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All Journal Metris: Jurnal Sains dan Teknologi
Gankhuyag, Dolgion
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Decision Sciences, Operations Research & Management Education Engineering Industrial & Manufacturing Engineering

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Estimating Spillover Effect and Leverage Effect Using EGARCH-ARMA Approach in Mongolian Stock Exchange Lee, Cheng-Wen; Gankhuyag, Dolgion
Metris: Jurnal Sains dan Teknologi Vol. 20 No. 02 (2019): Desember
Publisher : Prodi Teknik Industri, Fakultas Teknik - Universitas Katolik Indonesia Atma Jaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25170/metris.v20i2.2413

Abstract

This study checked the spillover effect and leverage effect from 2 January 2012 to 27 December 2017 in the Mongolian Stock Index MSE20 time frame. 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. Stock index in particular has a much stronger influence on stock price. Our research did not support previous studies for the leverage effect of the EGARCH-ARMA method, suggesting negative asymmetric influence of volatility such that two financial instruments overlap in their value.
Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange Lee, Cheng-Wen; Gankhuyag, Dolgion
Metris: Jurnal Sains dan Teknologi Vol. 21 No. 01 (2020): Juni
Publisher : Prodi Teknik Industri, Fakultas Teknik - Universitas Katolik Indonesia Atma Jaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25170/metris.v21i01.2432

Abstract

In this study, we present the Mongolian stock market’s performance post phenomenal financial crisis of 2008-2009, opportunities to invest and the risks problems. For analysis of the study, we used financial portfolio optimization models with restricted structure, mathematical statistic methods and financial methods. First, we considered about portfolio optimization in the Mongolian Stock Exchange using Markowitz’s modern portfolio theory and Telser’s safety first model. We used MSE weekly trading data chosen 50 most traded stocks out of 237 stocks listed at the MSE between 2009 and 2013. We generated 50 weeks mean-variance portfolio and safety first portfolio for 2014 and discussed. We considered weekly investment in the MSE using mean-variance portfolio andsafety first portfolio. The mean-variance portfolio has the best performance of weekly portfolio return with average weekly return and cumulative return. We found stable portfolio against investing risk and did back-test the result. For prospect investors in the MSE, we suggest invest and earn high return in the MSE.
Co-Authors Lee, Cheng-Wen