The influence of volatility spill-overs and market beta on portfolio construction
South African Journal of Economic and Management Sciences
Field | Value | |
Title | The influence of volatility spill-overs and market beta on portfolio construction | |
Creator | Heymans, André Brewer, Wayne Peter | |
Description | This study adds to Modern Portfolio Theory (MPT) by providing an additional measure to market beta in constructing a more efficient investment portfolio. The additional measure analyses the volatility spill-over effects among stocks within the same portfolio. Using intraday stock returns from five top-40 listed stocks on the JSE between July 2008 and April 2010, volatility spill-over effects were estimated with a residual- based test (aggregate shock [AS] model) framework. It is shown that when a particular stock attracted fewer volatility spill-over effects from the other stocks in the portfolio, the overall portfolio volatility decreased as well. In most cases market beta showcased similar results. Therefore, in order to construct a more efficient risk- adjusted portfolio, one requires both a portfolio that has a unit correlation with the market (beta-based), and stocks that showcase the least amount of volatility spill-over effects amongst one another. These results might assist portfolio managers to construct lower mean variance portfolios. | |
Publisher | AOSIS Publishing | |
Date | 2015-05-28 | |
Identifier | 10.4102/sajems.v18i2.1165 | |
Source | South African Journal of Economic and Management Sciences; Vol 18, No 2 (2015); 277-290 2222-3436 1015-8812 | |
Language | eng | |
Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajems.org/index.php/sajems/article/view/1165/543
https://sajems.org/index.php/sajems/article/downloadSuppFile/1165/363
https://sajems.org/index.php/sajems/article/downloadSuppFile/1165/364
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