Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/205365 
Year of Publication: 
2016
Citation: 
[Journal:] Science International [ISSN:] 1013-5316 [Volume:] 28 [Issue:] 3 [Publisher:] Publications International [Place:] Lahore [Year:] 2016 [Pages:] 311-319
Publisher: 
Publications International, Lahore
Abstract: 
This study tries to calculate value at risk at Asian emerging stock markets of daily, weekly and monthly stock returns by calculating its log returns. This study also ranks equity markets on the basis on Sharpe ratio and risk adjusted returns. This process helps investors to gauge these stock markets on various risk levels present in these market to make a good decision of investment for wealth maximization. This study uses 10 year financial data from 2004 to 2014 of daily weekly and monthly data frequency. Value at risk is calculate of all data frequencies at 1 and 5 percent level of significance. Results are different in short, medium and relatively long run cases of each stock market. However, collectively, Pakistan, Indian and Malaysian markets perform better at a given level of risk and return.
Subjects: 
Risk,
Return
Value at Risk
Emerging Markets
JEL: 
G10
G11
Document Type: 
Article
Document Version: 
Published Version
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