OʻZBEKISTON FOND BOZORIDA AKSIYALARNING RISK–DAROMADLILIK SAMARADORLIGINI QIYOSIY BAHOLASH
DOI:
https://doi.org/10.5281/zenodo.23056575Abstract
adqiqotda Oʻzbekiston fond bozorida muomalada boʻlgan HMKB, SQB, UZMK va QZSM aksiyalarining 2022-yil 1-iyuldan 2026-yil 30-iyungacha boʻlgan davrdagi risk va daromadlilik samaradorligi yagona metodologik yondashuv asosida qiyosiy baholangan. Empirik tahlilda CAGR, Sharpe, Sortino, Omega va Calmar koeffitsiyentlari, axborot koeffitsiyenti, M², CAPM beta, Jensen alfasi hamda VaR va CVaR koʻrsatkichlaridan foydalanilgan, bozorning taqqoslash mezoni sifatida UCI indeksi tanlangan. Natijalar riskka moslashtirilgan samaradorlik boʻyicha HMKB va SQB aksiyalarining boshqa aksiyalarga nisbatan ustunligini koʻrsatgan. UZMK aksiyasi eng past oʻzgaruvchanlik darajasiga ega boʻlishiga qaramay, manfiy CAGR va yuqori maksimal drawdown sabab umumiy reytingda uchinchi oʻrinni egallagan. CAPM natijalariga koʻra, kunlik maʼlumotlarda beta koeffitsiyentlari statistik jihatdan ahamiyatsiz boʻlgan, haftalik maʼlumotlarda esa uchta aksiya boʻyicha bozor bilan musbat va statistik ahamiyatli bogʻliqlik aniqlangan.Keywords
fond bozori, aksiya, riskka moslashtirilgan samaradorlik, Sharpe koeffitsiyenti, Sortino koeffitsiyenti, CAPM, maksimal drawdown, VaR, UCI indeksi, likvidligi past bozor.References
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