business Studies, vol. 20, no. 1, pp. 27-42.

Thumbs up to parametric measures of relative VaR and CVaR in Indonesian sectors. / Allen, David E.; Boffey, Raymond R.; Kramadibrata, Akhmad; Powell, Robert; Singh, Abhay.

In: International Journal of Business Studies, Vol. 20, No. 1, 12.2012, p. 27-42.

Research output: Contribution to journalArticleResearchpeer-review

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