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- Title
Downside Risk in Australian and Japanese Stock Markets: Evidence Based on the Expectile Regression.
- Authors
Marumo, Kohei; Li, Steven
- Abstract
The expectile-based Value at Risk (EVaR) has gained popularity as it is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). This paper applies the expectile regression approach to evaluate the EVaR of stock market indices of Australia and Japan. We use an expectile regression model that considers lagged returns and common risk factors to calculate the EVaR for each stock market and to evaluate the interdependence of downside risk between the two markets. Our findings suggest that both Australian and Japanese stock markets are affected by their past development and the international stock markets. Additionally, ASX 200 index has significant impact on Nikkei 225 in terms of downside tail risk, while the impact of Nikkei 225 on ASX is not significant.
- Subjects
AUSTRALIA; JAPAN; STOCK price indexes; STOCKS (Finance); VALUE at risk; INVESTMENT risk; EXPORT marketing
- Publication
Journal of Risk & Financial Management, 2024, Vol 17, Issue 5, p189
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm17050189