臺灣博碩士論文加值系統

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。

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.

Table of contents
摘 要……. i
Abstract……… ii
Acknowledge iii
Table of contents iv
List of tables vi
List of figures viii
Chapter 1. Introduction 1
1.1 Introduction of the Mongolian Stock Exchange 1
1.2 Statement of problem 4
1.3 Significance of the study 4
1.4 Financial risk 4
1.5 Financial risk management 10
1.6 Risk assessment models 15
Chapter 2. Literature review 31
2.1 Financial portfolio theory 31
2.2 Developments of Mean-Variance theory 32
2.3 Safety First model 39
2.4 Spillover effect and leverage effect 41
2.5 Value at Risk 42




Chapter 3. Methodology 43
3.1 EGARCH-ARMA Model for spillover and leverage effect 43
3.2 Portfolio optimization problem formulation 45
3.3 Value at Risk 50
3.4 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) 51
Chapter 4. Results 53
4.1 Data collection 53
4.2 Summary statistics 54
4.3 Spillover effect and leverage effect 56
4.4 Portfolio selection in the MSE 58
4.5 Risk assessment on index of MSE20 in the MSE 69
4.6 GARCH family models estimation of the MSE 73
Chapter 5. Conclusion 76
5.1 Discussions 76
5.2 Limitations 78
5.3 Future study 78
References 79






List of tables
Table 1 Securities of MSE20 53
Table 2 The period of datasets and summary statistics 54
Table 3 Descriptive statistics of the stock and stock index returns unit-root, LM and ARCH-LM tests 55
Table 4 Spillover effect to stock market index and spillover effect of volatilities on MSE stocks 56
Table 5 Spillover effect of volatilities on stock market index 57
Table 6 Weekly Mean-Variance portfolio returns and portfolio risk or portfolio standard deviations 58
Table 7 Mean-Variance portfolio’s weekly average return against market index MSE20 weekly returns 59
Table 8 Weekly portfolio returns and standard deviations of Safety First portfolio 61
Table 9 Safety First portfolio’s weekly average return against market index MSE20 weekly returns 62
Table 10 Statistics of Mean-Variance portfolio and Safety First portfolio 63
Table 11 Portfolios Sharpe ratio comparison 65
Table 12 Portfolios Sortino ratio comparison 67
Table 13 Augmented Dickey-Fuller test statistic of the Mongolian Stock Exchange index MSE20 in the period from the 2nd January 2013 to 28th July 2019 70
Table 14 Correlogram of daily stock returns of the Mongolian Stock Exchange index MSE20 in the period from the 2nd January 2013 to 28th July 2019 71
Table 15 Tested asymmetric and symmetric GARCH models for daily returns of the Mongolian Stock Exchange index MSE20 73
Table 16 Engle and Ng Joint test for sign and size bias 74
Table 17 Engle and Ng Joint test descriptive statistic for sign and size bias 74
Table 18 Forecasted Value at Risk estimation 75




















List of figures
Figure 1 Mongolian Stock Exchange structure 3
Figure 2 Weekly Mean-Variance portfolio returns against market index MSE20 60
Figure 3 Safety First portfolio returns against market index MSE20 62
Figure 4 Mean-Variance portfolio returns versus Safety First portfolio returns 64
Figure 5 Portfolios Sharpe ratio 66
Figure 6 Portfolios Sortino ratio …68
Figure 7 Daily closing values of the Mongolian Stock Exchange index MSE20 in the period from the 2nd January 2013 to 28th July 2019 69
Figure 8 Daily stock returns of the Mongolian Stock Exchange index MSE20 in the period from the 2nd January 2013 to 28th July 2019 69
Figure 9 Q-Q plot of daily stock returns of the Mongolian Stock Exchange index MSE20 in the period from the 2nd January 2013 to 28th July 2019 72
Figure 10 Summary descriptive statistics for the daily returns of the Mongolian Stock Exchange index MSE20 in the period from the 2nd January 2013 to 28th July 2019 72

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