Authors : Siti Mahirah Abd. Gani, Muhammad Azri Mohd, Sharifah Nazatul Shima and Zahrul Azmir ABSL Kamarul Adzhar
Abstract: There are many methods used in determining the performance of a stock. None of them offer the investor a correct risk analysis of their holding and they frequently exposed to a high market risk. However, a sector that is worth investing can also be determined by researching its riskiness in the market. By adapting VaR measurement, this study aims to determine the least risky and the riskiest economic sector for investment in Malaysia. Two approaches used in estimating the VaR for the selected economic sector namely the historical simulation and Monte Carlo simulation. Results of the analysis show that the manufacturing sector have been the least risky sector for investment and the riskiest sector is telecommunication sector. The choice of which to invest depends on the risk appetite of investors. Historical simulation being the most appropriate approach to measure value at risk in this particular study as it results a smaller value of mse and made and also based on backtesting using Kupiec’s test.
Siti Mahirah Abd. Gani, Muhammad Azri Mohd, Sharifah Nazatul Shima and Zahrul Azmir ABSL Kamarul Adzhar, 2017. Value-at-Risk on Different Economic Sectors in Malaysia. Journal of Engineering and Applied Sciences, 12: 2289-2293.