A New Scheme for Proactive Risk Management in Stock Market

2020 ◽  
Author(s):  
Akihiko Takahashi ◽  
Soichiro Takahashi
Keyword(s):  
Risk Management ◽  
Stock Market

Stock Market Development And Economic Growth in Nigeria

1998 ◽  
Vol 2 (1) ◽  
pp. 33-38 ◽  
Author(s):  
John C. Anyanwu
Keyword(s):  
Economic Growth ◽  
Risk Management ◽  
Stock Market ◽  
Conceptual Framework ◽  
Corporate Control ◽  
Market Development ◽  
Political Environment ◽  
Stock Market Development ◽  
Long Run

Is the stock market development important for economic growth in Nigeria? One line of research argues that it is not; another line stresses the importance of stock market development in allocating capital, acquisition of information about firms, easing risk management, mobilization of savings, and exerting corporate control. Indeed, some theories provide a conceptual framework for the belief that larger, more efficient stock markets boost economic growth. This article examines whether there is a strong empirical association between Nigerian stock market development and long-run economic growth. Our empirical results suggest that the Nigerian stock market development is positively and strongly associated with long-term economic growth. This implies that Nigerian policymakers should make concerted efforts at removing obstacles to stock market development while creating and sustaining an enabling macroeconomic and political environment for the market’s development.

Stock market stress from the central counterparty’s perspective

2019 ◽  
Vol 36 (1) ◽  
pp. 51-62
Author(s):  
Barbara Dömötör ◽  
Kata Váradi
Keyword(s):  
Risk Management ◽  
Stock Market ◽  
Stress Measurement ◽  
Risk Measure ◽  
Moving Averages ◽  
Stress Indicators ◽  
Content Type ◽  
Stress Signals ◽  
Relative Spread ◽  
Extreme Returns

Purpose The purpose of this paper is to investigate the possibility of monitoring stress on stock markets from the perspective of a central counterparty (CCP). Due to their balanced positions, CCPs are exposed to extreme price movements in both directions; thus, the major risk for them derives from extreme returns and market illiquidity. The authors examined the connection of the stress alarms of return- and liquidity-based measures to find an objective basis for stress measurement. Design/methodology/approach The authors defined two types of stress measures: indicators based on extreme returns and liquidity. It is suggested that the stress indicators should be based on the existing risk management methodology that examines different risk measure oversteps. The stress signals of the past nine years on the German stock market were analyzed. The authors investigated the connection between the chosen stress measures to obtain a robust measure for alarming stress. Findings Although extreme returns and illiquidity are both characteristics of stress, the correlation of returns- and liquidity-based stress indicators is low when taking daily values. On the other hand, the moving averages of the indicators correlate significantly in the case of measures of downward and upward extreme returns and liquidity measured by the relative spread. The results are robust enough to be used for monitoring stress periods. Originality/value This paper contributes to understanding the characteristics of stress periods and points to the fact that stress signals measured by different aspects can also differ within the same asset class. The moving averages of returns- and relative spread-based indicators, however, could provide a cost-effective quantitative support for the risk management of a CCP and make the margin calculation predictable for clearing members as well.

Investment Diversificationand Islamic Risk Management in the Malaysian Stock Market

2021 ◽  
Vol 12 (3) ◽  
pp. 540-546
Author(s):  
Nurhanani Romli Et.al
Keyword(s):  
Risk Management ◽  
Stock Market ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
High Volatility ◽  
Islamic Principle ◽  
Islamic Economic ◽  
Risk Investment

Risk investment was a matter that should be well managedby each investor since each unit  of stock has their own risk. This study will explained in detail related risks of investing in portfolio either Shariah stock or conventional stock. Besidesthat,  further discussion on the risk of investment from the perspective of Islamic economics will be include together since any shariah stock have to obey with Islamic principle before it can be considered as a Shariahcompliant stock. Capital Asset Pricing Model (CAPM) will be used to measure the level of risk starting from the year 2007 when  subprimecrisisjust done until year of 2010. Results of the study show that the volatility of stock market in Malaysia can be considered as a high volatility and its means as a high risk. The findings of study also found that Islamic economic has recognizes the existence of investmentrisk. One of methods that are used in the management of risk was  diversification. This methodwillreduces risk by allocating investments among various financial instruments, industries, and other categories. In conclusion, the process of diversificationthatwas done by most of the investors are keeping to the concept of risk management in the Islam.

scholarly journals Application of VaR Methodology to Risk Management in the Stock Market in Iran

