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 journalArticle

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.

Original languageEnglish
Pages (from-to)27-42
Number of pages16
JournalInternational Journal of Business Studies
Volume20
Issue number1
Publication statusPublished - Dec 2012
Externally publishedYes

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Keywords

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

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