Investment Analysts Journal最新文献_第9页

Risk of investing in volatility products: A regime-switching approach 投资波动性产品的风险：一种制度转换方法

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-10-12 DOI: 10.1080/10293523.2020.1814047

Leon Li

{"title":"Risk of investing in volatility products: A regime-switching approach","authors":"Leon Li","doi":"10.1080/10293523.2020.1814047","DOIUrl":"https://doi.org/10.1080/10293523.2020.1814047","url":null,"abstract":"ABSTRACT Volatility indexes provide a tool for investors to speculate and trade on market sentiment regarding future volatility. The risk of trading on volatility indexes can be measured by their second moments, namely, variance and correlation. This study considers the four representative volatility indexes published by the CBOE: stock market volatility index (VIX), crude oil volatility index (OVX), foreign exchange rate volatility index (EVZ), and gold price volatility index (GVZ). To examine their risk, we develop an extended multivariate Markov switching ARCH (MSARCH) model in which regime-switching variances, correlations, and variance-correlation relations are designed. Our empirical sample consists of the four volatility indexes from June 2008 to April 2020 for 612 weekly observations (Wednesday to Wednesday). For the conditional variances, we find evidence of regime-switching processes (switching between low and high volatility regimes) for the individual volatility index returns, with the exception of the GVZ. The estimated probability of the high volatility regime may be used to track economic distress and uncertainty shocks. These results provide evidence for volatility-of-volatility risk. For the conditional correlations, we find a regime-switching relation between variances and correlations. That is, the highest correlation appears when the paired volatility markets are simultaneously experiencing a state of high volatility. By contrast, when the paired volatility markets are encountering different volatility states, the correlation is weaker. These results indicate that the volatility-of-volatility risk is a factor affecting the dynamics of correlations between volatility indexes.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"1 - 16"},"PeriodicalIF":0.9,"publicationDate":"2020-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1814047","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44552191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Consumer sentiment and time-varying betas: Testing the validity of the consumption CAPM on the Johannesburg Stock Exchange 消费者情绪和时变贝塔系数：约翰内斯堡证券交易所消费CAPM的有效性检验

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-10-01 DOI: 10.1080/10293523.2020.1814046

Javier Rojo‐Suárez, A. Alonso‐Conde

引用次数: 3

Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates 商品便利收益率与零息通胀掉期利率之间连通性的时间动态

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-10-01 DOI: 10.1080/10293523.2020.1794309

O. Aybar, M. Bilgin, S. Öztürk

{"title":"Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates","authors":"O. Aybar, M. Bilgin, S. Öztürk","doi":"10.1080/10293523.2020.1794309","DOIUrl":"https://doi.org/10.1080/10293523.2020.1794309","url":null,"abstract":"ABSTRACT Globalisation and financial liberalisation have made financial markets more correlated and connected. In this context, it has become extremely important to understand the connectedness and correlation among different financial markets and commodities. This paper attempts to extend applicable empirical studies by examining the connectedness between volatilities of commodity convenience yields and zero-coupon inflation swap rates. We conduct our study by using both the spillover index methodology provided by Diebold and Yilmaz (2009, 2012) as well as Barunik and Krehlik’s (2018) methodology to decompose the index to its frequencies for short-, medium and long-term dynamics. Although, empirical results based on Diebold and Yilmaz’s (2012) methodology show that high total connectedness exists between the variables for the whole time period, our results based on Barunik and Krehlik’s (2018) approach shows that this connectedness exists only in the long-term. The results also indicate that the connectedness dynamics change when the effect of cross-correlations is considered.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"49 1","pages":"289 - 302"},"PeriodicalIF":0.9,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1794309","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46926706","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

A simplified approach to estimate the sustainable lifestyle level for retirement planning 一种估算退休计划中可持续生活方式水平的简化方法

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-07-02 DOI: 10.1080/10293523.2020.1806466

Elze-Mari Roux, J. de Villiers

引用次数: 1

Idiosyncratic momentum on the JSE 日本证券交易所的特殊势头

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-07-02 DOI: 10.1080/10293523.2020.1783864

Daniel Page, D. McClelland, C. Auret

{"title":"Idiosyncratic momentum on the JSE","authors":"Daniel Page, D. McClelland, C. Auret","doi":"10.1080/10293523.2020.1783864","DOIUrl":"https://doi.org/10.1080/10293523.2020.1783864","url":null,"abstract":"ABSTRACT Idiosyncratic momentum, like price momentum, is a trading strategy that considers a share’s recent relative performance over the short to medium term. Idiosyncratic momentum differs from price momentum as it uses residual returns post-orthogonalization on a single or multi-factor asset pricing model. Recent literature has shown that idiosyncratic momentum consistently outperforms price momentum on a risk-adjusted basis, is less prone to long-term reversal and has been proven successful in regions that have previously shown to have a non-existent price momentum premium. Previous studies attribute the success of idiosyncratic momentum to ‘underreaction’, whereby market participants tend to underreact to idiosyncratic momentum signals. We attempt to determine whether idiosyncratic momentum displays the same positive attributes found in international literature. We find that idiosyncratic momentum is superior to price momentum in terms of performance and explanatory power. The results reject a risk-based explanation of idiosyncratic momentum as minimising factor exposure (by using residual returns) improves performance. However, we find limited evidence of underreaction driving idiosyncratic momentum. Notwithstanding the lack of an a priori exposition of idiosyncratic momentum’s existence, the results provide concrete evidence of idiosyncratic momentum’s superiority over price momentum on the JSE, a finding important for both practitioners and academics alike.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"49 1","pages":"180 - 198"},"PeriodicalIF":0.9,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1783864","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45124956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Risk-based portfolio sensitivity to covariance estimation 基于风险的投资组合对协方差估计的敏感性