2011 ◽  
Vol 7 (1) ◽  
Author(s):  
Mirfeiz Fallah Shams ◽  
Zeinab Sheikhi ◽  
Maryam Sheikhi
Keyword(s):  
Risk Management ◽  
Stock Market

Tempered stable models for Islamic finance asset management

2014 ◽  
Vol 7 (1) ◽  
pp. 37-60 ◽  
Author(s):  
Mahmoud Bekri ◽  
Young Shin (Aaron) Kim ◽  
Svetlozar (Zari) T. Rachev
Keyword(s):  
Risk Management ◽  
Stock Market ◽  
Empirical Evidence ◽  
Market Risk ◽  
Market Volatility ◽  
Risk Exposure ◽  
Islamic Finance ◽  
Content Type ◽  
Portfolio Manager ◽  
Safety First

Purpose – In Islamic finance (IF), the safety-first rule of investing (hifdh al mal) is held to be of utmost importance. In view of the instability in the global financial markets, the IF portfolio manager (mudharib) is committed, according to Sharia, to make use of advanced models and reliable tools. This paper seeks to address these issues. Design/methodology/approach – In this paper, the limitations of the standard models used in the IF industry are reviewed. Then, a framework was set forth for a reliable modeling of the IF markets, especially in extreme events and highly volatile periods. Based on the empirical evidence, the framework offers an improved tool to ameliorate the evaluation of Islamic stock market risk exposure and to reduce the costs of Islamic risk management. Findings – Based on the empirical evidence, the framework offers an improved tool to ameliorate the evaluation of Islamic stock market risk exposure and to reduce the costs of Islamic risk management. Originality/value – In IF, the portfolio manager – mudharib – according to Sharia, should ensure the adequacy of the mathematical and statistical tools used to model and control portfolio risk. This task became more complicated because of the increase in risk, as measured via market volatility, during the financial crisis that began in the summer of 2007. Sharia condemns the portfolio manager who demonstrates negligence and may hold him accountable for losses for failing to select the proper analytical tools. As Sharia guidelines hold the safety-first principle of investing rule (hifdh al mal) to be of utmost importance, the portfolio manager should avoid speculative investments and strategies that would lead to significant losses during periods of high market volatility.

The Dynamics of VaRs with Skew t Distribution for A300 Index in China

2011 ◽  
Vol 135-136 ◽  
pp. 1051-1056
Author(s):  
Cheng Li Zheng ◽  
Dong Dong Huang
Keyword(s):  
Risk Management ◽  
Stock Market ◽  
Normal Distribution ◽  
High Frequency ◽  
Financial Crises ◽  
Financial Asset ◽  
Real Thing ◽  
The One ◽  
T Distribution ◽  
Better Than

The high frequency of financial crises make the risk management of financial asset become the focus of the financial investors and scholars. The traditional VaR based on assumption about the normal distribution of yield is not suitable for the real thing in China. The characteristics of stock market yield in China is fat tail and non-symmetry. In this paper, the dynamics of VaRs based on TARCH model with the skew t distribution are computed and analysed. And then failure rate of VaRs are compared under normal distribution, student's-t distribution and GED distribution. The results show that the most accurate VaR is the one with the skew t distribution, which describes the reality of the stock market better than others.

scholarly journals Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market

Mathematics ◽  
2021 ◽  
Vol 9 (10) ◽  
pp. 1093
Author(s):  
Jia-Hao Syu ◽  
Yi-Ren Yeh ◽  
Mu-En Wu ◽  
Jan-Ming Ho
Keyword(s):  
Resource Allocation ◽  
Risk Management ◽  
Stock Market ◽  
Sharpe Ratio ◽  
Self Management ◽  
Association Mining ◽  
Practical Application ◽  
Trading System ◽  
Practical Applications ◽  
Financial Trading

A well-established financial trading system should well perform in resource allocation, risk management, and sustainability. In this paper, we propose a self-management portfolio system with adaptive association mining for practical applications. The system allocates funds into independent units for risk management, and utilizes association mining and adaptive closing mechanism for resource allocation and sustainability, and adopts a self-management module for monitoring positions. The proposed system boosts the annual return and Sharpe ratio to 9.1% and 0.578 (increased to 2.28 and 2.48 times), and reduces the drawdown risk to 34.6% (decreased to almost half). Furthermore, the system rapidly closes the stock positions to avoid drawdown risk in the bear markets, and gradually increases the stock positions when the market turns into bull. Compared with benchmarks, proposed system outperforms all benchmarks in all measurements and on randomly sampled dataset.

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