Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
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DOI：
10.1080/713665877
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发表时间：
2001-05
影响因子：
1.3
通讯作者：
P. Silvapulle;C. Granger
中科院分区：
文献类型：
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作者：
P. Silvapulle;C. Granger
本文利用1991-1999年道琼斯工业30只股票的日收益率，研究了当股票收益率出现负的大幅度波动时（即当市场看跌时）投资组合多样化的可能性。我们估计股票收益率分布的分位数使用非参数和参数的方法，被广泛用于测量在险价值（VaR）。我们发现，30只股票的平均条件相关性是更高的大幅度变动时，是负的，比当市场是“平常”。此外，我们发现，与以往的研究结果相反，当大的运动是积极的，当市场是“平常”的平均条件相关性之间没有显着差异。此外，从条件CAPM的结果可以明显看出，投资组合的可分散风险和不可分散风险（分别由CAPM和beta的误差方差来衡量）在市场看跌时比在市场“通常”或看涨时高度不稳定。总体结果表明，当股票市场看跌时，投资组合多元化的可能性会受到侵蚀。这些研究结果对投资组合多样化和风险管理，特别是对一般金融都有影响。本文提出的观点可用于检验国际金融市场的传染性，这是国际金融领域的一个研究热点。
This paper, using daily returns on 30 Dow Jones Industrial stocks for the period 1991-1999, investigates the possibility of portfolio diversification when there are negative large movements in the stock returns (i.e. when the market is bearish). We estimate the quantiles of stock return distributions using non-parametric and parametric methods that are widely being used in measuring value-at-risk (VaR). We find that the average conditional correlation of 30 stocks is much higher when the large movements are negative than that when the market is 'usual'. Further, we find that, contrary to the results of previous studies, there is no notable difference between the average conditional correlations when the large movements are positive and when the market is 'usual'. Moreover, it is evident from the results of the conditional CAPM that the portfolio's diversifiable and non-diversifiable risks, as measured by the error variance of the CAPM and beta respectively, are highly unstable when the market is bearish than that when it is 'usual' or bullish. The overall results suggest that the possibility of portfolio diversification would be eroded when the stock market is bearish. These findings have implications for portfolio diversification and risk management in particular and for finance in general. The ideas presented in this paper can be utilized for testing contagion in the international financial markets, a much-researched topic in international finance.