Value-at- Risk Analysis for Country-specific Exchange-Traded Funds: The Case of ASEAN Equity Markets

• Main Authors: Nguyen Hoang Anh Thu, 阮黃英書
• Other Authors: Chieh Lee
• Format: Others
• Language: en_US
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/6392nw

碩士 === 國立虎尾科技大學 === 財務金融系碩士班 === 105 === Exchange-Traded Funds (ETFs), a marketable security with higher daily liquidity but lower fees than mutual fund shares, are increasingly considered as an attractive investing tool for individual investors. Especially, country-specific ETFs in the Association of Southeast Asian Nations (ASEAN) markets among which are dynamic and potential but still quite new to ETFs-investors. The main purpose of this paper then aims to examine the more effectively predicting technique for investors who concern to minimize the risk on their ASEAN ETFs investment targets. To gain that aim, two main approaches, the Variance-Covariance and the Historical Simulation are applied for effectively constructing an ETF portfolio. We estimate the Value-at-Risk (VaR) related to performance of ETFs portfolios based on the five ASEAN equity markets (Singapore, Malaysia, Indonesia, Thailand and Philippines) with daily data from 2010 to 2016. Our main finding suggests that portfolio allocate strategies based on the Modified Sharpe-weighted (MSR) along with the Exponentially Weighted Moving Average (EWMA) of the Variance-Covariance approach might perform more effectively with a comparably lower portfolio VaR. On the other hand, equally weighted strategy (EW) might work less efficiently for constructing an ETF portfolio.