Paper Title :Stock Selection and Risk Measurement in the Hong Kong Stock Exchange-A Multivariate Copula-Garch Approach

Author :Biren Hu, Jianxu Liu, Jirakomsirisrisakulchai, Pathairatpastpipatkul, Songsak Sriboonchitta

Article Citation :Biren Hu ,Jianxu Liu ,Jirakomsirisrisakulchai ,Pathairatpastpipatkul ,Songsak Sriboonchitta , (2017 ) " Stock Selection and Risk Measurement in the Hong Kong Stock Exchange-A Multivariate Copula-Garch Approach " , International Journal of Management and Applied Science (IJMAS) , pp. 71-76, Volume-3,Issue-10

Abstract : In this paper, we conduct the stock selection with the traditional and modified Sharpe ratio(SR) methods to obtain three groups of target portfolios on the Hong Kong Stock Exchange(HKSE). We measure the Value at Risk (VaR) of the log returns of the portfolios by using seven Copula-GARCH models with the dependent structure. The empirical results show three findings: (1) Copula function explicitly captured the dependence structure of the selected stocks;(2) The t-Copula- GARCH with unstructured covariance matrix is the best adequate model to all three portfolios; (3) Conventional Sharpe ratio method has the best performance in stock selection, and the copula-GARCH model captures VaR quite well. Keywords - Stock Selection, Risk Measurement, Copula-GARCH, HKSE

Type : Research paper

Published : Volume-3,Issue-10

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