Portfolio risk management based on risk factors of stock market volatility in KoreaTools Lee, Seung Hwan (2022) Portfolio risk management based on risk factors of stock market volatility in Korea. [Dissertation (University of Nottingham only)]
AbstractWhenever unexpected events emerge as unpredictable factors in financial markets in recent years, at the same time, the global stock markets had a significant decrease, emphasizing the importance of risk management one more. It is especially necessary for Korean individual investors who have no knowledge of stocks. Therefore, it was focused on finding out whether it affects the volatility in the Korean stock market and determining the maximum possible loss amount of a portfolio composed of stocks due to those factors. As a result of the study, the interest rate, volatility index, and dollar value are three factors that affect the volatility of the Korean stock market, and the regression analysis showed that all of them were significant. However, the correlation between interest rates and the KOSPI 200 was the clearest compared to other factors, so it clearly affected the Korean stock market. In addition, according to the correlation between the three factors affecting the Korean stock market and the KOSPI200, when the factor values are the largest and the smallest, the result is that the VaR of the KOSPI200 is relatively large. Therefore, when volatility increases according to the size of factors, VaR is also large, so changes in interest rates, VKOSPI, and DYX become important considerations for Korean stock investors in order to manage their risk.
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