南非的风险回报关系与波动反馈:参数贝叶斯方法与非参数贝叶斯方法的比较分析

IF 3.2 Q1 BUSINESS, FINANCE
Nitesha Dwarika
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引用次数: 0

摘要

本研究旨在调查风险回报关系,提供波动性反馈被考虑在内,在南非市场。波动率反馈是一种更强的波动率度量,在风险回报关系的研究中被视为不对称的重要来源。本研究分析了2009年10月15日至2019年10月15日样本期的JSE - ALSI超额收益和实现方差。本研究在参数和非参数框架中模拟了新颖且鲁棒的贝叶斯方法。参数模型具有建模假设,如正态性和有限样本空间。非参数方法放宽了建模假设,并允许无限样本空间;因此,考虑到每一个可能的不对称风险-收益关系。鉴于南非是一个新兴市场,波动性较高,预计波动性反馈的存在将更为明显。然而,与预期相反,参数贝叶斯模型和非参数贝叶斯模型的检验结果表明,波动率反馈对南非市场的影响不显著。然后,研究了风险回报关系,避免了波动率反馈导致的经验扭曲。参数贝叶斯模型发现了正的风险收益关系,符合传统的理论预期。然而,非参数贝叶斯模型没有发现风险和回报之间的关系,这与早期南非的研究一致。由于非参数贝叶斯方法比参数贝叶斯方法更稳健,因此本研究得出不存在风险-收益关系的结论。因此,投资者可以将南非纳入其高风险国家的投资组合中,以分散风险并获得多元化收益。此外,厌恶风险的投资者可以在南非市场找到一个安全的环境,并根据他们的风险承受能力获得回报。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The risk-return relationship and volatility feedback in South Africa: a comparative analysis of the parametric and nonparametric Bayesian approach
This study aimed to investigate the risk-return relationship, provided volatility feedback was taken into account, in the South African market. Volatility feedback, a stronger measure of volatility, was treated as an important source of asymmetry in the investigation of the risk-return relationship. This study analyzed the JSE ALSI excess returns and realized variance for the sample period from 15 October 2009 to 15 October 2019. This study modelled the novel and robust Bayesian approach in a parametric and nonparametric framework. A parametric model has modelling assumptions, such as normality, and a finite sample space. A nonparametric approach relaxes modelling assumptions and allows for an infinite sample space; thus, taking into account every possible asymmetric risk-return relationship. Given that South Africa is an emerging market, which is subject to higher levels of volatility, the presence of volatility feedback was expected to be more pronounced. However, contrary to expectations, the test results from both the parametric and nonparametric Bayesian model showed that volatility feedback had an insignificant effect in the South African market. The risk-return relationship was then investigated free from empirical distortions that resulted from volatility feedback. The parametric Bayesian model found a positive risk-return relationship, in line with traditional theoretical expectations. However, the nonparametric Bayesian model found no relationship between risk and return, in line with early South African studies. Since the nonparametric Bayesian approach is more robust than the parametric Bayesian approach, this study concluded that there is no risk-return relationship. Therefore, investors can include South Africa in their investment portfolio with higher risk countries in order to spread their risk and derive diversification benefits. In addition, risk averse investors can find a safe environment within the South African market and earn a return in accordance to their risk tolerance.
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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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