Risk Management on Different Types of Stock Exchange Markets

摘要

Most investors focus mainly on estimating risk and not examining the market on which they operate. In this paper authors analyzed stock exchange indices for capital markets from different countries and with different stage of development. Analysis was done with usage of commonly used methods (standard deviation, VaR) as well as some more unconventional approaches (Hurst exponent, MST). Author shows that markets in different stage of development show different statistical patterns.