Intelligent Systems and Decision Making for Risk Analysis and Crisis Response

Intelligent Systems and Decision Making for Risk Analysis and Crisis Response –

Huang & Kahraman (eds)

© 2013 Taylor & Francis Group, London, ISBN 978-1-138-00019-3

435

Risk of investing in US industries after global financial crisis

Harun Sencal & Mehmet Orhan

Department of Economics, Fatih University, Hadimkoy Civari, Buyukcekmece, Istanbul, Turkey

ABSTRACT: This paper has two main purposes: to compare the risk behavior of indus-

tries in the US and to document the impact of global financial crisis on their risk behaviors.

To achieve this purpose, we have made use of the US data belonging to 34 sector indices as

well as the VaR calculated with the most favoured standard deviation computer, GARCH.

The test developed by Kupiec is employed to check ...