动态市场风险与投资组合选择——来自印度股市的证据

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2023-09-01 DOI:10.1016/j.iimb.2023.08.001

Subham Agarwal, Sourish Chakravarti, Owendrilla Ghosh, Gagari Chakrabarti

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引用次数: 0

摘要

不可分散的市场风险是风险厌恶型投资者在做出任何投资决策时必须考虑的一个关键因素。我们使用印度股市10个不同行业指数的时变贝塔系数来关注动态市场风险，分析其在波动机制中的变动，并探讨其与市场压力的关系。为规避风险的投资者选择对市场风险最具弹性的行业来构建最佳投资组合。我们的研究结果表明，仅仅考虑市场风险而不考虑其可变性可能会使风险厌恶型投资者忽视大量风险。

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Dynamic market risk and portfolio choice: Evidence from Indian stock market

Undiversifiable market risk is a crucial factor that a risk-averse investor must consider while making any investment decision. We focus on dynamic market risk using time-varying beta for 10 different sectoral indices from the Indian stock market, analyse its movement over volatility regimes, and explore its relationship with market stress. The sectors that are most resilient towards market risk are chosen to construct the best portfolio for a risk-averse investor. Our findings suggest that mere consideration of market risk and not taking its variability into account may leave a large chunk of risk unattended for a risk-averse investor.

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.