利用財務分析模型來探討蒙古證券交易所之投資風險評估

Investment Risk Assessment in Mongolian Stock Exchange Using Financial Risk Models

胡多俊(Dolgion Gankhuyag)

指導教授 ： 李正文

中原大學/商學院/商學博士學位學程/博士(2020年)

https://doi.org/10.6840/cycu202000785

摘要

本研究探討在蒙古證券交易所金融市場上的投資風險，作為投資者的參考依據。在投資市場之前，投資者必須進行研究和評估，以減輕財務風險。我們使用最小範圍的金融投資組合優化模型，定量計算技術來分析研究。這項研究通常使用不同類型的風險管理策略來降低或減輕風險，尤其是股票指數對股票波動性的影響更大時，更是需要。本研究分析採用蒙古證券交易所的實時數據，在分析驗證後使用財務管理策略，達成最大程度地降低投資風險。我們從市場指數中發現了對單個股票價格的溢出效應，但是我們的分析並不支持單個股票對股票指數具有溢出效應。 就波動率而言，只有市場和股票波動率才具有雙邊溢出效應。

關鍵字

投資組合優化 ； 風險管理 ； 蒙古證券交易所 ； 溢出效應 ； 槓桿效應.

並列摘要

In this study, we explore investments in the Mongolian Stock Exchange financial markets as investor prospects. Before investing in the market, it is essential to research and evaluate in order to mitigate financial risks. We use models of financial portfolio optimization with minimal scope, quantitative computational techniques to analyze the research. This study uses different types of risk management strategies to reduce or mitigate risk in general. The analysis use Mongolian Stock Exchange's real-time data. We use financial management strategies after review to minimize investment risk. We found spillover effect on individual stock prices from the market index, but our analysis did not support individual stock has a spillover effect on stock index. In terms of volatility, only market and stock volatility have a bilateral spillover effect.

並列關鍵字

Portfolio Optimization ； Risk Management ； Mongolian Stock Exchange ； Spillover Effect ； Leverage Effect.

參考文獻

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