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Measuring the Impact of Market Risk Measured by (Var) on the Performance of the Growth and Value Portfolio, an Analytical Study in the Iraqi Stock Exchange | ||
| TANMIYAT AL-RAFIDAIN | ||
| Volume 43, Issue 142, June 2024, Pages 77-96 PDF (790.46 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.33899/tanra.2024.183438.1339 | ||
| Authors | ||
| duaa numaan Al-Husseini* 1; Azeez M. Kh. AL Bali* 2 | ||
| 1Department of Financial and Banking Sciences, College of Administration and Economics, University of Mosul, Mosul, Iraq. | ||
| 22Department of Financial and Banking Sciences, College of Administration and Economics, University of Mosul, Mosul, Iraq | ||
| Abstract | ||
| The research seeks to estimate the size of the impact that market risk has on the performance of the growth and value portfolios, as well as diagnose the performance of these two portfolios during the period (2020-2022). Monthly data was collected for (32) companies as a research sample. The value-at-risk (VaR) model was used to measure market risk to arrive at an answer to the question: What is the extent of the impact of market risk (market index) on the performance of the growth and value portfolios in the Iraq Stock Exchange during the period under investigation? The profitability multiplier index was adopted to distinguish between growth and value stocks, as well as the value-at-risk index (J.P. Morgan) to measure market risk according to the standard method. The results of the regression analysis showed that the profitability multiplier during the period studied was not at the required level. The statistical analysis also showed a significant impact of market risk on the performance of the value and growth portfolios. In addition, the study revealed a relationship between market risk, measured by the value at risk, and the performance of the two portfolios. The study recommends that the investor be aware of the market risk to which he is exposed when investing in securities portfolios. The study emphasized the importance of measuring market risk using the value at risk to determine the maximum losses that the investor may incur. | ||
| Keywords | ||
| Market Risk; Growth Portfolios and Value; Profit Multiplier; Value at Risk | ||
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