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-07-02 DOI: 10.1080/10293523.2020.1806467

Hannes du Plessis, P. van Rensburg

{"title":"Risk-based portfolio sensitivity to covariance estimation","authors":"Hannes du Plessis, P. van Rensburg","doi":"10.1080/10293523.2020.1806467","DOIUrl":"https://doi.org/10.1080/10293523.2020.1806467","url":null,"abstract":"ABSTRACT Risk-based portfolio construction methods focus on optimally extracting information from the covariance matrix of asset returns, as opposed to utilising forecasts of expected returns, in determining the portfolio allocation. This improves their robustness to estimation error in means, but this does not mean that they are immune to errors in estimating volatilities and correlations. Using a covariance matrix decomposition that allows separately estimated volatility and correlation models to be recomposed into different models of the covariance matrix, this study examines the empirical performance impact of using an enhanced estimator of the covariance matrix, relative to using the historical sample covariance estimator in the context of six risk-based portfolio optimisations, in a long-only constrained equity market setting. It finds that sensitivity to covariance estimation varies significantly among risk-based portfolio types and that outperformance of the sample historical covariance estimator is possible, but rare. As components of the covariance estimate, among volatility models the EWMA volatilities perform best and GARCH models, poorly. Among correlation models, the Rotationally Invariant Estimator of Bouchaud, Bun, and Potters (2016) shows strong performance, along with the classic Ledoit and Wolf (2003) Single Market Model Estimator.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"49 1","pages":"243 - 268"},"PeriodicalIF":0.9,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1806467","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47420846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Tracking error vs tracking difference: Does it matter? 跟踪错误vs跟踪差异:重要吗?

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-07-02 DOI: 10.1080/10293523.2020.1806480

A. Charteris, K. McCullough

引用次数: 10

The effects of uncertainty on investor expectations and volatility in the South African white maize futures market 不确定性对南非白玉米期货市场投资者预期和波动的影响

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-06-26 DOI: 10.1080/10293523.2020.1776503

C. Auret, A. Sayed

{"title":"The effects of uncertainty on investor expectations and volatility in the South African white maize futures market","authors":"C. Auret, A. Sayed","doi":"10.1080/10293523.2020.1776503","DOIUrl":"https://doi.org/10.1080/10293523.2020.1776503","url":null,"abstract":"ABSTRACT Given the rapidly changing nature of financial markets, volatility indices often influence the trading behaviour of market participants, as they identify market patterns, predict market risk and gauge market sentiment. This paper examines the effects of uncertainty on the expectations of South African white maize futures traders and on volatility at a daily level. Uncertainty effects are measured using three volatility indices: The SAVI Top 40, the SAVI Dollar and the SAVI White Maize. Investor expectations in the South African white maize futures market are proxied by three momentum indicators, the moving average convergence divergence (MACD), the relative strength index (RSI) and the rate of change (ROC). Volatility is estimated using a fitted GARCH (1,1) model of South African white maize futures closing prices. A time-varying vector autoregressive (VAR) framework is used to examine the reactions of each of the three momentum indicators to shocks from each of the three volatility indices. The results confirm that changes in uncertainty influence the expectations of South African white maize futures momentum traders; and that these resulting trades influence price movements, resulting in increased volatility.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"49 1","pages":"165 - 179"},"PeriodicalIF":0.9,"publicationDate":"2020-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1776503","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45401226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

The influence of the market on inflation, not the other way around 是市场对通货膨胀的影响，而不是相反

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-04-02 DOI: 10.1080/10293523.2020.1742999

Carlos de Jesus, G. Willows, A. M. Olivier

{"title":"The influence of the market on inflation, not the other way around","authors":"Carlos de Jesus, G. Willows, A. M. Olivier","doi":"10.1080/10293523.2020.1742999","DOIUrl":"https://doi.org/10.1080/10293523.2020.1742999","url":null,"abstract":"ABSTRACT The study of return prediction is fundamental to investors. However, inconclusive evidence exists as to whether returns on the South African (SA) stock market may be explained by movements in SA or international macroeconomic variables. This study investigates integration between macroeconomic variables and the JSE ALSI. Using a monthly dataset from 1995–2016, the study is able to update the determination of integration relationships and reduce the ‘noise’ prevalent in prior research. Unit root, correlation, integration, causality and a vector error correction model were applied. The study identified that the ALSI was statistically significant in explaining SA inflation. The direction and significance of this relationship is of interest to investors and financial economists. If the ALSI has a predictive relationship with inflation, then market performance could impact the decisions made to raise or drop the Repo rate. In addition to the determination of the integration relationships, this study informs researchers on the efficiency and predictability of the SA market.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"49 1","pages":"79 - 91"},"PeriodicalIF":0.9,"publicationDate":"2020-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1742999","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42621740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Real options and asymmetric volatility in light of the firm’s growth opportunities 实物期权和不对称波动，根据公司的增长机会

IF 0.9 4区经济学

Investment Analysts Journal Pub Date : 2020-04-02 DOI: 10.1080/10293523.2020.1755928

Sagi Akron, Ender Demir, Roi D. Taussig

引用次数: 0