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Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period

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dc.contributor.authorLiu, Tengdong
dc.contributor.authorHammoudeh, Shawkat
dc.contributor.authorSantos, Paulo Araújo
dc.date.accessioned2020-07-10T10:44:09Z
dc.date.available2020-07-10T10:44:09Z
dc.date.issued2014
dc.description.abstractThis study examines the Value-at-Risk for ten euro-zone equity markets individually and also divided into two groups: PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Austria, Finland, France, Germany and the Netherlands), employing four VaR estimation and evaluation methods considered over the full period and the pre- and post-global crisis subperiods 1 and 2. The backtesting results are also evaluated according to the Basel capital requirements. The results demonstrate that the CEVT methods meet all the statistical criteria the best for most individual equity indices over the full period, but these results over the two subperiods for those two methods are mixed, compared to those the DPOT methods. Moreover, the two optimal group portfolios of the PIIGS and the Core as well as the grand portfolio that combines the ten indices do not show much diversification benefits. The PIIGS portfolio selects Spain's IBEX only, while that of the Core opts for Austria's ATX only in the full period and subperiod 1. However, Germany's DAX overwhelmingly dominates both the Core and the Grand portfolios in subperiod 2.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationLiu, T., Hammoudeh, S., & Santos, P. A. (2014). Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period. Journal of International Money & Finance, 44, 47–68. doi: 10.1016/j.jimonfin.2014.01.006pt_PT
dc.identifier.doi10.1016/j.jimonfin.2014.01.006pt_PT
dc.identifier.issn0261-5606
dc.identifier.urihttp://hdl.handle.net/10400.15/2975
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/pii/S0261560614000163?via%3Dihubpt_PT
dc.subjectAugmented portfoliospt_PT
dc.subjectEuro-zone equity marketspt_PT
dc.subjectSubperiodspt_PT
dc.titleDownside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis periodpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage68pt_PT
oaire.citation.startPage47pt_PT
oaire.citation.titleJournal of International Money and Financept_PT
oaire.citation.volume44pt_PT
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT

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