股票能成为投资的避风港吗?

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2022-01-23 DOI:10.1177/09726527211068411

Janani Sri, P. Kayal, G. Balasubramanian

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引用次数: 2

摘要

固定收益、黄金和房地产等热门投资选择的长期回报率较低。尽管股票存在固有风险，但其表现似乎要好得多。尽管投资者更喜欢避险资产，但他们越来越多地转向股票，以寻求更好的回报。如果从优质股票的篮子中选择股票，我们会考虑股票是否可以成为避险投资。我们研究了2008-2010年期间Nifty-50成分股的避险和对冲特性。为了解决这一问题，我们采用了基于copula的框架来对股票和五个指数之间的依赖结构进行建模。我们区分了个股的避险属性和对冲特征。我们发现，Nifty-50上市股票的避险资产不像黄金那样集中，但它们与市场的协同作用要低得多。我们称它们为伪避险资产，因为它们是投资者寻找回报可观的相对避险资产的安全赌注。JEL代码：G11、G12、G15

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Can Equity be Safe-haven for Investment?

Popular investment choices such as fixed income, gold, and real estate have generated low returns over long horizons. Equity seems to have performed much better despite its inherent risk. Although, investors prefer safe-haven assets, they are increasingly moving to equities in search for better returns. We consider whether equity could be a safe-haven investment if chosen from quality stocks’ basket. We examine the safe-haven and hedging properties of the Nifty-50 constituent stocks over the period 2008–2020. To address this, we employ copula-based framework to model the dependence structure between stocks and five indices. We distinguish between safe-haven attributes and hedging features of the individual stocks. We show that the safe-haven properties of the Nifty-50 listed stocks are not as concentrated as gold but they show much low co-movement with the market. We call them pseudo–safe-haven as they are the safe-bets for investors seeking relatively safe-haven assets with impressive returns. JEL Codes: G11, G12, G15

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.