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首页> 外文期刊>Journal of International Money and Finance >Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period
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Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period

机译：欧元区股市的下行风险和投资组合多元化，特别考虑了危机时期

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摘要

This study examines the Value-at-Risk for ten euro-zone equity markets individually and also divided into two groups: PUGS (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 sub-periods 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.
机译：这项研究分别检查了十个欧元区股票市场的风险价值，并分为两组：PUGS（葡萄牙，意大利，爱尔兰，希腊和西班牙）和核心地区（奥地利，芬兰，法国，德国和荷兰） ），采用了在整个时期以及全球危机前和危机后第一和第二阶段考虑的四种VaR估计和评估方法。回测结果也根据巴塞尔资本要求进行评估。结果表明，在整个时期内，CEVT方法最适合所有单个股指的所有统计标准，但是与DPOT方法相比，这两种方法在两个子期间的结果是混合的。此外，PIIGS和Core的两个最佳集团投资组合以及结合十个指数的综合投资组合都没有显示出太多的多元化收益。 PIIGS投资组合仅选择西班牙的IBEX，而Core则仅在整个时期和子时期1中选择奥地利的ATX。但是，德国的DAX在子时期2中以绝对优势主导了Core和Grand组合。

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