一个创新的扩展贝叶斯分析之间的关系回报和不同的风险措施在南非

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2022-01-01 DOI:10.3934/qfe.2022025
Nitesha Dwarika
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引用次数: 0

摘要

本研究调查了2000年3月17日至2022年3月17日南非市场的所有股票指数(ALSI)回报和六种不同的风险指标。分析的风险指标为标准差(SD)、绝对偏差(AD)、下半绝对偏差(LSAD)、下半方差(LSV)、实现方差(RV)和偏差校正后的实现方差(ARV)。该研究在方法和实践层面上做出了创新贡献,首次将Jensen和Maheu(2018)的新颖贝叶斯方法扩展到Karabatsos(2017)的方法——密度回归、分位数回归和生存分析。通过图形分析,扩展提供了与风险有关的回报分布的完整表示,对风险-回报主题产生了新颖的见解。本研究最新颖和创新的贡献是应用了生存分析,分析了风险-收益关系中的“生”与“死”。通过密度回归,本研究发现投资者获得高收益的机会是很大的,并且超额收益的概率随着时间的推移而增加。分位数回归结果显示,收益与大多数风险指标sd、AD、LSAD和RV呈负相关。而LSV与ARV的风险收益关系为正,且ARV的斜率最大。结果最明显的是抗逆转录病毒治疗,尤其是生存分析。虽然ARV获得了最高的回报,但它的寿命最短,这可归因于南非市场的不稳定性。因此,寻求短期高收益回报的投资者将检查ARV,然后是LSV,而其余的风险措施可用于其他目的,如多样化目的或卖空。
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An innovative extended Bayesian analysis of the relationship between returns and different risk measures in South Africa
This study investigated the All Share Index (ALSI) returns and six different risk measures of the South African market for the sample period from 17 March 2000 to 17 March 2022. The risk measures analyzed were standard deviation (SD), absolute deviation (AD), lower semi absolute deviation (LSAD), lower semivariance (LSV), realized variance (RV) and the bias-adjusted realized variance (ARV). This study made an innovative contribution on a methodological and practical level, by being the first study to extend from the novel Bayesian approach by Jensen and Maheu (2018) to methods by Karabatsos (2017)—density regression, quantile regression and survival analysis. The extensions provided a full representation of the return distribution in relation to risk, through graphical analysis, producing novel insight into the risk-return topic. The most novel and innovative contribution of this study was the application of survival analysis which analyzed the "life" and "death" of the risk-return relationship. From the density regression, this study found that the chance of investors earning a superior return was substantial and that the probability of excess returns increased over time. From quantile regression, results revealed that returns have a negative relationship with the majority of the risk measures—SD, AD, LSAD and RV. However, a positive risk-return relationship was found by LSV and the ARV, with the latter having the steepest slope. Results were the most pronounced for the ARV, especially for the survival analysis. While ARV earned the highest returns, it had the shortest lifespan, which can be attributed to the volatile nature of the South African market. Thus, investors that seek short-term high-earning returns would examine ARV followed by LSV, whereas the remaining risk measures can be used for other purposes, such as diversification purposes or short selling.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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