波动性对股市回报的影响有多大来自印度的经验证据

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2023-06-01 DOI:10.1016/j.iimb.2023.05.004

Malvika Saraf, Parthajit Kayal

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引用次数: 0

摘要

本文的目的是建立和估计波动异常(VA)的程度。我们研究了2010-2020年10年期间，贝塔、方差、相对贝塔和相对方差对NIFTY500公司股票回报的影响。我们的实证研究结果表明，VA在中长期内占主导地位，但在超短期和短时间框架内似乎可以忽略不计。总体研究结果表明，当考虑的时间跨度为三年或更长时，退伍军人事务部的影响最为显著。这些结果对投资者和投资组合经理都非常有用。

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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How much does volatility influence stock market returns? Empirical evidence from India

The purpose of this paper is to establish and estimate the extent of the volatility anomaly (VA). We examine the impact of the beta, variance, relative-beta, and relative-variance measures on the stock returns for NIFTY500 companies, for the 10-year period 2010-2020. Our empirical findings suggest that the VA is predominant in the medium to long-term, but seems to be negligible in the ultra-short and short time frames. The overall findings suggest that the VA is most significant when the time period considered is three years or more. These results can be highly useful for investors as well as portfolio managers.

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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.