A quantile-based analysis of risk-return dynamics in the South African equity market

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2023-04-03 DOI:10.1080/10293523.2023.2198753

Munyaradzi Chawana, I. Botha, Y. Stander

引用次数: 0

Abstract

ABSTRACT This paper employs quantile autoregression to investigate the influence of ‘market size’ and ‘industry’ effects on the South African equity market volatility response to return shocks. It is now well documented that equity market volatility exhibits asymmetric response to positive and negative return shocks. This paper provides empirical evidence which shows that the South African equity market asymmetric volatility response is significantly a large company phenomenon and with the exception of the Resources 10 and Financials 15 Indices, there is generally no volatility asymmetric response heterogeneity at the sector level. These results have important implications for investors and fund managers in relation to portfolio construction, risk management and optimal equity risk premium determination.

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基于分位数的南非股票市场风险回报动态分析

摘要本文采用分位数自回归研究了“市场规模”和“行业”效应对南非股票市场波动对回报冲击的影响。现在有充分的证据表明，股市波动对正回报冲击和负回报冲击表现出不对称的反应。本文提供的实证证据表明，南非股票市场的不对称波动响应是一个明显的大公司现象，除了资源10指数和金融15指数外，在行业层面一般不存在波动不对称响应异质性。这些结果对投资者和基金经理在投资组合构建、风险管理和最优股票风险溢价确定方面具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.